Audio and Slides from The Fields Institute Thematic Program on Quantitative Finance
Wow! Thanks to Quantitative Finance Theory and Applications Blog for pointing up this amazing collection of slides and audio from the Fields Institute Thematic Program on Quantitative Finance which has been taking place since January 2010 and is due to conclude in June.
The organizing committee which includes Y. Ait-Sahalia (Princeton), M. Grasselli (McMaster), V. Henderson (Oxford Man Institute), T. Hurd (McMaster), M. Rindisbacher (Toronto) and Dan Rosen (R2 Financial Technologies), have done a remarkable job bringing together a veritable 'who's who' of some of the leading lights from the academic and practitioner communities.
(Audio requires Real Player)
PRMIA Risk Management Seminars
- September 17, 2009: David Koenig, CEO, The Governance Fund: Risk Management, Governance and Value Creation
- September 15, 2009: William Shadwick: Going to Extremes to Control Risk
- December 15, 2009: Pierre G. Noel, Worldwide Executive, Risk Management & Information Security, IBM Corp: Bringing Operational Risk Management to the Boardroom Table
- February 16, 2010: Andrew Kalotay, Andrew Kalotay Associates Inc.: Exposing MBS Model Risk: Look Outside the Black Box
- April 14, 2010: Rick Nason, RSD Solutions & Dalhousie University: Have We Lost The Plot? (And If So How Do We Get it Back?)
Seminar Series on Quantitative Finance
- October 28, 2009: Tomasz R Bielecki, Illinois Institute of Technology: Counterparty Credit Risk: CVA computation under netting and collateralization
- September 30, 2009: Jeremy Graveline, University of Minnesota: G10 Swap and Exchange Rates
- September 30, 2009: Ulrich Horst, Humboldt University Berlin: Hidden Liquidity and the Optimal Placement of Iceberg Orders
- October 28, 2009: Tom Hurd, McMaster University: Credit Risk via First Passage for Time Changed Brownian Motions
- November 25, 2009: Frank Milne, Queen's University: Approaches for Modeling Liquidity and Systemic Risks
- November 25, 2009: Traian Pirvu, McMaster University: Time Consistency in Portfolio Management
- January 20, 2010: Eckhard Platen, University of Technology , Sydney: Real World Pricing of Long Term Contracts
- February 24, 2010: Raphael Douady, Riskdata: The StressVaR: a New Risk Concept for Superior Fund Allocation
- March 31, 2010: Dilip Madan, University of Maryland: Capital Requirements, Acceptable Risks and the Value of the Taxpayer Put
- March 31, 2010: Stan Uryasev, University of Florida: Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization
Course on Foundations of Mathematical Finance
Workshop on Financial Econometrics (April 23-24, 2010)
- Yacine Ait-Sahalia, Princeton: Modeling Financial Contagion using Mutually Exciting Jump Processes
- Marco Bonomo, Getulio Vargas Foundation: Generalized Disappointment Aversion, Volatility Long-run Risk and Asset Prices
- Robert Engle, New York: Long Term Skewness and Systemic Risk
- Kaddour Hadri, Queen's, Belfast Management School: Modelling Multivariate Interest Rates using Time-varying Copulas and Reducible Non-linear Stochastic Differential Equations
- Lars Hansen, Chicago: Nonlinear Filtering and Learning Dynamics
- Stan Hurn, QUT Business: Quasi-maximum Likelihood Estimation of the Parameters of Multivariate Diffusion
- Robert Kimmel, Ohio State: On Estimation of Risk Premia in Linear Factor Models
- Suzanne Lee, Georgia Tech: Jumps and Information Flow in Financial Markets
- Haitao Li, Michigan: Exploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreads
- Yingying Li, Science & Technology, HK: Studying the Leverage Effect Based on High-frequency Data
- Gael Martin, Monash: Optimal Probabilistic Forecasts for Counts
- Eric Renault, North Carolina, Chapel Hill: A Structural Autoregressive Conditional Duration Model
- Joon Park, Indiana: Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model
- Eckhard Platen, Univ. of Technology Sydney: Empirical Properties of a Well Diversified Global Stock Index
- Roberto Reno, Siena: Nonparametric Leverage Effects
- Paul Schneider, Warwick: Transition Density Approximations for Multivariate Affine Jump Diffusion Processes
- Osnat Stramer, Iowa: Bayesian Inference of Discretely Sampled Markov Processes with Closed-form Likelihood Expansions
- Allan Timmerman, UC San Diego: What is the Shape of the Risk-return Relation?
- Giovanni Urga, Cass Business School, London: Identifying Jumps in Financial Assets with a Comparison between Nonparametric Jump Tests
- Rossen Valkanov, UC San Diego: Robust Measure of Time-Varying Skewness at Short and Long Horizons
- Liuren Wu, Baruch College, New York: A Multifrequency Theory of the Interest Rate Term Structure
- Jialin Yu, Columbia: Option Value of Cash
Distinguished Lecture Series (April 21-23, 2010)
- Darrell Duffie, The Graduate School of Business, Stanford University: Dark Markets
- Darrell Duffie, The Graduate School of Business, Stanford University: Dark Markets Part 2
- Darrell Duffie, The Graduate School of Business, Stanford University: Dark Markets Part 3
Coxeter Lectures (April 6-8, 2010)
Industrial-Academic Forum on Credit-Hybrid Risk (April 15-16, 2010)
- Claudio Albanese, King's College, London: Credit-equity models and High-Throughput Computing
- Agostino Capponi, California Institute of Technology: Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
- Giovanni Cesari, UBS: Modelling, Pricing, and Hedging Counterparty Credit Exposure
- Jean-Francois Chassagneux, Université d'Evry: Pricing Game Option using Reflected BSDEs
- Stephane Crepey, Evry University: CVA computation for counterparty risk assessment in credit portfolios
- Tom Hurd, McMaster: Two factor models of equity and credit derivatives
- Jan Kallsen, University of Kiel: On the pricing of game options and convertible bonds
- Yuri Kifer, Institute of Mathematics Hebrew University of Jerusalem: Perfect and Partial Hedging for Multiple Exercise (Swing) Game Options in Discrete And Continuous Time
- Rafael Mendoza-Arriaga, UTexas: Time Changed Markov Processes in United Credit-equity Modeling
- Abdallah Rahal, Bank AUDI: Pricing Game Option using Reflected BSDEs: Part II – Application to Pricing Convertible Bonds with call protection
- Dan Rosen, R2 Technologies: Pricing Counterparty Risk at the Trade Level and CVA Allocations
- Julien Turc, Société Générale Corporate & Investment Banking: Joint modelling of credit spreads, share prices and volatility
Industrial-Academic Forum on Commodities, Energy Markets, and Emissions Trading (April 9-10, 2010)
- Rene Aid, European Energy Producer EDF: A structural risk-neutral model for electricity prices
- Alvaro Cartea, Universidad Carlos III & Madrid): Mean reversion, measure changes and stochastic risk premia in commodity markets
- Michael Coulon, Princeton: The Electricity Bid Stack: Linking the dynamics of fuel, power and carbon prices
- Gilles Edouard Espinosa, Ecole Polytechnique: A model of emissions and the price of carbon (joint with R. Carmona and N. Touzi)
- Alex Eydeland, Morgan Stanley: Commodity Modeling: View from the trenches
- Max Fehr, London School of Economics: Option Pricing in the European Unions Emission Trading Scheme
- Helyette Geman, Birbeck and ESCP Europ: Inventory, Commodity Forward Curve and Spot price Volatility: The case of Crude Oil and Natural Gas
- Georg Gruell, Duisburg-Essen: Pricing CO2 permits using approximation approaches
- Walid Mnif, Western Ontario: Pricing and Hedging Strategies for Contingent Claims in an Incomplete Hybrid Emissions Market
- Ehud Ronn, Morgan Stanley & Co.: The Valuation and Information Content of Options on Crude-Oil Futures Contracts
- Marliese Uhrig-Homburg, Universität Karlsruhe: Understanding the Price Dynamics of Emission Permits: A Model for Multiple Trading Periods
Workshop on Computational Methods in Finance (March 22-24, 2010)
- John Chadam, University of Pittsburgh: Numerical Simulation of Free Boundary via Integral Equations
- Liming Feng, Illinois: Hilbert transform approach to options valuation
- Peter Forsyth, Waterloo: Analysis of A Penalty Method for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB)
- Lorenzo Garlappi, UBC: Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method
- Jim Gatheral, Merrill Lynch: Optimal order execution
- Mike Giles, Oxford: Afternoon discussion
- Mike Giles, Oxford: Progress with multilevel Monte Carlo methods
- Kay Giesecke, Stanford: Asymptotically Optimal Importance Sampling For Dynamic Portfolio Credit Risk
- Ralf Korn, TU Kaiserslautern: Recent advances in option pricing via binomial trees
- Ciamac Moallemi, Columbia: A multiclass queueing model of limit order book dynamics
- Kumar Muthuraman, UT Austin: Moving boundary approaches for solving free-boundary problems
- Philip Protter, Cornell: Absolutely Continuous Compensators
- Chris Rogers, Cambridge: Convex regression and optimal stopping
- Birgit Rudloff, Princeton: Hedging and Risk Measurement under Transaction Costs
- Jeremy Staum, Northwestern: Déjà Vu All Over Again: Efficiency when Financial Simulations are Repeated
- Nizar Touzi, Ecole Polytechnique: A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs
Industrial-Academic Forum on Operational Risk (March 26-27, 2010)
- Emre Balta, Office of the Comptroller of the Currency, OCC: The Known, the Unknown, and the Unknowable: Challenges in Validating AMA Models
- Eric Cope, IBM Research, Zurich: Penalized Likelihood Estimators for Truncated Data
- Matthias Degen, Cornell University: Diversification benefits: a second-order approximation
- Kabir Dutta, Charles River Associates: On Using Scenario Analysis in The Measurement of Operational Risk: A Systematic Approach for Data Integration
- Elise Gourier, Swiss Banking Institute, University of Zurich: Operational risk quantification using extreme value theory and copulas: from theory to practice
- Giulio Mignola, Intesa Sanpaolo: Challenges in measuring operational risks from loss data
- Martin Neil, Queen Mary University, London: Using Hybrid Dynamic Bayesian Networks to model Operational Risk in Finance
- Tony Peccia, Citi group: Rethinking Basel II for Operational Risk
- Anupam Sahay, Key corp: Analytic Approximations for Operational Risk Capital
- Alberto Suarez, Universidad Autónoma de Madrid: Robust quantification of the exposure to operational risk: Bringing economic sense to economic capital
- Beatriz Santa Cruz Blanco, BBVA: Issues in Modelling Tails in Operational Risk
- John Walter, Bank of America: Operational Risk Quantification at Bank of America
Workshop on Foundations of Mathematical Finance (January 11-15, 2010)
- Peter Bank, Technische Universität Berlin: Market Indifference Prices
- Bruno Bouchard, University Paris-Dauphine: Optimal Control under Stochastic Target Constraints - Application to portfolio optimization under risk constraints
- Luciano Campi, Université Paris-Dauphine: Markov bridges and Kyle-Back equilibrium models of insider trading
- Rene Carmona, Princeton University: Levy Market Models (joint with S. Nadtochiy)
- Patrick Cheridito, Princeton University: Equilibrium pricing in incomplete markets under translation invariant preferences
- Jaksa Cvitanik, California Institute of Technology: Complete Market Equilibrium with Heterogeneous Agents
- Emanuela Rosazza Gianin, Università di Milano-Bicocca: g-expectations and the representation of the penalty term of dynamic convex risk measures
- Nicole El Karoui, Ecole Polytechnique: Talk on recent work
- Damir Filipovic, Vienna Institute of Finance: Pricing and Hedging of CDOs: A Top Down Approach
- Marco Frittelli, University of Milan: Robust representation of dynamic quasiconvex maps
- Paolo Guasoni, Scuola Normale Superiore: The Incentives of Hedge Fund Fees and High-Water Marks
- Kostas Kardaras, Boston University: Financial equilibria in incomplete markets where heterogeneous agents with numeraire-invariant preferences act
- Dmitri Kramkov, Carnegie Mellon University: Talk on recent work
- Kasper Larsen, Carnegie Mellon University: Continuous equilibria with heterogeneous preferences and unspanned endowments
- Semyon Malamud, ETH-Zentrum: Information Percolation in Segmented Markets
- Michael Monoyios, University of Oxford: Optimal exercise of an executive stock option by an insider
- Miklós Rásonyi, University of Edinburgh: Fragility of arbitrage and bubbles in diffusion models
- Martin Schwiezer, ETH Zurich: How do optimal portfolios depend on the time horizon?
- Mihai Sirbu, University of Texas at Austin: Optimal investment on finite horizon with random discrete order flow in illiquid markets
- Josef Teichmann, University of Technology Vienna: Matrix-valued affine processes -- theory and applications
- Nizar Touzi, Ecole Polytechnique: Wellposedness of Second Order BSDEs
- Thaleia Zariphoupoulou, University of Texas at Austin: Investment performance measurement under time-monotone criteria
- XunYu Zhou, University of Oxford: Finding Quantiles
- Gordan Zitkovic, University of Texas at Austin: Incomplete-market equilibria with exponential utilities
IFID Conference on Retirement Income Analytics (November 25, 2009)
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June 28 - 30, 2010