Programme
Programme correct as of 1st April 2010
Please check the programme regularly for any updates.
30th April 2010
|
Time |
Activity - Room 2003 |
Activity - Room 2005 (Parallel Session) |
|
8.30-9.00 |
|
|
|
9.00-10.00 |
"Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-Off" Elyes Jouini, Ceremade, University Paris-Dauphine |
|
|
10.00-10.30 |
Coffee Break |
|
|
10.30-11.15 |
"Bounds and Robust Hedging of the American Option" Anthony Neuberger, Warwick Business School |
- |
|
11.15-12.00 |
"Optimal Liquidation of Derivatives Portfolios" Vicky Henderson, Oxford University |
- |
|
12.00-12.45 |
"Hedging Survivor Bonds with Mortality-Linked Securities" Thorsten Rheinlander, LSE |
- |
|
12.45-14.00 |
Lunch in The Hub Restaurant |
|
|
14.00-15.00 |
''Incompleteness in Commodity Markets'' Helyette Geman, Birkbeck, University of London & ESCP Europe |
|
|
15.00-15.30 |
Coffee Break |
|
|
15.30-16.00 |
''Covered Warrant Valuation: A Costly Hedging Model'' Elizabeth Whalley, Warwick Business School |
''Implied Volatility Asymptotics of Affine Stochastic Volatility Models with Jumps'' Antoine Jacquier, Imperial College |
|
16.00-16.30 |
''On securitization, market completion and equilibrium risk transfer'' Traian A. Pirvu, McMaster University |
''On the Performance of Delta Hedging Strategies in Exponential Levy Models'' Johannes Muhle-Karbe, University of Vienna |
|
17.00-18.00 |
''Unbounded Liabilities, Capital Requirements and the Taxpayer Put'' Dilip Madan, University of Maryland |
|
|
18.45-21.00 |
Conference dinner - www.brasserieblanc.com |
1st May 2010
|
Time |
Activity - Room 2003 |
Activity - Room 2005 (Parallel Session) |
|
8.30 - 9.00 |
Refreshments |
|
|
9.00 -10.00 |
"Quantifying and Controlling Model Error in a No Good Deal Framework" Stewart Hodges - Cass Business School |
|
|
10.00-10.30 |
Coffee Break |
|
|
10.30-11.00 |
''Continuosly Monitored Barrier Options under Markov processes'' Martijn Pistorious , Imperial |
''Contingent ClaimsValuation for low Frequency Data with Knightian Uncertainty'' Radu Tunaru, Cass Business School |
|
11.00-11.30 |
''Utility-based valuation and hedging of basis risk with partial information'' Michael Monoyios, Oxford University |
''The returns of Private and Public Real Estate'' Cristian Tiu, University at Buffalo |
|
12.00-13.00 |
''Valuation and Risk Analysis of Counter-Party Risk'' William Perraudin - Imperial |
|
|
13.00-13.15 |
Closing the conference |
|
|
13.15-14.30 |
Lunch and afternoon drinks |
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