July 18, 2024
Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010

May 24 - 28, 2010
Workshop on Financial Derivatives and Risk Management
at the Fields Institute, 222 College Street (map)

Scientific Committee:

Peter Carr
Rama Cont
Darrell Duffie

Lane Hughston (chair)
Roger Lee
Sponsored by

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  • Equity, interest rate and foreign exchange derivatives
  • Volatility derivatives
  • Credit risk modelling
  • Structured product design and functionality
  • Liquidity risk
  • Default contagion
  • Systemic risk in OTC market - clearing, transparency, and collateral rehypothecation
  • Partial information models for asset pricing and their applications

Confirmed Speakers (talk titles and abstracts)

Lorenzo Bergomi (Société Générale)
Tomasz Bielecki (IIT)
Nicholas Bingham (Imperial College)
Dorje Brody (Imperial College)
Rama Cont (Paris VI-VII)
Mark Davis (Imperial College)
Giuseppe Di Graziano (Deutsche Bank London)
Rudiger Frey (Leipzig)
Jim Gatheral (Baruch College, CUNY)
David Hobson (Warwick)
Lane Hughston (Imperial College)
Monique Jeanblanc (Evry)
Yu Hang Kan (Columbia)
Thomas Kokholm (Aarhus)
Roger Lee (Chicago)
Andrea Macrina (King's College London)
Gustavo Manso (MIT)
Aleksandar Mijatovic (Imperial College)
Andreea Minca (Paris VI)
Jan Obloj (Oxford)
Goran Peskir (Manchester)
Martijn Pistorius (Imperial College)
Marek Rutkowski (Sydney)
Thorsten Schmidt (Leipzig)
Steve Shreve (Carnegie Mellon)
Stuart Turnbull (Houston)
Johan Tysk (Uppsala)

Workshop Schedule

Monday May 24
9.35 - 9.45 Welcome and Introduction
Fields Institute & Organizers
9.45 - 10.25 Jim Gatheral (Baruch College, CUNY)
Implied Volatility from Local Volatility
10:30 - 11:00 Coffee Break - workshop dinner ticket sales
11:00 - 11.40 Dorje C. Brody (Imperial College London)
Rational Term Structure Models with Geometric Lévy Martingales
11.45- 12.25 Rama Cont (Paris VI-VII)
Functional Ito calculus and the pricing and hedging of path-dependent derivatives
12.30 - 2.30 Lunch Break
2.30 - 3.10 Mark Davis (Imperial College)
On SDEs with state-dependent jump measure
310 - 3.55 Roger Lee (Chicago)
Variation Swaps on Time-Changed Levy Processes
Tuesday May 25
9:00 - 9:40 Monique Jeanblanc (Evry)
Density models for credit risk
9.45 - 10.25 Marek Rutkowski (Sydney)
Market Models of Forward CDS Spreads
10:30 - 11:15 Coffee Break - workshop dinner ticket sales
11:00 - 11.40 Lane Hughston (Imperial College)
Implied Density Models for Asset Pricing
11.45- 12.25 Jan Obloj (Oxford)
On notion of arbitrage and robust pricing and hedging of variance swaps
12.30 - 2.30 Lunch Break
2.30 - 3.10 Gustavo Manso (MIT)
Information Percolation
3.15 - 3.55 Lorenzo Bergomi (Societe Generale)
Static and dynamic properties of stochastic volatility models: a structural connection
4.00 - 6.00 Reception and poster session
Wednesday May 26
9.45 - 10.25 Tomasz Bielecki (IIT)
Hedging of counterparty risk
10:30 - 11:00 Coffee Break
11:00 - 11.40 Aleksandar Mijatovic (Imperial College)
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
11.45- 12.25 Johan Tysk (Uppsala)
Dupire's Equation for Bubbles
12.30 - 2.30 Lunch Break
2.30 - 3.10 Stuart Turnbull (Houston)
Measuring and Managing Risk in Innovative Financial Instruments
3.15 - 3.55 Yu Hang Kan (Columbia)
Default intensities implied by CDO spreads: inversion formula and model calibration
4.00 - 4.30 Coffee Break
4.30 - 5.10 David Hobson (Warwick)
Model independent bounds for variance swaps
6.30 pm Workshop Dinner - cash bar
Joe Badali's
156 Front St. West
Thursday May 27
9.45 - 10.25 Nicholas Bingham (Imperial College)
Multivariate elliptic processes
10:30 - 11:00 Coffee Break
11:00 - 11.40 Giuseppe Di Graziano (Deutsche Bank London)
Target Volatility Option Pricing
11.45- 12.25 Andreea Minca (Paris VI)
Resilience to contagion in financial networks
12.30 - 2.30 Lunch Break
2.30 - 3.10 Andrea Macrina (King's College London)
Heat Kernels for Information-Sensitive Pricing Kernels
3.15 - 3.55 Thorsten Schmidt (Leipzig)
Market Models for CDOs Driven by Time-Inhomogeneous Levy Processes
4.00 - 4.30 Coffee Break
4.30 - 5.10 Rudiger Frey (Leipzig)
Portfolio optimization under partial information with expert opinions
Friday May 28
9.45 - 10.25 Goran Peskir (Manchester)
A Duality Principle for the Legendre Transform and the Valuation of Financial Contracts
10:30 - 11:00 Coffee Break
11:00 - 11.40 Pavel Gapeev (London School of Economics)
Pricing and filtering in a two-dimensional dividend switching model
11.45- 12.25 Thomas Kokholm (Aarhus)
A Consistent Pricing Model for Index Options and Volatility Derivatives
12.30 - 2.30 Lunch Break
2.30 - 3.10 Martijn Pistorius (Imperial College)
Continuously monitored barrier options under Markov processes
3.15 - 3.55 Steve Shreve (Carnegie Mellon)
Matching Statistics of an Ito Process by a Process of Diffusion Type
4.00 - 4.45 Coffee Break

Confirmed Participants

Full Name University/Affiliation
Alexandru-Gajura, Elena McMaster University
Amir, Muhammad TD Bank Financial Group
Bentata, Amel Université Pierre et Marie Curie
Bergomi, Lorenzo Société Générale Corporate and Investment Banking
Bernard, Carole University of Waterloo
Bielecki, Tomasz Illinois Institute of Technology
Bingham, Nicholas Imperial College London
Bouille, Danaé Universität Oldenburg
Brody, Dorje Imperial College London
Byelkina, Svitlana Bank of Montreal
Campolieti, Joe Wilfrid Laurier University
Chadam, John University of Pittsburgh
Chan, Paul TD Securities
Chellathurai, Thamayanthi Canadian Imperial Bank of Commerce
Chung, Jaehun CIBC
Cont, Rama Columbia University
Dang, Duy Minh University of Toronto
Davis, Mark H.A. Imperial College London
Di Graziano, Giuseppe Deutsche Bank AG
Dos Reis, Goncalo Ecole Polytechnique
Draviam, Thangaraj  
Escobar, Marcos Ryerson University
Ewald, Christian-Oliver University of Sydney
Fahim, Arash Ecole Polytechnique
Fayyad, Wael McMaster University
Ferrando, Sebastian Ryerson University
Fouque, Jean-Pierre University of California, Santa Barbara
Frey, Rüdiger University of Leipzig
Gapeev, Pavel London School of Economics
Gatheral, Jim Baruch College, CUNY
Grasselli, Matheus McMaster University
Gretarsson, Hringur Imperial College London
Ha, Eugene Fields Institute
Halaj, Grzegorz ALM in Bank Pekao (UniCredit Group)
Halevy, Itamar  
Hobson, David University of Warwick
Hughston, Lane Imperial College
Hurd, Tom McMaster University
Hyndman, Cody Concordia University
Iscoe, Ian Algorithmics Incorporated
Islam, Shafiqul University of Prince Edward Island
Jackson, Ken University of Toronto
Jacquier, Antoine Imperial College London
Jaimungal, Sebastian University of Toronto
Jeanblanc, Monique Université d'Evry
Jeon, Yoontae University of Toronto
Jun, Doobae Sungkyunkwan University
Kan, Yu Hang Columbia University
Kapchinsky, Michael Toronto Dominion Bank
Kim, Kyoung-kuk Fields Institute
Kim, Paul BMO
Kokholm, Thomas Aarhus University
Kou, Steven Columbia University
Ku, Hyejin York University
Kuznetsov, Alexey York University
Lakhany, Asif Algorithmics Incorporated
Lee, Roger University of Chicago
Levin, Alex Royal Bank of Canada
Li, Sebastian University of Toronto
Lin, Jen-Wen TD Bank Financial Group
Lorig, Matthew University of California - Santa Barbara
Lyons, Simon Imperial College
Ma, Xiaofang BMO
Macrina, Andrea King's College London
Manso, Gustavo MIT Sloan School of Management
Marada, Tomas Vrije Universiteit Amsterdam
Marri, Fouad York University
Mengütürk, Levent Imperial College London
Mijatovic, Aleksandar Imperial College London
Mina, Francesco Imperial College
Minca, Andreea Paris 6 University
Monoyios, Michael University of Oxford
Muhina, Irina Manulife
Niu, Shilei University of Waterloo
Obloj, Jan University of Oxford
Parbhoo, Priyanka University of the Witwatersrand
Peng, Xianhua Fields Institute and York University
Peskir, Goran The University of Manchester
Pham-Dang, Benoit Imperial College London
Pirvu, Traian McMaster University
Pistorius, Martijn Imperial College London
Qiao, Yun (Carrie) York University
Rutkowski, Marek University of Sydney
Salisbury, Thomas York University
Saunders, David University of Waterloo
Schmidt, Thorsten Chemnitz University of Technology
Schulze, Klaas McMaster University
Sezer, Deniz University of Calgary
Shen, Jerry Bank of Montreal
Silla, Sebastiano Polytechnic University of Marche
Sotomayor, Luz Georgia State University
Stolte, Johannes Imperial College
Tarrant, Wayne Wingate University
Taylor, David Wits University
Tourin, Agnes Fields Institute
Touzi, Nizar Ecole Polytechnique
Tsui, Lung Kwan University of Pittsburgh
Turnbull, Stuart University of Houston
Vaz, Anthony Manulife Financial
Walker, Michael University of Toronto
Wang, Anna TD Bank Financial Group
West, Graeme Financial Modelling Agency
West, Lydia University of Stellenbosch
Xia, Feng TD Bank Financial Group
Xie, Dejun University of Delaware
Xing, Hao Boston University
Yang, Michael TD Bank Financial Group
Yang, Xun Imperial College London
Yi, Chuang Royal Bank of Canada
Zaczkowski, Pawel Imperial College London
Zhang, Aihua Nottingham University, China campus
Zhang, Jingrui CIBC
Zhou, Zhuowei McMaster University
Zubelli, Jorge IMPA


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