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THEMATIC PROGRAMS |
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| April 19, 2024 |
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Thematic Program on Quantitative
Finance:
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April 15-16, 2010
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Supported by:
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Organizers: T. Bielecki, S. Crepey and M. Jeanblanc
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| Registration on site April 15 Fees: $25 students/PDF $100:Academics/Regulators/Gov't $200 Industry/Other |
Talk titles and abstracts | |
| Visitor Information | Hotels and Housing | |
| To register for more than one Industrial-Academic Forum | Thematic Program Homepage | |
Mailing List : To receive updates on the program please subscribe to our mailing list at www.fields.utoronto.ca/maillist
Overview
The objective of this forum is to present selected current research and applications pertaining to three important niches of financial markets: equity-to-credit universe, counterparty risk universe and the universe of hybrid instruments. The invited speakers are a select group of practitioners and academics, whose research sets the frontiers of the three niches. The most recent theoretical results will be confronted with practical needs of financial institutions and regulators.
Confirmed speakers :
· Game Options, Convertibles and Hybrids:
Jan Kallsen (University of Kiel)
Yuri Kifer (Institute of Mathematics Hebrew University of Jerusalem)
Abdhallah Rahal (Bank AUDI)
Jean Francois Chassagneux (Université Denis Diderot (P7))
· Equity to credit:
Tom Hurd (McMaster)
Claudio Albanese (King's College, London)
Julien Turc (Société Générale Corporate
& Investment Banking)
Rafael Mendoza-Arriaga (UTexas)
· Counterparty risk:
Agostino Capponi (California Institute of Technology)
Dan Rosen (R2 Technologies)
Giovanni Cesari (UBS)
Stephane Crepey (Evry University)
Tentative Schedule
| Thursday April 15, 2010 | |
| 8:50 - 9:00 | Welcome and Introduction Organizers & Fields Institute Director Ed Bierstone |
| 9:00 - 9:50 | Claudio Albanese (King's College, London) Credit-equity models and High-Throughput Computing |
| 10:00 - 10:50 | Jan Kallsen (University of
Kiel) On the pricimg of game options and convertible bonds |
| 11:00 - 11:50 | Agostino Capponi (California Institute
of Technology) Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps |
| 12:00 - 1:30 | Lunch Break |
| 1:30 - 2:20 | Julien Turc (Société
Générale Corporate & Investment Banking) Joint modelling of credit spreads, share prices and volatility |
| 2:30 - 3:20 | Yuri Kifer (Institute of Mathematics Hebrew
University of Jerusalem) Perfect and Partial Hedging for Multiple Exercise (Swing) Game Options in Discrete And Continuous Time |
| 3:30 - 4:30 | Panel Discussion: Computational
Support for Credit-Hybrid Risk Moderator: Giovanni Cesari (UBS) |
| 4:30 - 5:30 | Reception - cash
bar Fields Atrium |
| Friday April 16, 2010 | |
| 9:00 - 9:50 | Rafael Mendoza-Arriaga (UTexas) Time Changed Markov Processes in United Credit-equity Modeling |
| 10:00 - 10:40 | Jean-Francois Chassagneux (Université
Denis Diderot (P7)) Pricing Game Option using Reflected BSDEs |
| 10:40 - 11:00 | Abdallah Rahal (Bank AUDI) Pricing Game Option using Reflected BSDEs: Part II – Application to Pricing Convertible Bonds with call protection |
| 11:10 - 12:00 | Dan Rosen (R2 Technologies) Pricing Counterparty Risk at the Trade Level and CVA Allocations |
| 12:00 - 1:30 | Lunch Break |
| 1:30 - 2:20 | Tom Hurd (McMaster) Two factor models of equity and credit derivatives |
| 2:30 - 3:20 | Giovanni Cesari (UBS) Modelling, Pricing, and Hedging Counterparty Credit Exposure |
| 3:30 - 4:20 | Stephane Crepey (Evry University) CVA computation for counterparty risk assessment in credit portfolios |
| 4:20 - 4:30 | Closing Remarks |
Confirmed Participants as of April 30, 2010
| Full Name | University/Affiliation |
| Albanese, Claudio | King's College, London |
| Bielecki, Tomasz | Illinois Institute of Technology |
| Capponi, Agostino | California Institute of Technology |
| Cesari, Giovanni | UBS AG |
| Chassagneux, Jean-François | Université Denis Diderot (P7) |
| Crépey, Stéphane | Université d'Evry |
| Decrem, Peter | Quantifi, Inc. |
| Fahim, Arash | Ecole Polytechnique |
| Ferguson, Ryan | Scotia Capital |
| Frittelli, Marco | University of Milan |
| Gardner, Douglas | Wells Fargo |
| Grasselli, Matheus | McMaster University |
| Huang, Haohan | York University |
| Hurd, Tom | McMaster University |
| Iyigunler, Ismail | Illinois Institute of Technology |
| Jackson, Ken | University of Toronto |
| Jeanblanc, Monique | Université d'Evry |
| Kallsen, Jan | Christian-Albrechts-Universität zu Kiel |
| Kifer, Yuri | Einstein Institute of Mathematics |
| Kreinin, Alexander | Algorithmics Incorporated |
| Lei, Mei | TD Bank Financial Group |
| Lozinski, David | McMaster University |
| Luong, Jack | TD Bank Financial Group |
| Ma, Shuqing | The Bank of Nova Scotia |
| Ma, Zhong | TD Bank Financial Group |
| Mendoza-Arriaga, Rafael | The University of Texas at Austin |
| Moukoukou, Arsene | Garp, Praza |
| Paramsothy, Rega | TD Bank Financial Group |
| Peng, Xianhua | Fields Institute and York University |
| Pooley, David | ITO33 |
| Rahal, Abdallah | Bank AUDI |
| Rodriguez, Rodrigo | Illinois Institute of Technology |
| Rosen, Dan | R² Financial Technologies Inc. |
| Ruiz, John | TD Bank Financial Group |
| Salisbury, Thomas | York University |
| Silla, Sebastiano | Polytechnic University of Marche |
| Turc, Julien | Societe Generale |
| Walker, Michael | University of Toronto |
| Wiese, Anke | Heriot-Watt University |
| Yi, Chuang | Royal Bank of Canada |
| Zhou, Zhuowei | McMaster University |