Date: Friday 23 March 2007
Location: De Morgan House, London
Programme
| 09.15 – 09.45 | Coffee/Registration |
| 09.45 – 10.30 | Invited Talk Multilevel Monte Carlo path simulation Professor Mike Giles (Oxford University) |
| 10.30 – 10.50 | Untwisting the Parallel Mersenne Twister: examination by exhaustion of the properties of the most commonly used PRNG in finance A. Vile, M. Harasimiuk and G. Morris (Excelian, Clearspeed, Celoxica) |
| 10.50 – 11.05 | Coffee |
| 11.05 – 11.25 | Valuing double-barrier options of a mean-reverting lognormal underlying with time-dependent parameters C.F. Lo, T.K. Chung and C.H. Hui (Chinese University of Hong Kong) |
| 11.25 – 11.45 | Using Kalman- Filtered Radial Basis Function Networks to Forecast Changes in the ISEQ Index D. Edelman (University College Dublin) |
| 11.45 – 12.05 | The Alchemy of Probability Distributions: Beyond Gram-Charlier \& Cornish-Fisher Expansions, and Skew-Normal or Kurtotic-Normal Distributions W. Shaw and I. Buckley (Kings College London) |
| 12.05 – 12.25 | Generic Options and Generic Option Numerics N. Webber (Warwick Business School) |
| 12.25 – 12.45 | Numerical Evaluation of the Cubature on Wiener Space L. Gyurko (University of Oxford) |
| 12.45 – 13.05 | Pricing Convertible bonds by Simulation N. El Bachir, D. Lvov and A.B. Yigitbasioglu (University of Reading) |
| 13.05 – 14.00 | Buffet Lunch |
| 14.00 – 14.40 | Individual Asset Liability Management Professor Michael Dempster (University of Cambridge) |
| 14.40 – 15.00 | A Finite Difference Method for Pricing European and American Options under Jump Diffusion Processes A.K. Parrott (University of Greenwich) |
| 15.00 – 15.20 | Static Mean Variance Hedging of Equity and Credit Risk I. Ward and D. Becherer (Imperial College London) |
| 15.20 – 15.40 | Pricing Exotic Options using Strong Convergence Properties K. Schmitz and Michael Giles (Oxford University) |
| 15.40 – 15.55 | Tea |
| 15.55 – 16.10 | Weak Jump-Adapted Predictor-Corrector Schemes for Jump-Diffusions in Finance N. Bruti Liberati and E. Platen (University of Technology, Sydney) |
| 16.10 – 16.55 | Invited Talk Vol surfaces and interest rate smile modeling Professor Pat Hagan (Brevan Howard Asset Management) |
| 16.55 – 18.00 | Drinks Reception and Conference Close |
