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Sydney Financial Mathematics Workshop
Sponsored by Westpac
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Recent Workshops
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Tuesday 9 March 2010,
Christian-Oliver Ewald, School of Mathematics and Statistics, University of Sydney
Options on Renewable Resources: A New Version of the Black (1976) Pricing Formula for Commodity Options
Abstract
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Tuesday 13 October 2009,
Professor Yacine Aït-Sahalia Princeton University, USA
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Abstract
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Thursday 17 September 2009,
Guang-Hua Lian , School of Mathematics and Applied Statistics, University of Wollongong, Australia
An Analytical Pricing Formula for VIX Futures and Its Empirical Applications
Abstract and Slides.
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Monday 14 September 2009,
Vladmir Surkov, Department of Applied Mathematics at the University of Western Ontario and the Fields Institute at the University of Toronto
Fourier Space Time-stepping for Option Pricing with Levy Models
Abstract and slides
2008 Workshops
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15 October 2008,
François Oustry, CEO, RaisePartner (Paris-Grenoble, New-York, Dubai) and
Véronique Piolle, Head of Quant Consulting, RaisePartner
Covariance Matrices Convex Calibration
Abstract
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13 October 2008,
Alexandre Antonov (NumeriX LLC)
Markovian Projection to Displaced Diffusion: Theory and BGM Related Examples
Abstract and slides
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29 September 2008,
Christoph Reisinger (OCIAM, Mathematical Institute, Oxford University, UK)
Asymptotic Expansions and Numerical Approaches to Basket Derivatives
Abstract
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31 July 2008,
Louis Mercorelli (Quantitative Finance Research Centre, University of Technolgy, Sydney)
Modeling Adverse Selection on Electronic Order-Driven Markets
Abstract
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26 June 2008,
David Garvin (Commonwealth Bank of Australia) and
Steve McCarthy (National Australia Bank)
Inflation Modelling in the Australian Market
Abstract and papers
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4 June 2008,
Mark Lauer (nabCapital, Sydney)
A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse
Abstract
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20 May 2008,
Marion Kohler (Reserve Bank of Australia)
News and Interest Rate Expectations: A Study of Six Central Banks
Abstract
2007 Workshops
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25 October 2007, Dilip B. Madan (Robert H. Smith School of Business, University of Maryland)
Break on Through to the Single Side
Abstract
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1 August 2007, Mario Wüthrich (Senior Researcher, ETH Zurich, Switzerland)
Indifference Pricing of Insurance Products
Abstract
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26 June 2007, Ben Goldys (Associate Professor, School of Mathematics and Statistics, UNSW) and Michael Roper
(PhD Student, School of Mathematics and Statistics, UNSW)
Some recent developments in modelling implied volatilities
Abstract
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7 June 2007, Dr Debashis Gangopadhyay (Reader, Bose National Centre for Basic Sciences, Kolkata, India)
Path Integral Methods and their Application to Finance and the Black-Scholes World
Abstract
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3 May 2007, Suhas Nayak (Associate, McKinsey & Company)
Equilibrium-based models for markets where there are hedgers or portfolio optimisers
Abstract
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4 April 2007, Daniel Campos (nabCapital and University of Sydney)
Tim Glass (nabCapital and University of New South Wales)
Fourier Transform Techniques in Option Pricing under Affine Models
Abstract and Paper
2006 Workshops
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26 October 2006, Song-Ping Zhu (University of Wollongong)
An Exact and Explicit Solution for the Valuation of American Put Options
Abstract and Slides
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17 October 2006, Damir Filipovic (University of Munich)
Risk-based Solvency Capital Requirements for Insurance Undertakings
Abstract and Slides
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9 October 2006, Peter Buchen (University of Sydney) and Otto Konstandatos (UTS)
Barriers, Lookbacks and Other Exotica
Abstract and slides
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31 May 2006,
Mark Joshi (The University of Melbourne)
Implementing Market Models
Abstract
2005 Workshops
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24 August 2005,
Marek Rutkowski (University of New South Wales)
Market Models of LIBORs and Swap Rates
Abstract, paper and slides
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11 January 2005,
Sam Howison (Nomura Centre for Quantitative Finance, Oxford University)
Continuity corrections for discretely sampled
barrier and Bermudan options
Abstract and presentation
Workshops 1999 - 2004
A list of previous workshops is available.
SFMW Committee
If you would like to present a workshop or are keen to see a particular
topic covered, please contact one of the committee. We encourage joint
presentations by industry practioners and academics.
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