WORKSHOP PROGRAMME
Spectral and Cubature Methods in Finance and Econometrics
An interdisciplinary international research workshop
University of Leicester, UK, June 18- 20, 2009
Supported by
AMAMEF, EPSRC, LMS, Oxford-Man Institute and University of Leicester
Organizers
Sergei Levendorskiĭ, Dept. of Mathematics, University of Leicester
Terry Lyons, Oxford-Man Institute, University of Oxford
Martijn Pistorius, Dept. of Mathematics, Imperial College, London
Scientific Committee
Claudio Albanese, King’s College
Peter Carr, Bloomberg and Courant Institute, NYU
Darrell Duffie, Stanford University
Alex Eydeland, Morgan Stanley
Steve Kou, Columbia University
Andreas Kyprianou, University of Bath
Sergei Levendorskiĭ, University of Leicester
Vadim Linetsky, Northwestern University
Alex Lipton, Merrill Lynch
Terry Lyons, Oxford-Man Institute
Dilip Madan, University of Maryland
Martijn Pistorius, Imperial College, London
GENERAL INFORMATION
On cite registration and distribution of badges, etc:
Cromwell room, Ramada-Jarvis hotel, 08:30-11:30, June 18-19
All talks: Cromwell room, Ramada-Jarvis hotel, Leicester
Each talk is 40 min plus 5 min for discussions, with the exception of the last talk by Alexey Kuznetsov (25 min) who kindly suggested to sacrifice 20 min of his talk to facilitate the trip to the Warwick Castle on June 20
Coffee and buffet lunches (Summit Restaurant) are available for registered participants
Poster sessions: during the coffee and lunch breaks
Reception for registered participants: Ramada-Jarvis hotel, Club Bar
19:45-20:45, June 18
Dinner: restaurant at Belmont hotel, 19:40, June 19 (10 min walk from Ramada)
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Thursday, June 18, 2009
08:40-08:45 Welcome remarks
08:45-08:55 Inroductory speech by Dilip Madan
Session 1. Chair: Alex Lipton
08:55- 09:40
Dilip Madan (University of Maryland)
Saddlepoint Pricing, Loan Spreads and Counterparty Credit Risk Evaluation
09:40-10:25
Peter Carr* (Bloomberg and Courant Institute) Roger Lee (University of Chicago)
Pricing and Hedging Volatility Derivatives on Time Changed Diffusions
10: 25-10:40 Coffee break
Session 2. Chair: Peter Carr
10:40-11:25
Alex Lipton* (Bank of America Merrill Lynch & Imperial College London)
Artur Sepp (Bank of America Merrill Lynch)
Quantitative methods for Counterparty Risk: I. Analytical Formulation and Results
11:25-12:10
Alex Lipton (Bank of America Merrill Lynch & Imperial College London)
Artur Sepp* (Bank of America Merrill Lynch)
Quantitative methods for Counterparty Risk: II. Implementation Issues and Examples
12:10-12:55
Alexander Eydeland* (Morgan Stanley)
Daniel Mahoney (RBS-SEMPRA)
Fast Convolution Algorithm
12:55-13:50 Lunch
Poster session:
Edward Hoyle (Imperial College London)
Lévy Random Bridges and the Modelling of Financial Information
Antoine Jacquier (Imperial College London)
The large maturity smile for the Heston model
Zhao Bo (Cass Business School)
Inhomogeneous Geometric Brownian Motion
Session 3. Chair: Andreas Kyprianou
13:50-14:35
Christian Litterer (Mathematical Institute, Oxford)
Terry Lyons* (Mathematical Institute and Oxford-Man Institute, Oxford University, Wales Institute of Mathematical and Computational Sciences, Swansea University)
Cubature and super-accurate Monte Carlo PDE solvers
14:35-15:20
Dan Crisan (Imperial College London) and Konstantinos Manolarakis*
Solving a Backward SDE with the Cubature method
15:20-15:35 Coffee break
Session 4. Chair: Damir Filipovic
15:35-16:20
Michael Dempster (Centre for Mathematical Sciences University of Cambridge
& Cambridge Systems Associates Limited)
Wavelet Optimized PDE Valuation of Derivatives
16:20-17:15
Mitya Boyarchenko* (University of Chicago)
Svetlana Boyarchenko (University of Texas at Austin)
Double Barrier Options in Regime-Switching Hyper-Exponential Jump-Diffusion Models
17:15-18:00
Mitya Boyarchenko (University of Chicago)
Sergei Levendorskiĭ* (University of Leicester)
Prices and sensitivities of barrier, first touch digital and double barrier options in Lévy-driven models
18:00-18:10 Break
18:10-18:55
Roger Lee (University of Chicago)
Joint Transforms of Prices and Clocks, with Applications to Path-Dependent Options
18:55-19:40
John Crosby* (Glasgow University),
Aleksandar Mijatovic (Imperial College London)
Nolwenn Le Saux (Imperial College London)
Approximating Lévy processes by hyperexponential jump-diffusion processes with a view to option pricing
19:45-20:45 Reception
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Friday, June 19, 2009
Session 5. Chair: Claudio Albanese
08:55- 09:40
Lars Peter Hansen* (University of Chicago)
José A. Scheinkman (Princeton University)
Pricing Growth-Rate Risk
09:40-10:25
Xiaohong Chen* (Yale University)
Wei Biao Wu (University of Chicago)
Yanping Yi (NYU)
Efficient Estimation of Copula-Based Semiparametric Markov Models
10: 25-10:40 Coffee break
Session 6. Chair: Roger Lee
10:40-11:25
The talk
Bruno Feunou (Duke University) , Nour Meddahi* (University of Toulouse)
Generalized Affine Models
is cancelled. Instead,
Claudio Albanese (King’s College London)
Operator methods for analytically solvable and non-parametric models
11:25-12:10
Damir Filipovic (Vienna Institute of Finance)
Affine Transform Analysis and Asset Pricing
slides http://www.vif.ac.at/filipovic
12:10-13:05 Lunch
Poster session:
Edward Hoyle (Imperial College London)
Lévy Random Bridges and the Modelling of Financial Information
Antoine Jacquier (Imperial College London)
The large maturity smile for the Heston model
Zhao Bo (Cass Business School)
Inhomogeneous Geometric Brownian Motion
Session 7. Chair: Steven Kou
13:05-13:50
Andreas Kyprianou (University of Bath)
Scale functions for spectrally negative Lévy processes and their appearance in economic models
13:50-14:35
Alexandar Mijatovic and Martjin Pistorius* (Imperial College London)
Barrier options for general jump-diffusions
http://ssrn.com/abstract=1462822
14:35-15:20
Alexandar Mijatovic* and Martjin Pistorius (Imperial College London)
Double-no-touch options and the volatility smile
15:20-15:35 Coffee break
Session 8. Chair: Martino Grasselli
15:35-16:20
Peter Laurence (Universita di Roma 1)
Some asymptotic results for local volatility models
16:20-17:05
Liming Feng* and Xiong Lin (University of Illinois at Urbana-Champaign)
Hilbert transform approach for pricing Bermudan options in Lévy models
17:05-17:50
Vadim Linetsky and Lingfei Li* (NorthWestern University)
Commodity Derivatives Models with Mean-Reverting Jumps and Stochastic Volatility: A Spectral Expansion Approach
17:50-18:35
Lech Grzelak* and C. W. Oosterlee (Delft University of Technology, Institute of Applied Mathematics)
The Heston model with stochastic interest rates under Fourier based pricing algorithms
19:40 Dinner
Saturday, June 20
Session 9. Chair: Peter Laurence
09:15- 09:40
Alexey Kuznetsov (York University)
Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
09:40-10:25
Ning Cai (Hong Kong Univ. of Science and Technology) and
Steven Kou* (Columbia University)
Laplace Transforms and Integro-Differential Equations for Asian and Other Path-Dependent Options
10: 25-10:35 Coffee break
Session 10. Chair: Liming Feng
10:35-11:20
José da Fonseca (Auckland University of Technology, ESILV Ecole Supérieure
d'Ingénieurs Léonard de Vinci and Zeliade Systems)
Martino Grasselli* (Università di Padova and ESILV)
Florian Ielpo (Pictet & Cie, Genéve)
Riding on the Smiles I
11:20-12:05
P.Gruber, F. Trojani (University of Lugano)
C.Tebaldi* (Bocconi University Milano)
Estimation of Volatility Factor Models with Wishart Spectral Dynamics
12:15-13:15 Lunch
13:30-19:30 Trip to the Warwick Castle
departure from the hotel: 13:30
estimated time of arrival the Warwick Castle: 14:30
visit to the castle: 14:45-18:00
estimated time of departure from Warwick: 18:30
estimated time of arrival Leicester 19:30
