Workshop Spectral and Cubature Methods in Finance and Econometrics (supported by AMAMEF, ESPRC, LMS, Oxford-Man Institute and University of Leicester)

An interdisciplinary international research workshop

University of Leicester, UK, June 18- 20, 2009


List of abstracts


Final programme, with some slides:


Workshop hotel:


 Scientific programme:  thematic areas covered by workshop directions
1.      Fourier-Laplace transform methods, the Wiener-Hopf factorization and FFT technique, with numerous applications. Advantages and computational problems of FFT.
2.      Advances in Monte-Carlo methods
3.      Eigenfunction expansion method
4.    Econometrics of time series in the long run

Scientific goal. It is important to develop transparent and robust models for risk in financial markets. These models have to be computationally tractable or give substantial insight if they are to be effective and useful. There are several different methodologies for modeling and evaluating financial risk. One fundamental difficulty is to calculate market risk in real time, which industry requires. Banks use farms of computers to makes these calculation possible but are severely limited by the power requirements. Although a partial solution is the move to lower power massive parallel computers (e.g., graphics processors), an important aspect has to be the development of efficient and accurate algorithms. Another fundamental problem is to adequately describe these complicated non-ergodic time series in conceptual terms. At a deeper theoretical level, the issues raised by these two problems are closely related.
Fourier and Laplace transforms, Wiener-Hopf factorization, eigenfunction expansion technique, and cubature methods are among the most efficient methods for pricing derivatives and study macro-economic time series in the long run. The point of the workshop is to bring experts in these areas together because it is clear that in multi-factor models, these approaches must be used in combination to increase efficiency.

The theme of the workshop is deliberately broad in scope and aims to promote a vigorous exchange of new ideas and fresh methodological perspectives in the increasingly important area of integral transform methods, eigenfunction expansion techniques and cubature methods through a number of dissemination approaches ranging from formal and plenary and regular presentations to informal open-ended discussions.
Specific areas of study
represented in the workshop include a fairly wide spectrum of applications, many of which are of extreme importance in practical and theoretical finance: valuation of European, American, barrier options, lookback options and other options on stocks and indices in models with jumps, regime-switching models, stochastic volatility models and models with the stochastic interest rate, and interest rate derivatives; time series analysis in the long run, and macro-economic implications. The practical aspects of the workshop are of potential benefit to various financial companies and regulators, especially in view of the current problems, one of the components of which is the lack of sufficiently flexible and numerically tractable models for pricing contingent claims in general and credit risk derivatives in particular.


Sergei Levendorskiĭ, Department of Mathematics, University of Leicester,

Terry Lyons,  Oxford-Man Institute, University of Oxford,

Martjin Pistorius, Department of Mathematics, Imperial College London,


The international scientific committee consists of 

1.       C. Albanese, King’s College London

2.       P. Carr, Bloomberg and Courant Institute, NYU

3.       D. Duffie, Stanford University

4.       A. Eydeland, Morgan Stanley

5.       S. Kou, Columbia University

6.       A. Kyprianou, University of Bath

7.        S. Levendorskii, University of Leicester

8.        V. Linetsky, Northwestern University

9.        A. Lipton, Merrill Lynch

10.    T. Lyons, Oxford-Man Institute

11.    D. Madan, University of Maryland

12.    M. Pistorius, Imperial College London








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