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)

 

------------------------------------------------------------------------------------------------------------

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

 slides1  slides2 paper1 paper2

09:40-10:25

Peter Carr* (Bloomberg and Courant Institute) Roger Lee (University of Chicago)

Pricing and Hedging Volatility Derivatives on Time Changed Diffusions

 slides

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

 slides paper

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

 slides

12:10-12:55

Alexander Eydeland* (Morgan Stanley)

Daniel Mahoney  (RBS-SEMPRA)

Fast Convolution Algorithm

 slides

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

 slides

 

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

 slides paper

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  

slides

 

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

slides paper

 

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

slides figures paper

 

19:45-20:45 Reception

 

 

 

---------------------------------------------------------------------------------------------------------------------

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

 paper slides

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 

slides 

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

slides paper1 paper2

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

 slides

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

 slides

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

 slides

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

 slides

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

paper  slides

 

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

 

 slides

 

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

 

 

 

 

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