FINANCIAL MATHEMATICS ACTIVITIES

October 25, 2014

The Fields Institute
Seminar on Financial Mathematics

Wednesday, September 30, 1998, 4:30 - 7:00 p.m.

SCHEDULE

4:30 - 5:30 p.m.
"Enhancements to the Standard Approaches for Calculating Value at Risk"
John Hull, Faculty of Management, University of Toronto

6:00 - 7:00 p.m.
"Specification Analysis of Affine Term Structure Models"
Kenneth J. Singleton, Stanford University

ABSTRACTS OF THE TALKS

"Enhancements to the Standard Approaches for Calculating Value at Risk"
John Hull

This presentation will discuss potential improvements to the model building and historical simulation approaches for calculating value at risk. The first part of the presentation will show how to relax the assumption, usually made in the model building approach, that percentage changes in market variables are normally distributed. The second part of the presentation will show how volatility updating can be incorporated into the historical simulation approach.

"Specification Analysis of Affine Term Structure Models"

Kenneth J. Singleton, Stanford University

Abstract not available.

SPEAKERS

John Hull is Professor of Finance in the Faculty of Management at the University of Toronto and an internationally recognized authority of derivatives. Recently his research has focused on interest rate options, credit risk and market risk. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model. He has acted as consultant to many North American, Japanese, and European financial institutions. He has written two books, "Options, Futures and Other Derivatives" (now in its third edition) and "Introduction to Futures and Options Markets" (also in its third edition). Both books, published by Prentice Hall have been translated into several languages and are widely used by practitioners. Dr. Hull is an Associate Editor of nine academic journals including the Journal of Financial and Quantitative Analysis and the Journal of Derivatives.

Kenneth J. Singleton is the C.O.G. Miller Distinguished Professor of Finance at The Graduate School of Business , Stanford University. After receiving his Ph.D. in Economics from the University of Wisconsin, he taught in the Economics Department at the University of Virginia and the Graduate School of Industrial Administration at Carnegie Mellon University, and held short-term visiting positions at the University of Chicago and University of Tokyo. He has been on the finance faculty at Stanford since 1987. During the fall of 1991 and all of 1992, while on leave from Stanford, he was a Vice-President in the Fixed Income Research Department of Goldman Sachs and Co.

ORGANIZERS

Claudio Albanese (Mathematics, University of Toronto), Phelim Boyle (Finance, University of Waterloo), Michel Crouhy (Canadian Imperial Bank of Commerce), Donald A. Dawson (Fields Institute), Ron Dembo (President, Algorithmics Inc.), Thomas McCurdy (Management, University of Toronto), Eli Prisman (Finance, York University), and Stuart Turnbull (Economics, Queen's University)

OTHER INFORMATION

The Financial Mathematics Seminar is offered to any interested participant -- no reservation is necessary.

The Institute is located at 222 College Street, between University Ave. and Spadina Ave. near Huron. Parking is available in pay lots located behind the Fields Institute building (quarters and loonies only), across College St. from the Institute (cash only), and underground at the Clarke Institute of Psychiatry (entry on Spadina Ave., just north of College St.)

Information on the 1998-99 Seminar Series on Financial Mathematics is available through electronic notices sent via e-mail and through the Fields Institute's world wide web site.