WORLD CONGRESS ON COMPUTATIONAL FINANCE |
March 26, 2007
London Marriott Hotel Regents Park
128 King Henry's Road, London
Phone: 44 - 207 - 7227711
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| 8:00 - 8:30 | Registration |
| 8:30 - 8:45 |
Welcoming Address
Domingo Tavella and David Eisenbud
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| 8:45 - 9:30 |
BREAKFAST
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| Stream 1
Simulation and optimization | Stream 2
Credit | Stream 3
PDE Methods |
| 9:30 - 10:15 |
Peter Tankov
University of Paris
Levy processes in Finance: The state of the art
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Jon Gregory
Barklays Capital
A decade of CDO pricing
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Peter Carr
Bloomberg
ODE to Jumps
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| 10:15 - 11:00 |
Dilip Madan
University of Mariland
Applications and Advances in first passage time computations
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Jens Lund
Nordea Markets
Quantifying counterparty risk
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Thomas Hyer
UBS
Applications of Gauge freedom in
stochastic volatility models
|
| 11:00 - 11:45 |
Paul Glasserman
Columbia University
Hedging with Monte Carlo
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Lutz Schloegl
Lehman Brothers
Credit spreads distributions in a
hitting-time model for defaults
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Peter Forsyth
University of Waterloo
Numerical solutions of Hamilton-Jacobi-
Bellman equations in Finance
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| 12:00 - 12:45 |
Roger Lee
University of Chicago
Correlated Time-Change Computations
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Martin Dahlgren
Bank of America
Pricing electricity and hybrid derivatives
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Domingo Tavella
Octanti Associates
Credit derivatives with PDEs
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| 13:00 - 14:00 |
LUNCH
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| 14:00 - 14:30 |
Nicolas Papageorgiou
HEC Montréal
Optimal hedging strategies with an application to hedge fund replication
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Alexandre Antonov
Numerix
Analytical Techniques for Overlapping Credit Portfolios in the Factor Models Framework
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C.C.W. Leentvaar
Delft University of Technology
On coordinate transformation and grid stretching for sparse grid
pricing of basket options
|
| 14:30 - 15:00 |
David Skovmand
UC Berkeley
The Valuation of Callable Bonds with Floored CMS-spread coupons
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Mirela Predescu
University of Oxford
The valuation of correlation-dependent credit derivatives using a structural model
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Umberto Cherubini
University of Bologna
The dependence structure of running maxima and minima: Results and option pricing applications
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| 15:00 - 15:30 |
Scott Robertson
Boston University
Optimal Importance Sampling for derivatives pricing in diffusion models
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Kay Giesecke
Stanford University
Pricing credit from the top down
with affine point processes
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Jan Vecer
Columbia University
Maximum Drawdown and Directional Trading
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| 15:30 - 16:00 |
BREAK
|
| 16:00 - 16:30 |
Paul Schneider
Vienna University of Economics and Business Administration
Globally Optimal Parameter Estimates for Nonlinear Diffusion Processes with Expected Likelihood
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Meng-Lan Yueh
National Central University - Taiwan
Importance sampling for basket default swap valuation
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Roger Lord
Rabobank International
Optimal Fourier inversion in semi-analytical option pricing
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| 16:30 - 17:00 |
Vikentia Provizionatou
University of Essex
Optimal hedge ratios using asymmetric dependence and copulas
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Giuseppe Di Graziano
Cambridge University
A dynamic approach to the modelling of credit derivatives using Markov Chains
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Christoph Reisinger
Oxford University
Efficient Hierarchical Approximation of high-dimensional option pricing problems
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| 17:00 - 17:30 |
Luca Capriotti
Credit Suisse
Least squares importance sampling for Monte Carlo security pricing
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Martin Krekel
Hypovereinsbank Unicredito
The implied loss distributions of CDOs
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Edward Chi-Fai Lo
Hong Kong University
Fourier series approach for valuing
double barrier options with time-dependent parameters
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| 17:30 - 18:00 |
M.A.H Dempster
University of Cambridge
A wavelet optimized method for financial derivatives
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|
Kin-Pong Lee
Bloomberg
Pricing with finite differences in the HJM framework
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| 20:00 - 22:00 |
DINNER
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