3rd Oxford-Princeton Workshop


Friday November 11

8:15 - 8:45	Breakfast

8:45 - 9:00	Welcome/Opening Remarks
9:00 - 9:45	David Lando (Princeton) "Decomposing Swap Spreads"
9:45 - 10:30	Nicolas Victoir (JPMorgan Chase) "Multiname Credit Models".

10:30 - 11:00	Coffee / Tea

11:00 - 11:45	Bruno Dupire (Bloomberg) "A Free Boundary Approach to Volatility Derivatives"
11:45 - 12:30	David Hobson (Princeton) "Optimal Timing for an Asset Sale in an Incomplete Market"

12:30 - 1:30	Lunch

1:30 - 2:15	Yacine Ait-Sahalia (Princeton) "Volatility Estimators for Discretely Sampled Levy Processes"
2:15 - 3:00	Jianqing Fan (Princeton) "Modelling Multivariate Volatilities via Conditionally Uncorrelated Components"

3:00 - 3:30	Coffee / Tea

3:30 - 4:15	Michael Monoyios (Oxford) "Robust Optimal Hedging Under Parameter Uncertainty"
4:15 - 5:00	Christoph Reisinger (Oxford) "Hierarchical Approximation to Multi-Factor Models"


Saturday November 12

8:30 - 9:00	Breakfast

9:00 - 9:45	Alex d'Aspremont (Princeton) "A Market Test for the Positivity of Arrow-Debreu Prices"
9:45 - 10:30	Patrick Cheridito (Princeton) "Dynamic monetary risk measures"

10:30 - 11:00	Coffee / Tea

11:00 - 11:45	Peter Carr (Bloomberg) "Options on Maxima, Drawdown, Trading Gains, and Local Time"
11:45 - 12:30	Terry Lyons (Oxford) "Recombination and Higher Order Methods for solving subelliptic PDE's."

12:30 - 1:30	Lunch

1:30 - 2:05	Mike Giles (Oxford) "Fast Calculation of Greeks by Monte Carlo using adjoint methods"
2:05 - 2:40	Liuren Wu (CUNY) "Modeling Financial Security Returns Using Levy Processes"
2:40 - 3:15	Savas Dayanik (Princeton) "Adaptive Poisson Disorder Problem"