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Computational Finance and Derivatives

Frontiers of Finance is being sponsored by BH-DG - Systematic Trading

 

Speakers

 


Dilip Madan, University of Maryland

 Paper Title: "Capital Minimization as a hedging objective."

 Dilip Madan is Professor of Finance at the Robert H. Smith School of Business specializing in Mathematical Finance. He currently serves as a consultant to Morgan Stanley, Caspian Capital LLC, and Bloomberg and has previously served as consultant to Wachovia Securities and the FDIC. He is a recipient of the 2006 Humboldt award in Mathematics, founding member and past president of the Bachelier Finance Society, managing editor of Mathematical Finance and associate editor for the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the understanding and operation of efficient risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, and Journal of Computational Finance, among others.

 Madan

Morten Karlsmark, University of Copenhagen

Paper Title: "SABR Excursions"

Morten Karlsmark undertakes research in the Quantitative Research group of Danske Markets. His main interests are the pricing and risk management of derivatives. Recent work, in collaboration with Jesper Andreasen, focuses on the SABR stochastic volatility model and how to obtain computationally fast arbitrage free option prices

 Karlsmark

William Shaw, UCL

Paper Title: "Monte Carlo Portfolio Optimization of general risk functions"

Professor William Shaw holds the Chair in Mathematics and Computation of Risk at the University College London. Prior to his current position, he was a member of the Financial Mathematics Research Group, King’s College, London. He received his doctorate in mathematics from the University of Oxford, and subsequently held post-doctoral positions at the University of Cambridge and MIT, and lecturing positions at Balliol and Catherine’s Colleges, Oxford.

His industry experience includes working as consultant applied and financial mathematician, as well as specialist in computational finance and equity derivatives modelling for Quantitative Analysis Group of Nomura International plc.

In finance, his research interests include: Fat-tailed distributions and their financial origins; The theory of quantiles for Monte Carlo simulation; Applications of complex analysis to finance and applied mathematics; Performance indicators for stock selection, including robust and genetic approaches; Optimization; Convertible bonds; Computational finance, especially symbolic methods. From time to time he also works on fluid mechanics, applied electromagnetics, complex variables and twistor models of string theory. He has written three books on applications of computer algebra, including Modelling Financial Derivatives with Mathematica. He is a Fellow of the Institute of Mathematics and its Applications and is co-editor in chief of Applied Mathematical Finance. He is also an Associate Editor of the International Journal of Theoretical and Applied Finance.

W. Shaw

Damiano Brigo, King's College, London

 

Paper Title: "Arbitrage free Credit Valuation Adjustment: Impact of closeout conventions, first to default risk, collateral modelling and dynamics"

Damiano Brigo is Gilbart Professor of Financial Mathematics at King's College, London. Formerly Managing Director of Fitch Solutions, Damiano published more than 50 works in Mathematical Finance, Probability and Statistics, and field reference books in stochastic interest rate and credit modeling.
Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance, he is a member of the Fitch Advisory Board and in the Scientific committees for conferences at MIT and other institutions. Damiano's interests include pricing, risk measurement, credit, counterparty risk, and stochastic models for commodities and inflation.
Damiano holds a Ph.D. in stochastic filtering with differential geometry.

Brigo

David Hobson, University of Warwick

Professor David Hobson is Professor of Probability in the Department of Statistics at the University of Warwick. He moved to Warwick in 2007 from a Chair in Probability at the University of Bath. Between 2002 and 2007 he held an EPSRC Advanced Fellowship. In 2003 he was awarded the Adams Prize for his work in Mathematical Finance by St Johns College and the University of Cambridge. In 2005 he was Principal Organiser of a six month programme entitled Developments in Quantitative Finance at the Isaac Newton Institute Cambridge.

D.Hobson

Martijn Pistorius, Imperial College

Paper Title: "QUANTIFICATION OF COUNTERPARTY RISK VIA BESSEL BRIDGES"

Martijn Pistorius completed his Ph.D. in 2003 at the University of Utrecht. He is Reader at the Department of Mathematics at Imperial College London, and is Programme Director of the MSc in Mathematics and Finance at Imperial. His research expertise is in stochastic processes, and applications of stochastic analysis in mathematical finance. Current research themes are pricing and hedging in stochastic volatility and jump models, and credit risk modelling.

Several of the MSc and PhD students that he has supervised have gone on to forge successful careers in quantitative research in the financial industry.

 

Mark Davis, Imperial College

Mark Davis is Distinguished Research Fellow in the Department of Mathematics at Imperial College London. He is also Quantitative Research Adviser to Hanover Square Capital (UK) Ltd, in connection with India-related investment funds. From 2000-2009 he was Professor and Head of the Mathematical Finance group at Imperial College. His research concentrates on stochastic analysis and financial mathematics, in particular credit risk models, pricing in incomplete markets and stochastic volatility. From 1995-1999 he was Head of Research and Product Development at the investment bank Tokyo-Mitsubishi International (now Mitsubishi UFJ Securitites International plc), leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Dr Davis holds a PhD from the University of California Berkeley and is the author of five books on stochastic analysis, optimisation and finance, most recently "Louis Bachelier's Theory of Speculation" (Princeton University Press 2006) written with Alison Etheridge. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance and the SIAM Journal of Financial Mathematics. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.

M.Davis

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To register for the Computational Finance and Derivatives Workshop on 7th July 2011, please click HERE

Please note accommodation booking has now closed, contact conferences@warwick.ac.uk directly.