Workshop on Financial Derivatives and Risk Management

May 24 - 28, 2010, The Fields Institute

Location: Fields Institute, Room 230

Description

Topics:

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

Confirmed Speakers (talk titles and abstracts)

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)

Schedule

Monday, May 24th, 2010
09:35 to 09:45	Welcome and Introductions
09:45 to 10:30	Implied Volatility from Local Volatility Jim Gatheral, Baruch College - The City of University of New York
10:30 to 11:00	Coffee Break
11:45 to 12:25	Functional Ito calculus and the pricing and hedging of path-dependent derivatives Rama Cont, University of Oxford
12:30 to 14:30	Lunch Break
14:30 to 15:10	On SDEs with state-dependent jump measure Mark Davis
15:10 to 15:55	Variation Swaps on Time-Changed Levy Processes Roger Lee, University of Chicago

Tuesday, May 25th, 2010
09:00 to 09:40	Density models for credit risk Monique Jeanblanc
09:45 to 10:25	Market Models of Forward CDS Spreads Marek Rutkowski, University of Sydney
10:30 to 11:00	Coffee Break
11:00 to 11:40	Implied Density Models for Asset Pricing Lane Hughston, Brunel University London and University College London
11:45 to 12:25	On notion of arbitrage and robust pricing and hedging of variance swaps Jan Obloj, University of Oxford
12:30 to 14:30	Lunch Break
14:30 to 15:10	Information Percolation Gustavo Manso, University of California Berkeley
15:10 to 15:55	Static and dynamic properties of stochastic volatility models: a structural connection Lorenzo Bergomi
16:00 to 18:00	Reception

Wednesday, May 26th, 2010
09:45 to 10:25	Hedging of counterparty risk Tomasz Bielecki, Illinois Institute of Technology
10:30 to 11:00	Coffee Break
11:00 to 11:40	Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models Aleksandar Mijatovic
11:45 to 12:25	Dupire's Equation for Bubbles Johan Tysk, Uppsala University
12:30 to 14:30	Lunch Break
14:30 to 15:10	Measuring and Managing Risk in Innovative Financial Instruments Stuart Turnbull, Bauer College, U of Houston, Bauer Colllege of Business, University of Houston
15:10 to 15:55	Default intensities implied by CDO spreads: inversion formula and model calibration Yu Hang Kan (Columbia)
16:00 to 16:30	Coffee Break
16:30 to 17:10	Model independent bounds for variance swaps David Hobson
18:30 to 20:30	Workshop Dinner - cash bar Joe Badali's 156 Front St. West $45

Thursday, May 27th, 2010
09:45 to 10:30	Multivariate elliptic processes Nicholas Bingham, Imperial College London
10:30 to 11:00	Coffee Break
11:00 to 11:40	Target Volatility Option Pricing Giuseppe Di Graziano (Deutsche Bank London)
11:45 to 12:25	Resilience to contagion in financial networks Andreea Minca
12:30 to 14:30	Lunch Break
14:30 to 15:10	Heat Kernels for Information-Sensitive Pricing Kernels Andrea Macrina, University College London
15:10 to 15:55	Market Models for CDOs Driven by Time-Inhomogeneous Levy Processes Thorsten Schmidt, University of Freiburg
16:00 to 16:30	Coffee Break
16:30 to 17:10	Portfolio optimization under partial information with expert opinions Rudiger Frey

Friday, May 28th, 2010
09:45 to 10:25	A Duality Principle for the Legendre Transform and the Valuation of Financial Contracts Goran Peskir, University of Manchester
10:30 to 11:00	Coffee Break
11:00 to 11:40	Pricing and filtering in a two-dimensional dividend switching model Pavel Gapeev (London School of Economics)
11:45 to 12:25	A Consistent Pricing Model for Index Options and Volatility Derivatives Thomas Kokholm, Aarhus University
12:30 to 14:30	Lunch Break
14:30 to 15:10	Continuously monitored barrier options under Markov processes Martijn Pistorius
15:10 to 15:55	Matching Statistics of an Ito Process by a Process of Diffusion Type Steve Shreve, Carnegie Mellon University
16:00 to 16:30	Coffee Break

Organizing Committee

Peter Carr - Morgan Stanley and New York University

Rama Cont - University of Oxford

Darrell Duffie - Stanford University

Lane Hughston - Brunel University London and University College London

Roger Lee - University of Chicago

Scheduled as part of

Thematic Program on Quantitative Finance: Foundations and Applications

The Fields Institute for
Research in Mathematical Sciences