Sydney Financial Mathematics Workshop

Recent Workshops

• 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
• 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
• 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.
• 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

• 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
• 13 October 2008, Alexandre Antonov (NumeriX LLC)
  Markovian Projection to Displaced Diffusion: Theory and BGM Related Examples
  Abstract and slides
• 29 September 2008, Christoph Reisinger (OCIAM, Mathematical Institute, Oxford University, UK)
  Asymptotic Expansions and Numerical Approaches to Basket Derivatives
  Abstract
• 31 July 2008, Louis Mercorelli (Quantitative Finance Research Centre, University of Technolgy, Sydney)
  Modeling Adverse Selection on Electronic Order-Driven Markets
  Abstract
• 26 June 2008, David Garvin (Commonwealth Bank of Australia) and Steve McCarthy (National Australia Bank)
  Inflation Modelling in the Australian Market
  Abstract and papers
• 4 June 2008, Mark Lauer (nabCapital, Sydney)
  A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse
  Abstract
• 20 May 2008, Marion Kohler (Reserve Bank of Australia)
  News and Interest Rate Expectations: A Study of Six Central Banks
  Abstract

2007 Workshops

• 25 October 2007, Dilip B. Madan (Robert H. Smith School of Business, University of Maryland)
  Break on Through to the Single Side
  Abstract
• 1 August 2007, Mario Wüthrich (Senior Researcher, ETH Zurich, Switzerland)
  Indifference Pricing of Insurance Products
  Abstract
• 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
• 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
• 3 May 2007, Suhas Nayak (Associate, McKinsey & Company)
  Equilibrium-based models for markets where there are hedgers or portfolio optimisers
  Abstract
• 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

• 26 October 2006, Song-Ping Zhu (University of Wollongong)
  An Exact and Explicit Solution for the Valuation of American Put Options
  Abstract and Slides
• 17 October 2006, Damir Filipovic (University of Munich)
  Risk-based Solvency Capital Requirements for Insurance Undertakings
  Abstract and Slides
• 9 October 2006, Peter Buchen (University of Sydney) and Otto Konstandatos (UTS)
  Barriers, Lookbacks and Other Exotica
  Abstract and slides
• 31 May 2006, Mark Joshi (The University of Melbourne)
  Implementing Market Models
  Abstract

2005 Workshops

• 24 August 2005, Marek Rutkowski (University of New South Wales)
  Market Models of LIBORs and Swap Rates
  Abstract, paper and slides
• 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.

Page contact.