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



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




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


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



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


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



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



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



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



Michael Dempster (Centre for Mathematical Sciences University of Cambridge

& Cambridge Systems Associates Limited)

Wavelet Optimized PDE Valuation of Derivatives

 slides paper


Mitya Boyarchenko* (University of Chicago)

Svetlana Boyarchenko (University of Texas at Austin)

Double Barrier Options in Regime-Switching Hyper-Exponential Jump-Diffusion Models  




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


Roger Lee (University of Chicago)

Joint Transforms of Prices and Clocks, with Applications to Path-Dependent Options



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


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



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


Damir Filipovic (Vienna Institute of Finance)

Affine Transform Analysis and Asset Pricing


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



Andreas Kyprianou (University of Bath)

Scale functions for spectrally negative Lévy processes and their appearance in economic models



Alexandar Mijatovic and Martjin Pistorius* (Imperial College London)

Barrier options for general jump-diffusions


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



Peter Laurence (Universita di Roma 1)

Some asymptotic results for local volatility models



Liming Feng* and Xiong Lin  (University of Illinois at Urbana-Champaign)

Hilbert transform approach for pricing Bermudan options in Lévy models



Vadim Linetsky and Lingfei Li* (NorthWestern University)

Commodity Derivatives Models with Mean-Reverting Jumps and Stochastic Volatility: A Spectral Expansion Approach



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

paper  slides



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



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



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





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