Sydney Financial Mathematics Workshop

Workshops: 1999 - 2004

19 October 2004, Mahmoud Hamada (Energy Australia)
Fair pricing of energy derivatives - a comparative study and
Joe Maisano (Trading Technology Australia Pty Ltd)
Effectively managing weather rsik with and weather derivatives.
Abstracts and presentations
29 September 2004, Mark Joshi (Royal Bank of Scotland)
Rapid Computation of Prices and Greeks in the Li Model
Abstract and presentation
8 September 2004, Doug Moss (Macquarie Bank)
A cross-market valuation framework with integrated credit risk
Abstract and paper
11 August 2004, Steve Satchell (University of Cambridge)
Portfolio Skewness and Kurtosis
Abstract
8 April 2004, Alan Brace (Paribas, New York)
There are an awful lot of options in Brazil!
Abstract and Presentation
30 March 2004, Erik Schlogl (UTS)
Workshops on Credit Derivative Pricing Models: 3. Default Correlation Modelling
Abstract and presentation
16 March 2004, Volf Frishling (CBA)
Workshops on Credit Derivative Pricing Models: 2. Reduced Form Models
Abstract and presentation
25 February 2004, Volf Frishling (CBA) and Erik Schlogl (UTS)
Workshops on Credit Derivative Pricing Models: 1. Overview and Firm Value Models
Abstract and presentations

Thursday 30 Jan 2003, Adrian Banner (Enhanced Investment Technologies, Inc., Princeton and Department of Mathematics, Princeton University) Stochastic Portfolio Theory Abstract and slides.

16 December 2002, Antoon Pelsser (Nationale-Nederlanden and Erasmus University, Rotterdam) Managing the market risk of life insurance contracts Abstract and paper.
2 December 2002,
- David Edelman (University of Wollongong) Financial modelling in the horserace betting context: theory and practice;
- Charles Magri Carrot dicing - a model for tote price distribution in horse racing
- Peter Cotton (Stanford and Morgan Stanley) Parimutuel Derivatives
Abstracts.

29 May 2002, Barry Goss and Heather Anderson An Evening of Econometrics and Market Microstructure (Departments of Economics and Econometrics & Business Statsitics, Monash University) Abstracts and papers.
8 May, 2002, Detlef Seese (Institute AIFB, University Karlsruhe (TH), Germany) Complexity and Financial Decision Problems. Abstract and paper.
27 March 2002, Jeff Dewynne (Oxford Centre for Industrial and Applied Mathematics) Three singular perturbation problems in mathematical finance. Abstract.

3 December 2001, Pavel Shevchenko, (Mathematical and Information Sciences, CSIRO, Sydney) Copula Functions: their role in risk analysis and their pitfalls. Abstract, references and related paper.
20 August 2001, Albert Shiryaev, (V. A. Steklov Mathematical Institute and Moscow State University) New versions of the "Russian Option". Abstract.
13th June 2001, Volf Frishling (CBA) and Alex Novikov (UTS), Geometric Levy Pricing Models. Abstract and references.
30 May 2001, Les Clewlow, Chris Strickland and Michael Booth, (UTS and Lacima Group) Valuation and Risk Management of Gas Supply Agreements and Power Station Based Contracts. Abstract.
2 May 2001, Alan Brace (NAB), Ben Goldys (UNSW) and Rob Womersley (UNSW), Modelling Stochastic Volatility. Abstract and references.
18 April 2001, Marek Musiela (Paribas, London), Pricing and Management of Derivatives Written on Non-Traded Assets. Abstract and paper.
21 February 2001, Fausto Gozzi (University of Rome), The Super-replication Approach for European Multi-Asset Derivatives. Abstract.

29th November 2000: John Price (UNSW and Price Value Inc), Option Symmetry for Foreign Exchange Markets. Abstract.
8th November 2000: Eckard Platen and David Heath (UTS), Pricing and Hedging under an Alternative Share Market Model. Abstract.
19 July, 2 August, 14 August, 30 August, 2000: Alan Brace (NAB) and Ben Goldys (UNSW), Malliavin Calculus. Workshop plan.
21st June, 2000: Christian White (NEMMCO), Volf Frishling (CBA) and Estate Khmaladze (UNSW), The Electricity Market & Models of Spot Prices. Abstract and references.
17th April, 2000: Adam Kucera and Volf Frishling (CBA), Analysis of Monte-Carlo simulations for measuring credit risk exposure using historical correlation. Abstract and references.
20th March 2000: Peter Buchen, Michael Kelly and Karl Rodolfo (School of Maths & Stats, University of Sydney), American Options in the Black-Scholes Framework. Abstract and references.
22nd February 2000: Malcolm Gordon, Christian Killin & James Yardley (Quantitative Analysis Group, St George Bank) and Pavel Shevchenko (CSIRO Mathematical and Information Sciences), Monte Carlo Valuation of American Options. Abstract and references.

23rd November and 7th December 1999: Alan Brace (NAB) and Rob Womersley (UNSW) Coherent Measures of Risk. Ref: P. Artzner, F. Delbaen, J. Eber, and D. Heath, Mathematical Finance, Vol 9,3 July 1999, 203-228. (Available from Delbaen's web site).
9th November 1999: Erik Schloegl (UTS), The BGM model.