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Sydney Financial Mathematics Workshop
Sponsored
by Westpac
You can add yourself to the SFMW mailing list.
Upcoming Workshops
- Tuesday 29 November 2011,
5.15 - 7.00pm
Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
Farshad Behvand, Westpac Banking Corporation
Modelling Forward Implied Volatility
Abstract
Recent Workshops
- Wednesday 31 August
2011, Camelia Tiplea, Westpac Banking Corporation
On the Super-Replication Approach for American Multiasset Derivatives
Abstract
- Wednesday 13 April
2011, Alex Buryak, National Australia Bank
Pricing of Equity Options with discrete dividends: Overview and
recent results
Abstract, Slides
and Paper
- Wednesday 2 June
2010, Michael Nealon, National Australia Bank
Discount Curve and Interest Rate Termstructure Issues After the
Credit Crisis
Abstract and Slides
- 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
2009 Workshops
- 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.
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