IMA Conference on Computational Finance


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Date: Friday 23 March 2007
Location: De Morgan House, London

Programme

09.15 – 09.45 Coffee/Registration
09.45 – 10.30 Invited Talk
Multilevel Monte Carlo path simulation
Professor Mike Giles (Oxford University)
10.30 – 10.50 Untwisting the Parallel Mersenne Twister: examination by exhaustion
of the properties of the most commonly used PRNG in finance

A. Vile, M. Harasimiuk and G. Morris (Excelian, Clearspeed, Celoxica)
10.50 – 11.05 Coffee
11.05 – 11.25 Valuing double-barrier options of a mean-reverting lognormal
underlying with time-dependent parameters

C.F. Lo, T.K. Chung and C.H. Hui (Chinese University of Hong Kong)
11.25 – 11.45 Using Kalman- Filtered Radial Basis Function Networks to
Forecast Changes in the ISEQ Index

D. Edelman (University College Dublin)
11.45 – 12.05 The Alchemy of Probability Distributions: Beyond Gram-Charlier \&
Cornish-Fisher Expansions, and Skew-Normal or
Kurtotic-Normal Distributions

W. Shaw and I. Buckley (Kings College London)
12.05 – 12.25 Generic Options and Generic Option Numerics
N. Webber (Warwick Business School)
12.25 – 12.45 Numerical Evaluation of the Cubature on Wiener Space
L. Gyurko (University of Oxford)
12.45 – 13.05 Pricing Convertible bonds by Simulation
N. El Bachir, D. Lvov and A.B. Yigitbasioglu (University of Reading)
13.05 – 14.00 Buffet Lunch
14.00 – 14.40 Individual Asset Liability Management
Professor Michael Dempster (University of Cambridge)
14.40 – 15.00 A Finite Difference Method for Pricing European and American
Options under Jump Diffusion Processes

A.K. Parrott (University of Greenwich)
15.00 – 15.20 Static Mean Variance Hedging of Equity and Credit Risk
I. Ward and D. Becherer (Imperial College London)
15.20 – 15.40 Pricing Exotic Options using Strong Convergence Properties
K. Schmitz and Michael Giles (Oxford University)
15.40 – 15.55 Tea
15.55 – 16.10 Weak Jump-Adapted Predictor-Corrector Schemes for
Jump-Diffusions in Finance

N. Bruti Liberati and E. Platen (University of Technology, Sydney)
16.10 – 16.55 Invited Talk
Vol surfaces and interest rate smile modeling
Professor Pat Hagan (Brevan Howard Asset Management)
16.55 – 18.00 Drinks Reception and Conference Close

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