Conference Timetable
Friday July 11th:
- 9.00am - 10.00am, Registration
- 10.00am - 11.00am, Jesper Andreasen, Danskebank
"Soft Markets: Feedback Effects from Dynamic Hedging"
- 11.00am - 11.30am, Coffee-Break
- 11.30am - 12.30pm, Pat Hagan, JPMorgan Chase
- 12.30pm - 2.00pm, Lunch
- 2.00pm - 3.00pm , Nasir Afaf, Commerzbank
"Non-linearities in Finance"
- 3.00pm - 4.00pm, Claudio Albanese, Level3Finance
"Long-Dated Derivatives"
- 4.00pm - 4.30pm, Coffee Break
- 4.30pm - 5.00pm, Chris Kenyon, Depfa Bank
"Pricing Strongly Path-Dependent Options in Libor Market Models without Simulation"
- 5.00pm - 5.30pm, Paul Schneider, Vienna University of Economics and Business Administration
"Flexing the Default Barrier"
- 5.30pm - 6.00pm, Anthony Neuberger,University of Warwick
"Robust Hedging of American Options"
Saturday July 12th:
- 10.00am - 11.00am, Nick Webber, University of Warwick
"Implementing numerical methods for complex options"
- 11.00am - 11.30am, Coffee-Break
- 11.30am - 12.30pm, Uwe Wystup, Mathfinance
"Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons"
- 12.30pm - 2.00pm, Lunch
- 2.00pm - 2.30pm, Antoine Jacquier, Imperial College London
"Spectral Theory for Diffusion Process: Application to Pricing and Calibration of Stochastic Volatility Models"
- 2.30pm - 3.00pm, Andrea Pascucci, University of Bologna
"Analytic Valuation by Parametric Approximations"
- 3.00pm - 3.30pm, Linus Kaisajunntti, Stockholm School of Economics
"An n-Dimensional Markov-Functional Interest Rate Model"
- 3.30pm - 4.00pm, Coffee Break
- 4.00pm - 4.30pm, Matthew Dixon, Stanford University
"Calibrating Spread Options using a Seasonal Commodity Forward Model"
- 4.30pm - 5.00pm, Tim Siu-Tang Leung, Princeton University
"Employee Stock Options: Accounting for Optimal Hedging, Early Exercises and Contractual Restrictions"
- 5.00pm - 5.30pm, Naoufel El Bachir, University of Reading
"Conditional Sampling for Jump Processes with Levy Copulas"