2nd Oxford-Princeton Workshop


Friday March 19

16.00-16.10	Opening
16.10-16.50	Ronnie Sircar "Games with Exhaustible Resources"
16.50-17.30	Damien Challet "Information Efficiency and Stylized Facts in Minority Models of Financial Market"
17.30-18.10	Vicky Henderson "Valuing Real Options without a perfect spanning asset"

18.10-18.40	Drinks
20.00-	Workshop dinner at Christ Church, McKenna room


Saturday March 20

9.30-10.00	Chris Potter "Stochastic Volatility and Variance Swaps"
10.00-10.30	Valdo Durrleman "From implied to spot volatilities"

10.30-11.00	Break

11.00-12.00	René Carmona "Mathematical Challenges of the Energy Industry: A Sample from my Own Experience"
12.00-12.30	Mike Ludkovski "Stochastic control for energy assets"

12.30-13.30	Lunch

13.30-14.00	Tino Kluge "A stochastic model for electricity prices"
14.00-14.40	Álvaro Cartea "Generalised Fractional Black-Scholes: pricing and hedging"
14.40-15.20	Ben Hambly "Monte Carlo Methods for Multiple Exercise Options"

15.20-16.00	Break

16.00-16.40	Sam Howison "Continuous and Discrete Sampling for Swing and Barrier Options"
16.40-17.20	John Mulvey "A Long-Short Equity Strategy based on Separating Hyperplanes"
17.20-18.00	Jeannette Woerner "Inference for stochastic volatility models of various types"


Sunday March 21

10.00-10.30	Koray Simsek "Valuation of DB & DC Pension Plans in the U.S."
10.30-11.00	Aytac Ilhan "Optimal Static-Dynamic Hedges for Barrier Options"
11.00-11.30	Andrew Dickinson "On the Efficacy and Potential Limitations of Quasi-Monte Carlo Methods Applied to Finance"

Raymond Brummelhuis, Birkbeck College, University of London

René Carmona, Princeton University

Álvaro Cartea, Birkbeck College, University of London

Damien Challet, University of Oxford

Miriam Cisneros, University of Oxford

Michael Dempster, University of Cambridge

Andrew Dickinson, University of Oxford

Valdo Durrleman, Princeton University

Marcelo Figueroa, Birkbeck College, University of London

Neil Firth, University of Oxford

Adrian Gfeller, London School of Economics

Ben Hambly, University of Oxford

Vicky Henderson, Princeton University

David Hobson, Princeton University and University of Bath

Sam Howison, University of Oxford

Aytac Ilhan, Princeton University

Diego Jiménez-Huerta, London School of Economics

Tino Kluge, University of Oxford

Mike Ludkovski, Princeton University

Terry Lyons, University of Oxford

Andrea Macrina, Kings College London

S. Malik, Ukraine

Elena Medova, University of Cambridge

Michael Monoyios, Brunel University

John Mulvey, Princeton University

Chris Potter, University of Oxford

Alet Roux, University of Hull

William Shaw, University of Oxford

Koray Simsek, Princeton University

Ronnie Sircar, Princeton University

H. Mete Soner, Koc University

Krzysztof Tokarz, University of Hull

Jeannette Woerner, University of Goettingen

Tomasz Zastawniak, University of Hull