| 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 |
