 |
| Thematic Program
on Quantitative Finance: Foundations and Applications January
- June, 2010 |
May 24 - 28, 2010
Workshop on Financial Derivatives and Risk Management
at the Fields Institute, 222 College Street (map)
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| Scientific Committee: |
Peter Carr
Rama Cont
Darrell Duffie
|
Lane Hughston (chair)
Roger Lee |
| Sponsored by |
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Mailing List : To receive
updates on the program please subscribe to our mailing list at www.fields.utoronto.ca/maillist
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Topics:
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- Equity, interest rate and foreign exchange derivatives
- Volatility derivatives
- Credit risk modelling
- Structured product design and functionality
- Liquidity risk
- Default contagion
- Systemic risk in OTC market - clearing, transparency,
and collateral rehypothecation
- Partial information models for asset pricing and their
applications
|
Lorenzo Bergomi (Société
Générale)
Tomasz Bielecki (IIT)
Nicholas Bingham (Imperial College)
Dorje Brody (Imperial College)
Rama Cont (Paris VI-VII)
Mark Davis (Imperial College)
Giuseppe Di Graziano (Deutsche Bank London)
Rudiger Frey (Leipzig)
Jim Gatheral (Baruch College, CUNY)
David Hobson (Warwick)
Lane Hughston (Imperial College)
Monique Jeanblanc (Evry)
Yu Hang Kan (Columbia)
Thomas Kokholm (Aarhus) |
Roger Lee (Chicago)
Andrea Macrina (King's College London)
Gustavo Manso (MIT)
Aleksandar Mijatovic (Imperial College)
Andreea Minca (Paris VI)
Jan Obloj (Oxford)
Goran Peskir (Manchester)
Martijn Pistorius (Imperial College)
Marek Rutkowski (Sydney)
Thorsten Schmidt (Leipzig)
Steve Shreve (Carnegie Mellon)
Stuart Turnbull (Houston)
Johan Tysk (Uppsala)
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Workshop Schedule
| Monday May 24 |
| 9.35 - 9.45 |
Welcome and Introduction
Fields Institute & Organizers |
| 9.45 - 10.25 |
Jim Gatheral (Baruch College, CUNY)
Implied Volatility from Local Volatility |
| 10:30 - 11:00 |
Coffee Break - workshop dinner
ticket sales |
| 11:00 - 11.40 |
Dorje C. Brody (Imperial College London)
Rational Term Structure Models with Geometric Lévy
Martingales |
| 11.45- 12.25 |
Rama Cont (Paris VI-VII)
Functional Ito calculus and the pricing and hedging of path-dependent
derivatives |
| 12.30 - 2.30 |
Lunch Break |
| 2.30 - 3.10 |
Mark Davis (Imperial College)
On SDEs with state-dependent jump measure |
| 310 - 3.55 |
Roger Lee (Chicago)
Variation Swaps on Time-Changed Levy Processes |
| Tuesday May 25 |
| 9:00 - 9:40 |
Monique Jeanblanc (Evry)
Density models for credit risk |
| 9.45 - 10.25 |
Marek Rutkowski (Sydney)
Market Models of Forward CDS Spreads |
| 10:30 - 11:15 |
Coffee Break - workshop dinner
ticket sales |
| 11:00 - 11.40 |
Lane Hughston (Imperial College)
Implied Density Models for Asset Pricing |
| 11.45- 12.25 |
Jan Obloj (Oxford)
On notion of arbitrage and robust pricing and hedging of
variance swaps |
| 12.30 - 2.30 |
Lunch Break |
| 2.30 - 3.10 |
Gustavo Manso (MIT)
Information Percolation |
| 3.15 - 3.55 |
Lorenzo Bergomi (Societe Generale)
Static and dynamic properties of stochastic volatility models:
a structural connection |
| 4.00 - 6.00 |
Reception and poster session |
| Wednesday
May 26 |
| 9.45 - 10.25 |
Tomasz Bielecki (IIT)
Hedging of counterparty risk |
| 10:30 - 11:00 |
Coffee Break |
| 11:00 - 11.40 |
Aleksandar Mijatovic (Imperial College)
Deterministic criteria for the absence of arbitrage in one-dimensional
diffusion models |
| 11.45- 12.25 |
Johan Tysk (Uppsala)
Dupire's Equation for Bubbles |
| 12.30 - 2.30 |
Lunch Break |
| 2.30 - 3.10 |
Stuart Turnbull (Houston)
Measuring and Managing Risk in Innovative Financial Instruments |
| 3.15 - 3.55 |
Yu Hang Kan (Columbia)
Default intensities implied by CDO spreads: inversion
formula and model calibration |
| 4.00 - 4.30 |
Coffee Break |
| 4.30 - 5.10 |
David Hobson (Warwick)
Model independent bounds for variance swaps |
| 6.30 pm |
Workshop
Dinner - cash bar
Joe Badali's
156 Front St. West
$45 |
| Thursday May 27 |
| 9.45 - 10.25 |
Nicholas Bingham (Imperial College)
Multivariate elliptic processes |
| 10:30 - 11:00 |
Coffee Break |
| 11:00 - 11.40 |
Giuseppe Di Graziano (Deutsche Bank London)
Target Volatility Option Pricing |
| 11.45- 12.25 |
Andreea Minca (Paris VI)
Resilience to contagion in financial networks |
| 12.30 - 2.30 |
Lunch Break |
| 2.30 - 3.10 |
Andrea Macrina (King's College London)
Heat Kernels for Information-Sensitive Pricing Kernels |
| 3.15 - 3.55 |
Thorsten Schmidt (Leipzig)
Market Models for CDOs Driven by Time-Inhomogeneous Levy
Processes |
| 4.00 - 4.30 |
Coffee Break |
| 4.30 - 5.10 |
Rudiger Frey (Leipzig)
Portfolio optimization under partial information with expert
opinions |
| Friday May 28 |
| 9.45 - 10.25 |
Goran Peskir (Manchester)
A Duality Principle for the Legendre Transform and the Valuation
of Financial Contracts |
| 10:30 - 11:00 |
Coffee Break |
| 11:00 - 11.40 |
Pavel Gapeev (London School of Economics)
Pricing and filtering in a two-dimensional dividend switching
model |
| 11.45- 12.25 |
Thomas Kokholm (Aarhus)
A Consistent Pricing Model for Index Options and Volatility
Derivatives |
| 12.30 - 2.30 |
Lunch Break |
| 2.30 - 3.10 |
Martijn Pistorius (Imperial College)
Continuously monitored barrier options under Markov processes |
| 3.15 - 3.55 |
Steve Shreve (Carnegie Mellon)
Matching Statistics of an Ito Process by a Process of Diffusion
Type |
| 4.00 - 4.45 |
Coffee Break |
Confirmed Participants
| Full Name |
University/Affiliation |
| Alexandru-Gajura, Elena |
McMaster University |
| Amir, Muhammad |
TD Bank Financial Group |
| Bentata, Amel |
Université Pierre et Marie Curie |
| Bergomi, Lorenzo |
Société Générale Corporate and Investment Banking |
| Bernard, Carole |
University of Waterloo |
| Bielecki, Tomasz |
Illinois Institute of Technology |
| Bingham, Nicholas |
Imperial College London |
| Bouille, Danaé |
Universität Oldenburg |
| Brody, Dorje |
Imperial College London |
| Byelkina, Svitlana |
Bank of Montreal |
| Campolieti, Joe |
Wilfrid Laurier University |
| Chadam, John |
University of Pittsburgh |
| Chan, Paul |
TD Securities |
| Chellathurai, Thamayanthi |
Canadian Imperial Bank of Commerce |
| Chung, Jaehun |
CIBC |
| Cont, Rama |
Columbia University |
| Dang, Duy Minh |
University of Toronto |
| Davis, Mark H.A. |
Imperial College London |
| Di Graziano, Giuseppe |
Deutsche Bank AG |
| Dos Reis, Goncalo |
Ecole Polytechnique |
| Draviam, Thangaraj |
|
| Escobar, Marcos |
Ryerson University |
| Ewald, Christian-Oliver |
University of Sydney |
| Fahim, Arash |
Ecole Polytechnique |
| Fayyad, Wael |
McMaster University |
| Ferrando, Sebastian |
Ryerson University |
| Fouque, Jean-Pierre |
University of California, Santa Barbara |
| Frey, Rüdiger |
University of Leipzig |
| Gapeev, Pavel |
London School of Economics |
| Gatheral, Jim |
Baruch College, CUNY |
| Grasselli, Matheus |
McMaster University |
| Gretarsson, Hringur |
Imperial College London |
| Ha, Eugene |
Fields Institute |
| Halaj, Grzegorz |
ALM in Bank Pekao (UniCredit Group) |
| Halevy, Itamar |
|
| Hobson, David |
University of Warwick |
| Hughston, Lane |
Imperial College |
| Hurd, Tom |
McMaster University |
| Hyndman, Cody |
Concordia University |
| Iscoe, Ian |
Algorithmics Incorporated |
| Islam, Shafiqul |
University of Prince Edward Island |
| Jackson, Ken |
University of Toronto |
| Jacquier, Antoine |
Imperial College London |
| Jaimungal, Sebastian |
University of Toronto |
| Jeanblanc, Monique |
Université d'Evry |
| Jeon, Yoontae |
University of Toronto |
| Jun, Doobae |
Sungkyunkwan University |
| Kan, Yu Hang |
Columbia University |
| Kapchinsky, Michael |
Toronto Dominion Bank |
| Kim, Kyoung-kuk |
Fields Institute |
| Kim, Paul |
BMO |
| Kokholm, Thomas |
Aarhus University |
| Kou, Steven |
Columbia University |
| Ku, Hyejin |
York University |
| Kuznetsov, Alexey |
York University |
| Lakhany, Asif |
Algorithmics Incorporated |
| Lee, Roger |
University of Chicago |
| Levin, Alex |
Royal Bank of Canada |
| Li, Sebastian |
University of Toronto |
| Lin, Jen-Wen |
TD Bank Financial Group |
| Lorig, Matthew |
University of California - Santa Barbara |
| Lyons, Simon |
Imperial College |
| Ma, Xiaofang |
BMO |
| Macrina, Andrea |
King's College London |
| Manso, Gustavo |
MIT Sloan School of Management |
| Marada, Tomas |
Vrije Universiteit Amsterdam |
| Marri, Fouad |
York University |
| Mengütürk, Levent |
Imperial College London |
| Mijatovic, Aleksandar |
Imperial College London |
| Mina, Francesco |
Imperial College |
| Minca, Andreea |
Paris 6 University |
| Monoyios, Michael |
University of Oxford |
| Muhina, Irina |
Manulife |
| Niu, Shilei |
University of Waterloo |
| Obloj, Jan |
University of Oxford |
| Parbhoo, Priyanka |
University of the Witwatersrand |
| Peng, Xianhua |
Fields Institute and York University |
| Peskir, Goran |
The University of Manchester |
| Pham-Dang, Benoit |
Imperial College London |
| Pirvu, Traian |
McMaster University |
| Pistorius, Martijn |
Imperial College London |
| Qiao, Yun (Carrie) |
York University |
| Rutkowski, Marek |
University of Sydney |
| Salisbury, Thomas |
York University |
| Saunders, David |
University of Waterloo |
| Schmidt, Thorsten |
Chemnitz University of Technology |
| Schulze, Klaas |
McMaster University |
| Sezer, Deniz |
University of Calgary |
| Shen, Jerry |
Bank of Montreal |
| Silla, Sebastiano |
Polytechnic University of Marche |
| Sotomayor, Luz |
Georgia State University |
| Stolte, Johannes |
Imperial College |
| Tarrant, Wayne |
Wingate University |
| Taylor, David |
Wits University |
| Tourin, Agnes |
Fields Institute |
| Touzi, Nizar |
Ecole Polytechnique |
| Tsui, Lung Kwan |
University of Pittsburgh |
| Turnbull, Stuart |
University of Houston |
| Vaz, Anthony |
Manulife Financial |
| Walker, Michael |
University of Toronto |
| Wang, Anna |
TD Bank Financial Group |
| West, Graeme |
Financial Modelling Agency |
| West, Lydia |
University of Stellenbosch |
| Xia, Feng |
TD Bank Financial Group |
| Xie, Dejun |
University of Delaware |
| Xing, Hao |
Boston University |
| Yang, Michael |
TD Bank Financial Group |
| Yang, Xun |
Imperial College London |
| Yi, Chuang |
Royal Bank of Canada |
| Zaczkowski, Pawel |
Imperial College London |
| Zhang, Aihua |
Nottingham University, China campus |
| Zhang, Jingrui |
CIBC |
| Zhou, Zhuowei |
McMaster University |
| Zubelli, Jorge |
IMPA |
Apply to the Program:
All scientific events are open to the mathematical sciences community.
Visitors who are interested in office space or funding are
requested to apply by filling out the application
form. Additional support is available (pending NSF funding)
to support junior US visitors to this program. Fields scientific programs
are devoted to research in the mathematical sciences, and enhanced
graduate and post-doctoral training opportunities. Part of the mandate
of the Institute is to broaden and enlarge the community, and to encourage
the participation of women and members of visible minority groups
in our scientific programs. For additional information contact thematic(PUT_AT_SIGN_HERE)fields.utoronto.ca
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