THE INSTITUTE OF MATHEMATICS
AND ITS APPLICATIONS

THE INSTITUTE OF MATHEMATICS AND ITS APPLICATIONS

FIRST IMA CONFERENCE ON COMPUTATIONAL FINANCE
Friday 23rd March 2007 De Morgan House, Russell Square, London

DRAFT PROGRAMME

09:15-09:45            Coffee/Registration

09:45-10:30            Invited Talk
                                  Professor Mike Giles Oxford University 'Multilevel Monte Carlo path simulation’

10:30-10.50            A. Vile, M. Harasimiuk and G. Morris Excelian, Clearspeed, Celoxica ‘Untwisting the Parallel Mersenne Twister:                                   examination by exhaustion of the properties of the most commonly used PRNG in finance’

10:50-11:05            Coffee

11:05-11:25            C.F. Lo, T.K. Chung and C.H. Hui Chinese University of Hong Kong ‘Valuing double-barrier options of a mean-reverting                                   lognormal underlying with time-dependent parameters’

11:25-11:45            D. Edelman University College Dublin ‘Using Kalman- Filtered Radial Basis Function Networks to Forecast Changes in                                   the ISEQ Index’

11:45-12:05            W. Shaw and I. Buckley Kings College London ‘The Alchemy of Probability Distributions: Beyond Gram-Charlier \&                                   Cornish-Fisher Expansions, and Skew-Normal or Kurtotic-Normal Distributions’

12:05-12:25           N. Webber Warwick Business School ‘Generic Options and Generic Option Numerics’

12:25-12:45            L. Gyurko University of Oxford ‘Numerical Evaluation of the Cubature on Wiener Space’

12:45-13:05            N. El Bachir, D. Lvov and A.B. Yigitbasioglu University of Reading ‘Pricing Convertible bonds by Simulation’

13:05-14:00            Buffet Lunch

14:00-14:40            Professor Michael Dempster University of Cambridge ‘Individual Asset Liability Management’

14:40-15:00            A.K Parrott University of Greenwich ‘A Finite Difference Method for Pricing European and American Options under Jump                                   Diffusion Processes’

15:00-15:20            I. Ward and D. Becherer Imperial College London ‘Static Mean Variance Hedging of Equity and Credit Risk’

15:20-15:40            K. Schmitz and Michael Giles Oxford University ‘Pricing Exotic Options using Strong Convergence Properties’

15:40-15:55            Tea

15:55-16:10            N. Bruti Liberati and E. Platen University of Technology, Sydney ‘Weak Jump-Adapted Predictor-Corrector Schemes for                                   Jump-Diffusions in Finance

16:10-16:55            Invited Talk
                                  Professor Pat Hagan Brevan Howard Asset Management ‘Vol surfaces and interest rate smile modeling’

16:55-18:00            Drinks Reception and Conference Close