|
13-16 December 2006 - Sydney, Australia
The Quantitative Methods in Finance - 2006 Conference (PDF 250kb) brought together leading experts in Quantitative Finance from Industry and Academia for a 4-day conference in Sydney, Australia.
See Below for:
Conference Focus
Plenary Speakers
Practitioners' Workshops
Presentation Slides and Papers
Conference Venue
Conference Dinner Photos
Organisers and Contact
Focus
Integrated Risk Management, Credit Risk, Interest Rate Term Structure, Stochastic Volatility, Portfolio Optimisation and other areas of Quantitative Finance.
Plenary Speakers
Prof. Claudio Albanese
Imperial College London, UK
Prof. Carole Alexander
The University of Reading Business School, UK
Prof. Alain Bensoussan
University of Texas, Dallas, USA
Prof. Carl Chiarella
The University of Technology, Sydney, Australia
Prof. Rama Cont
Ecole Polytechnique, Palaiseau Cedex, France
Columbia University, New York, USA
Prof. Mark Davis
Imperial College London, UK
Prof. Daniel Dufresne
University of Melbourne, Australia
Prof. Robert Elliott
University of Calgary, Canada
Prof. Damir Filipovic
University of Munich, Germany
Dr. Jim Gatheral
New York University, New York
Prof. Vicky Henderson
Princeton University, New York, USA
Prof. David Hobson
Princeton University, New York, USA
Prof. Lane Hughston
King's College London, UK
Dr. Mark Joshi
University of Melbourne, Australia
Prof. Alex Novikov
The University of Technology, Sydney, Australia
Prof. Eckhard Platen
The University of Technology, Sydney, Australia
Prof. Marek Rutkowski
University of New South Wales, Sydney, Australia
Dr. Gerhard Stahl
German Financial Supervisory Authority
Dr. John van der Hoek
University of Adelaide, Australia
Practitioner Workshops
Presented at the Manly Pacific Hotel, Sydney
Monday 11 December 2006
Rama Cont
Calibration Methods for Derivative Pricing Models
Tuesday 12 December 2006
Rama Cont
Calibration Methods for Derivative Pricing Models Part Two
Monday 11 December 2006
Gerhard Stahl
Lessons from Implementations of Basel II and for Solvency II
Tuesday 12 December 2006
Claudio Albanese
Pricing Structured Products with Spectral Methods:
From CDOs to Path Dependents and Hybrids
Tuesday 19 December 2006
Juri Hinz
Valuation of Financial Products in Energy, Commodity and Carbon Trading
Presentation Slides and Papers
Following is a list of many of the presentation slides for presentations by QMF 2006 speakers arranged in order of the presenter's surname. Please click on the title to view the slides. To view the accompanying paper, please visit the Conference Maker Website.
Carol Alexander
University of Reading
Model-Free Hedge Ratios and Scale-Invariant Models
Alain Bensoussan
University of Texas at Dallas
Remarks on the Capital Asset Pricing Model in Discrete Time
Nicola Bruti-Liberati
University of Technology, Sydney
Weak Predictor-Corrector Schemes for Jump Diffusions in Finance
Raoul Davie
Macquarie Bank
Derivative Portfolio Optimisation
Mikael Elhouar
Stockholm School of Economics
Finite Dimensional Realizations of Regime-Switching HJM models
Robert Elliott
University of Calgary
Asset Prices with Regime Switching Variance Gamma Dynamics
Jim Gatheral
New York University
Real-time Volatility Estimation Under Zero Intelligence
Chuan-Hsiang (Sean) Han
National Tsing Hua University
Analysis of Monte Carlo Methods for Option Pricing under Stochastic Volatility Models
Patrick Hewlett
University of Oxford
Optimal Liquidation against a Markovian Limit Order Book
Mia Hinnerich
Stockholm School of Economics
Inflation Indexed Swaps and Swaptions
Boda Kang
University of South Australia
Pricing Financial Derivatives on Weather-Sensitive Assets
Kasper Larsen
Carnegie Mellon University
Are Option-Pricing and Utility-Maximization Problems Well-posed?
Ken Palmer
National Taiwan University
Smooth Convergence in the Binomial Model
François Quittard-Pinon
Université Lyon 1
Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
Marek Rutkowski
University of New South Wales
Hedging of Defaultable Game Options in a Hazard Process Model
Simona Sanfelici
University of Parma
Properties of the Fourier Integrated Volatility Estimator under Microstructure Noise
Detlef Seese
University of Karlsruhe
Investigating FX Market Efficiency with Support Vector Machines
William Shaw
King’s College, London
Generating Quantile Functions for Copula and Quasi-Monte-Carlo Simulations using Computer Algebra
Keiichi Tanaka
Tokyo Metropolitan University
Credit Derivatives with Recovery of Market Value for Multiple Firms
Zuoquan Xu
The Chinese University of Hong Kong
Continuous Time Mean-Variance Portfolio Selection with Proportional Transaction Costs
Songping Zhu
University of Wollongong
A Simple Analytical Formula for the Critical Stock Price of American Put Options
Conference Dinner Photos
Please click here to view some photos from the QMF 2007 Conference Dinner. These photos have been provided courtesy of Prof. David Taylor from the Programme in Advanced Mathematics of Finance at the University of the Witwatersrand.
Conference Venue
Manly Pacific Sydney Hotel
55 North Steyne, Manly NSW 2095
QMF 2006 was Organised by:
Prof. Carl Chiarella and Prof. Eckhard Platen, School of Finance and Economics, University of Technology, Sydney
Contacts
For more details contact the QMF Conference Coordinator
|
