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Audio and Slides from The Fields Institute Thematic Program on Quantitative Finance

Friday Apr 30, 15:36PM

Wow! Thanks to Quantitative Finance Theory and Applications Blog for pointing up this amazing collection of slides and audio from the Fields Institute Thematic Program on Quantitative Finance which has been taking place since January 2010 and is due to conclude in June.

The organizing committee which includes Y. Ait-Sahalia (Princeton), M. Grasselli (McMaster), V. Henderson (Oxford Man Institute), T. Hurd (McMaster), M. Rindisbacher (Toronto) and Dan Rosen (R2 Financial Technologies), have done a remarkable job bringing together a veritable 'who's who' of some of the leading lights from the academic and practitioner communities.

(Audio requires Real Player)

PRMIA Risk Management Seminars
Seminar Series on Quantitative Finance
Course on Foundations of Mathematical Finance
Workshop on Financial Econometrics (April 2010)
Distinguished Lecture Series (Apri 2010) - Darrell Duffie
Coxeter Lectures (April 2010)
Industrial-Academic Forum on Credit-Hybrid Risk (April 2010)
Industrial-Academic Forum on Commodities, Energy Markets, and Emissions Trading (April 2010)
Workshop on Computational Methods in Finance (March 2010)
Industrial-Academic Forum on Operational Risk (March 2010)
Workshop on Foundations of Mathematical Finance (January 2010)
IFID Conference on Retirement Income Analytics (November 2009)

PRMIA Risk Management Seminars

September 17, 2009: David Koenig, CEO, The Governance Fund: Risk Management, Governance and Value Creation
September 15, 2009: William Shadwick: Going to Extremes to Control Risk
December 15, 2009: Pierre G. Noel, Worldwide Executive, Risk Management & Information Security, IBM Corp: Bringing Operational Risk Management to the Boardroom Table
February 16, 2010: Andrew Kalotay, Andrew Kalotay Associates Inc.: Exposing MBS Model Risk: Look Outside the Black Box
April 14, 2010: Rick Nason, RSD Solutions & Dalhousie University: Have We Lost The Plot? (And If So How Do We Get it Back?)

Seminar Series on Quantitative Finance

October 28, 2009: Tomasz R Bielecki, Illinois Institute of Technology: Counterparty Credit Risk: CVA computation under netting and collateralization
September 30, 2009: Jeremy Graveline, University of Minnesota: G10 Swap and Exchange Rates
September 30, 2009: Ulrich Horst, Humboldt University Berlin: Hidden Liquidity and the Optimal Placement of Iceberg Orders
October 28, 2009: Tom Hurd, McMaster University: Credit Risk via First Passage for Time Changed Brownian Motions
November 25, 2009: Frank Milne, Queen's University: Approaches for Modeling Liquidity and Systemic Risks
November 25, 2009: Traian Pirvu, McMaster University: Time Consistency in Portfolio Management
January 20, 2010: Eckhard Platen, University of Technology , Sydney: Real World Pricing of Long Term Contracts
February 24, 2010: Raphael Douady, Riskdata: The StressVaR: a New Risk Concept for Superior Fund Allocation
March 31, 2010: Dilip Madan, University of Maryland: Capital Requirements, Acceptable Risks and the Value of the Taxpayer Put
March 31, 2010: Stan Uryasev, University of Florida: Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization

Course on Foundations of Mathematical Finance

January 19, 2010: Eckhard Platen, University of Technology, Sydney: The Benchmark Approach I
January 20, 2010: Eckhard Platen, University of Technology, Sydney: The Benchmark Approach II

Workshop on Financial Econometrics (April 23-24, 2010)

Yacine Ait-Sahalia, Princeton: Modeling Financial Contagion using Mutually Exciting Jump Processes
Marco Bonomo, Getulio Vargas Foundation: Generalized Disappointment Aversion, Volatility Long-run Risk and Asset Prices
Robert Engle, New York: Long Term Skewness and Systemic Risk
Kaddour Hadri, Queen's, Belfast Management School: Modelling Multivariate Interest Rates using Time-varying Copulas and Reducible Non-linear Stochastic Differential Equations
Lars Hansen, Chicago: Nonlinear Filtering and Learning Dynamics
Stan Hurn, QUT Business: Quasi-maximum Likelihood Estimation of the Parameters of Multivariate Diffusion
Robert Kimmel, Ohio State: On Estimation of Risk Premia in Linear Factor Models
Suzanne Lee, Georgia Tech: Jumps and Information Flow in Financial Markets
Haitao Li, Michigan: Exploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreads
Yingying Li, Science & Technology, HK: Studying the Leverage Effect Based on High-frequency Data
Gael Martin, Monash: Optimal Probabilistic Forecasts for Counts
Eric Renault, North Carolina, Chapel Hill: A Structural Autoregressive Conditional Duration Model
Joon Park, Indiana: Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model
Eckhard Platen, Univ. of Technology Sydney: Empirical Properties of a Well Diversified Global Stock Index
Roberto Reno, Siena: Nonparametric Leverage Effects
Paul Schneider, Warwick: Transition Density Approximations for Multivariate Affine Jump Diffusion Processes
Osnat Stramer, Iowa: Bayesian Inference of Discretely Sampled Markov Processes with Closed-form Likelihood Expansions
Allan Timmerman, UC San Diego: What is the Shape of the Risk-return Relation?
Giovanni Urga, Cass Business School, London: Identifying Jumps in Financial Assets with a Comparison between Nonparametric Jump Tests
Rossen Valkanov, UC San Diego: Robust Measure of Time-Varying Skewness at Short and Long Horizons
Liuren Wu, Baruch College, New York: A Multifrequency Theory of the Interest Rate Term Structure
Jialin Yu, Columbia: Option Value of Cash

Distinguished Lecture Series (April 21-23, 2010)

Darrell Duffie, The Graduate School of Business, Stanford University: Dark Markets
Darrell Duffie, The Graduate School of Business, Stanford University: Dark Markets Part 2
Darrell Duffie, The Graduate School of Business, Stanford University: Dark Markets Part 3

Coxeter Lectures (April 6-8, 2010)

Nicole El Karoui, Center for Applied Mathematics, Ecole Polytechnique: Backward Stochastic Differential Equations: Are you really looking back? Answers in Finance, Stochastic control and PDE's
Nicole El Karoui, Center for Applied Mathematics, Ecole Polytechnique: Backward Stochastic Differential Equations: Are you really looking back? Answers in Finance, Stochastic control and PDE's
Nicole El Karoui, Center for Applied Mathematics, Ecole Polytechnique: Backward Stochastic Differential Equations: Are you really looking back? Answers in Finance, Stochastic control and PDE's

Industrial-Academic Forum on Credit-Hybrid Risk (April 15-16, 2010)

Claudio Albanese, King's College, London: Credit-equity models and High-Throughput Computing
Agostino Capponi, California Institute of Technology: Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
Giovanni Cesari, UBS: Modelling, Pricing, and Hedging Counterparty Credit Exposure
Jean-Francois Chassagneux, Université d'Evry: Pricing Game Option using Reflected BSDEs
Stephane Crepey, Evry University: CVA computation for counterparty risk assessment in credit portfolios
Tom Hurd, McMaster: Two factor models of equity and credit derivatives
Jan Kallsen, University of Kiel: On the pricing of game options and convertible bonds
Yuri Kifer, Institute of Mathematics Hebrew University of Jerusalem: Perfect and Partial Hedging for Multiple Exercise (Swing) Game Options in Discrete And Continuous Time
Rafael Mendoza-Arriaga, UTexas: Time Changed Markov Processes in United Credit-equity Modeling
Abdallah Rahal, Bank AUDI: Pricing Game Option using Reflected BSDEs: Part II – Application to Pricing Convertible Bonds with call protection
Dan Rosen, R2 Technologies: Pricing Counterparty Risk at the Trade Level and CVA Allocations
Julien Turc, Société Générale Corporate & Investment Banking: Joint modelling of credit spreads, share prices and volatility

Industrial-Academic Forum on Commodities, Energy Markets, and Emissions Trading (April 9-10, 2010)

Rene Aid, European Energy Producer EDF: A structural risk-neutral model for electricity prices
Alvaro Cartea, Universidad Carlos III & Madrid): Mean reversion, measure changes and stochastic risk premia in commodity markets
Michael Coulon, Princeton: The Electricity Bid Stack: Linking the dynamics of fuel, power and carbon prices
Gilles Edouard Espinosa, Ecole Polytechnique: A model of emissions and the price of carbon (joint with R. Carmona and N. Touzi)
Alex Eydeland, Morgan Stanley: Commodity Modeling: View from the trenches
Max Fehr, London School of Economics: Option Pricing in the European Unions Emission Trading Scheme
Helyette Geman, Birbeck and ESCP Europ: Inventory, Commodity Forward Curve and Spot price Volatility: The case of Crude Oil and Natural Gas
Georg Gruell, Duisburg-Essen: Pricing CO2 permits using approximation approaches
Walid Mnif, Western Ontario: Pricing and Hedging Strategies for Contingent Claims in an Incomplete Hybrid Emissions Market
Ehud Ronn, Morgan Stanley & Co.: The Valuation and Information Content of Options on Crude-Oil Futures Contracts
Marliese Uhrig-Homburg, Universität Karlsruhe: Understanding the Price Dynamics of Emission Permits: A Model for Multiple Trading Periods

Workshop on Computational Methods in Finance (March 22-24, 2010)

John Chadam, University of Pittsburgh: Numerical Simulation of Free Boundary via Integral Equations
Liming Feng, Illinois: Hilbert transform approach to options valuation
Peter Forsyth, Waterloo: Analysis of A Penalty Method for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB)
Lorenzo Garlappi, UBC: Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method
Jim Gatheral, Merrill Lynch: Optimal order execution
Mike Giles, Oxford: Afternoon discussion
Mike Giles, Oxford: Progress with multilevel Monte Carlo methods
Kay Giesecke, Stanford: Asymptotically Optimal Importance Sampling For Dynamic Portfolio Credit Risk
Ralf Korn, TU Kaiserslautern: Recent advances in option pricing via binomial trees
Ciamac Moallemi, Columbia: A multiclass queueing model of limit order book dynamics
Kumar Muthuraman, UT Austin: Moving boundary approaches for solving free-boundary problems
Philip Protter, Cornell: Absolutely Continuous Compensators
Chris Rogers, Cambridge: Convex regression and optimal stopping
Birgit Rudloff, Princeton: Hedging and Risk Measurement under Transaction Costs
Jeremy Staum, Northwestern: Déjà Vu All Over Again: Efficiency when Financial Simulations are Repeated
Nizar Touzi, Ecole Polytechnique: A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs

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Industrial-Academic Forum on Operational Risk (March 26-27, 2010)

Emre Balta, Office of the Comptroller of the Currency, OCC: The Known, the Unknown, and the Unknowable: Challenges in Validating AMA Models
Eric Cope, IBM Research, Zurich: Penalized Likelihood Estimators for Truncated Data
Matthias Degen, Cornell University: Diversification benefits: a second-order approximation
Kabir Dutta, Charles River Associates: On Using Scenario Analysis in The Measurement of Operational Risk: A Systematic Approach for Data Integration
Elise Gourier, Swiss Banking Institute, University of Zurich: Operational risk quantification using extreme value theory and copulas: from theory to practice
Giulio Mignola, Intesa Sanpaolo: Challenges in measuring operational risks from loss data
Martin Neil, Queen Mary University, London: Using Hybrid Dynamic Bayesian Networks to model Operational Risk in Finance
Tony Peccia, Citi group: Rethinking Basel II for Operational Risk
Anupam Sahay, Key corp: Analytic Approximations for Operational Risk Capital
Alberto Suarez, Universidad Autónoma de Madrid: Robust quantification of the exposure to operational risk: Bringing economic sense to economic capital
Beatriz Santa Cruz Blanco, BBVA: Issues in Modelling Tails in Operational Risk
John Walter, Bank of America: Operational Risk Quantification at Bank of America

Workshop on Foundations of Mathematical Finance (January 11-15, 2010)

Peter Bank, Technische Universität Berlin: Market Indifference Prices
Bruno Bouchard, University Paris-Dauphine: Optimal Control under Stochastic Target Constraints - Application to portfolio optimization under risk constraints
Luciano Campi, Université Paris-Dauphine: Markov bridges and Kyle-Back equilibrium models of insider trading
Rene Carmona, Princeton University: Levy Market Models (joint with S. Nadtochiy)
Patrick Cheridito, Princeton University: Equilibrium pricing in incomplete markets under translation invariant preferences
Jaksa Cvitanik, California Institute of Technology: Complete Market Equilibrium with Heterogeneous Agents
Emanuela Rosazza Gianin, Università di Milano-Bicocca: g-expectations and the representation of the penalty term of dynamic convex risk measures
Nicole El Karoui, Ecole Polytechnique: Talk on recent work
Damir Filipovic, Vienna Institute of Finance: Pricing and Hedging of CDOs: A Top Down Approach
Marco Frittelli, University of Milan: Robust representation of dynamic quasiconvex maps
Paolo Guasoni, Scuola Normale Superiore: The Incentives of Hedge Fund Fees and High-Water Marks
Kostas Kardaras, Boston University: Financial equilibria in incomplete markets where heterogeneous agents with numeraire-invariant preferences act
Dmitri Kramkov, Carnegie Mellon University: Talk on recent work
Kasper Larsen, Carnegie Mellon University: Continuous equilibria with heterogeneous preferences and unspanned endowments
Semyon Malamud, ETH-Zentrum: Information Percolation in Segmented Markets
Michael Monoyios, University of Oxford: Optimal exercise of an executive stock option by an insider
Miklós Rásonyi, University of Edinburgh: Fragility of arbitrage and bubbles in diffusion models
Martin Schwiezer, ETH Zurich: How do optimal portfolios depend on the time horizon?
Mihai Sirbu, University of Texas at Austin: Optimal investment on finite horizon with random discrete order flow in illiquid markets
Josef Teichmann, University of Technology Vienna: Matrix-valued affine processes -- theory and applications
Nizar Touzi, Ecole Polytechnique: Wellposedness of Second Order BSDEs
Thaleia Zariphoupoulou, University of Texas at Austin: Investment performance measurement under time-monotone criteria
XunYu Zhou, University of Oxford: Finding Quantiles
Gordan Zitkovic, University of Texas at Austin: Incomplete-market equilibria with exponential utilities

IFID Conference on Retirement Income Analytics (November 25, 2009)

Luis Goncalves-Pinto, USC Marshall School of Business: How Does Illiquidity Affect Delegated Portfolio Choice?
Kim Peijnenburg, Tilburg University: Optimal Annuitization with Background Risk and Equity Exposure During Retirement
Michael Sheris, University of New South Wales: Securitization, Structuring and Pricing of Longevity Risk
Eytan Sheshinski, Hebrew University & Princeton University: Recent Innovations in Annuities
Nabil Tahani, York University: Targeting Retirement Odds: Better Approximations with Higher Sustainability

Quantitative Finance: Foundations and Applications

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