4th Oxford-Princeton Workshop


Friday May 18th

9.15 - 9.30	Welcome
9.30 - 10.15	Ronnie Sircar (Princeton University) "Utility Valuation of Credit Derivatives"
10.15 - 10.35	Patrick Hewlett (University of Oxford) "Optimal liquidation against a Markovian limit order book"

10.35 - 11.05	Coffee

11.05 - 11.25	Siu Tang Leung (Princeton University) "Accounting for Risk Aversion and Other Idiosyncrasies in the Valuation of Employee Stock Options"
11.25 - 12.20	Albina Danilova (University of Oxford) "Insider Trading on Stock Market in Continuous Time with Imperfect Dynamic Information"
12.20 - 12.40	Klaus Schmitz (University of Oxford) "Pricing Exotic Options Using Strong Convergence Properties"
12.40 - 1.00	Denis Zuev (University of Oxford) "Robust Portfolio selection via Utility optimisation with smaller uncertainty sets"

1.00 - 2.30	Lunch

2.30 - 3.15	Birgit Rudloff (Princeton University) "Hedging in Incomplete Markets with Convex Risk Measures."
3.15 - 3.35	Michael Coulon (University of Oxford) "A Supply and Demand Approach to Modelling Electricity Prices."
3.35 - 3.55	Antoine Toussaint (Princeton University) "Hedging with L2 Convex Risk Measure"

3.55 - 4.25	Tea

4.25 - 5.10	Rene Carmona (Princeton University) "No-arbitrage Dynamics for the Local Volatility Surface in Equity Markets"
5.10 - 5.55	Vicky Henderson (University of Warwick) "Takeovers, Gambling and Risk Aversion"


Saturday May 19th

9.00 - 9.45	Jianqing Fan (Princeton University) "Option Pricing with Aggregation of Physical Models and Statistical Learning"
9.45 - 10.05	Helen Haworth (University of Oxford) "Modelling Basket Credit Default Swaps with Default Contagion"
10.05 - 10.25	Nitin Saksena (Princeton University) "Minimum Entropy Calibration of a Point Process Model for CDO Pricing"
10.25 - 10.45	Lajos Gergely Gyurko (University of Oxford) "Rough Paths based strong Monte Carlo methods for solving SDEs"
10.45 - 11.05	Sergey Nadtochiy (Princeton University) "Estimation of the Local Volatility Surface"

11.05 - 11.30	Coffee

11.30 - 12.15	Mike Tehranchi (University of Cambridge) "A Characterization of Dynamic Forward Utilities"
12.15 - 1.00	Antony Ware (University of Oxford) "Continuously-exercised options"

1.00 - 2.30	Lunch

(Click on photo for a bigger version)

Rene Carmona, Princeton University

Eleftheria Chatzipanagou, University of Greenwich

Michael Coulon, University of Oxford

Albina Danilova, University of Oxford

Lei, Duan University of Oxford

Jianqing Fan, Princeton University

Mike Giles, University of Oxford

Alok Gupta, University of Oxford

Lajos Gergely Gyurko, University of Oxford

Ben Hambly, University of Oxford

Helen Haworth, University of Oxford

Vicky Henderson, University of Warwick

Patrick Hewlett, University of Oxford

David Hobson, University of Warwick

Sam Howison, University of Oxford

Lei Jin, University of Oxford

Silja Kinnebrock, University of Oxford

Wai Fung Lam, Princeton University

Siu Tang Leung, Princeton University

Terry Lyons, University of Oxford

Michael Monoyios, University of Oxford

Sergey Nadtochiy, Princeton University

Mario Nardone, University of Oxford

Kevin Parrott, University of Greenwich

Christoph Reisinger, University of Oxford

Birgit Rudloff, Princeton University

Nitin Saksena, Princeton University

Klaus Schmitz, University of Oxford

Till Schröter, University of Oxford

Ronnie Sircar, Princeton University

Simona Svoboda-Greenwood, University of Oxford

Mike Tehranchi, University of Cambridge

Jochen Theis, Merrill Lynch, London

Antoine Toussaint, Princeton University

Tony Ware, Univ of Calgary, Canada

Tak Yu, University of Oxford

Chongrui Zhou, University of Oxford