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Newton InstituteWeb SeminarsProgrammes & Workshops2005DQF > DQFw02

4 - 8 Jul 2005

DQFw02 - Developments, Applications and Problems

in association with the DQF programme

Warning: Information on this page may be out of date.

For the full list of seminars given during this programme, see:
http://www.newton.ac.uk/programmes/DQF/seminars/


8 Jul 2005: A neoclassical look at behavioural finance
S. Ross
8 Jul 2005: Complete-market models of stochastic volatility
M. Davis
8 Jul 2005: Option pricing in the Barndorff-Nielsen and Shephard stochastic volatility model
F. Benth
8 Jul 2005: Irreversible investments under dynamic capacity constraints
P. Bank
8 Jul 2005: An information based approach to asset-pricing dynamics
L. Hughston
7 Jul 2005: Correlation, skew and target redemption inverse floaters
M. Baxter
7 Jul 2005: Optimal process approximation: application to delta hedging and technical analysis
B. Dupire
7 Jul 2005: Sensitivity analysis of utility based prices and risk-tolerance wealth processes
D. Kramkov
7 Jul 2005: Backward SDE's with jumps and applications in utility optimisation
D. Becherer
7 Jul 2005: Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models
M. Monoyios
7 Jul 2005: Decomposing swap spreads
D. Lando
6 Jul 2005: Modelling growth stocks
S. Kou
6 Jul 2005: Valuation of credit derivatives
R. Sircar
6 Jul 2005: Ultra high frequency data, volatility estimation and market microstructure noise
Y. Ait-Sahalia
5 Jul 2005: Mathematical issues with volatility modelling
M. Musiela
5 Jul 2005: Mean-Semivariance portfolio selection: single periods vs. continuous time
X. Zhou
5 Jul 2005: An economic motivation for variance contracts
N. Branger
5 Jul 2005: A unified framework for portfolio optimization and asset pricing
E. Platen
5 Jul 2005: Pricing portfolio credit derivatives in a Markovian model of default interaction
R. Frey
5 Jul 2005: Different approaches to the volatility surface: from Levy processes to local Levy
H. Geman
4 Jul 2005: On the cost of delayed fixing announcements and it's impact on FX exotic options
U. Wystup
4 Jul 2005: The value of being American
A. Neuberger
4 Jul 2005: A discretionary stopping problem with applications to the optimal timing of investment decisions
M. Zervos
4 Jul 2005: Comparisons of P-densities obtained from historical asset prices, option prices and risk transformations
S. Taylor
4 Jul 2005: Futures trading model with transaction costs
S. Shreve

Newton InstituteWeb SeminarsProgrammes & Workshops2005DQF > DQFw02

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