Modelling Trading and Risk in the Market

Modelling trading and risk in the market: Presentations

2011

Investigators

M. Davison

  • Melissa Mielkie & Matt Davison."Dynamic Hedging in a Market Driven by Regime-Switching Volatility".3-C Risk Forum & 2011 International Conference on Engineering and Risk Management, Toronto. October 28 - 30, 2011.
  • Matt Davison, Harald Keller, and Daero Kim "Radiation Dose Planning and Portfolio Management" AMMCS 2011 A Laurier Centennial Conference, Waterloo, July 25-29 2011.
  • Matt Davison and Bin Lu "Analyzing the impact of variable insolation on the repayment time for solar farms" Canadian Operational Reserach Society Annual Conference, St.John's, May 30 - June 1 2011.
  • Nabeel Butt and Matt Davison "Approximate lattice methods for dynamic finite horizon portfolio selection under transaction costs" in The First 3-C Risk Forum & 2011 International Conference on Engineering and Risk Management (ERM) , Toronto , Oct 29-31 2011
  • Walid Mnif and Matt Davison " What Can We Learn from the EU ETS Experience? Recommendations for Effective Trading and Market Design" in The First 3-C Risk Forum & 2011 International Conference on Engineering and Risk Management (ERM) , Toronto , Oct 29-31 2011
  • Matt Davison and Walid Mnif "Introducing New Tradeable Instruments for Pricing and Hedging in Incomplete Emissions Markets"AMMCS 2011 A Laurier Centennial Conference, Waterloo, July 25-29 2011.
  • Walid Mnif and Matt Davison "Emissions Markets: Recommendations for E.ective Design to Facilitate E.cient Trading", ASMDA International Society, Rome, Italy, June-2011

 


R. Mamon:

  • Xiaojing Xi, Rogemar Mamon, Marianito Rodrigo "An inverse Stieltjes moment-based method in model parameter estimation under a Markov-modulated market", 3C Risk Forun, Oct 28-30 2011.

 

 

M. Reesor:

  • R. Mark Reesor, T James Marshall, "Simulation Valuation of Multiple Exercise Options" Winter Simulation Conference, Phoenix, Dec 11-14 2011.
  • R. Mark Reesor, T James Marshall, "Valuation of Multiple Exercise Options via Stochastic Forests" Canadian Operations Research Society Annual Meeting, St. John's, Nfld, May 2011.
  • Almas Naseem, Mark Reesor "Analysis of Tax-deductible Interest Payments for Re-Advanceable Canadian Mortgages" Applied Mathematics, Modeling and Computational Science conference (AMMCS), June 25-29, 2011.

 

 

A. Metzler:

  • "Valuation of contingent capital bonds in Merton-type structural models", Joint work with M. Reesor, Bank of Canada, Ottawa, Canada, November 2011.
  • "Valuation of contingent capital bonds in Merton-type structural models", Joint work with M. Reesor, International Conference on Applied Mathematics, Modeling and Computational Science (Theory and Applications in Finance Minisymposium), Waterloo, Canada, July 2011.
  • "Valuation of contingent capital bonds in Merton-type structural models", Joint work with M. Reesor, Canadian Operational Research Soceity 2011 Meeting, St. John's, Canada, June 2011.
  • "Valuation of contingent capital bonds in Merton-type structural models", Joint work with M. Reesor, SHARCNET Coast-to-Coast Canadian Seminar Series (National Broadcast), London, Canada, March 2011.

 

 

2010

Investigators

M. Davison:

  • M. Davison, "Economic Analysis of Compressed Air Energy Storage". Energy Storage 2010, The Canadian Institute, Toronto, July7-8 2010.
  • Walid Mnif & Matt Davison. "Pricing and Hedging Strategies for Contingent Claims in an Incomplete Hybrid Emissions Market", June 22-26 2010.
  • Tyson Whitehead, Matt Davison & Mark Reesor "Enhanced Convergence Results for Stochastic Tree Estimators" Bachelier Finance Society 6th world congress, Toronto, June 22-26 2010.
  • M. Davison, M. Reesor & T. Whitehead , "Correcting the Optimal Stopping bias in Monte Carlo evaluation of early exercise options". Bachelier Finance Society 6th world congress, Toronto, June 22-26 2010.
  • Stephan Schlueter & Matt Davison. "Pricing an European Gas Storage Facility using a Continuous-Time Spot Price Model with GARCH Diffusion" Bachelier Finance Society 6th world congress, Toronto, June 22-26 2010.
  • M. Davison. "A Coupled Integral-Algebraic Equation for perpetual Bermudan Options". Colloquim, Departments of Statistics, University of Western Ontario, February 2010.
  • M. Davison, G. Zhao. "Using Weather Forecasts to make Electricity Market Decisions", INFORMS San Diego, October 2009.
  • N. Kirby, L. Anderson & M. Davison "A Real Options Approach to Valuing Wind as a Renewable Energy Source", CORS/INFORMS 2009, June 17 2009.
  • M. Davison, "Applied Mathematical Advances for High Dimensional Portfolios", CORS/INFORMS 2009, June 15 2009.
  • R. Naryshkin & M. Davison "Optimal Portfolio Selection under Habit Formation", CORS/INFORMS 2009, June 15 2009.
  • M. Couillard, V. Myers & M. Davison "Optimized Route Survey Achieving a Desired Probability of Detection over a Given Survey Area", CORS/INFORMS2009, June 15 2009.

 

 

T. Hurd

  • T. Hurd May 2010, Invited minicourse at MITACS Workshop on Financial Networks and Risk Assessment, Fields Institute
  • T. Hurd April 2010, Invited Speaker at Industrial-Academic Forum on Credit-Hybrid Risk, Fields Institute
  • T. Hurd December 2009, Invited Speaker at Conference on Math Finance and Partial Differential Equations, Rutgers University.
  • T. Hurd October 2009, Speaker in the Quantitative Finance Seminar Series, Fields Institute, Toronto.
  • T. Hurd July 2009, Invited Speaker at 2009 Stochastic Processes and Applications conference, Berlin.
  • T. Hurd July 2009 Invited Speaker Seminar on Mathematical Finance Vienna Institute of Finance
  • T. Hurd June 2009 Speaker Seminar on Mathematical Finance, Imperial College London
  • T. Hurd June 2009 Speaker 4 Seminars on Systemic Risk , Ecole Polytechnique
  • T. Hurd June 2009 Speaker Seminar on mathematical Finance, Universit'e Evry
  • T. Hurd June 2009 Speaker Seminar on mathematical Finance Universit'e de Paris VII
  • T. Hurd June 2009 Speaker Seminar on mathematical Finance, Ecole Polytechnique

 

R. Mamon

  • R. Mamon, A model for electricity spot prices with recursive parameter estimation, 2010 Young Researchers Workshop in Finance, Tokyo, Japan, 08-10 March 2010
  • R. Mamon, Filtering and parameter estimation of an electricity spot price model, Winter 2009 Meeting of the Canadian Mathematical Society, Windsor, Ontario, Canada, 05-07 December 2009

 

 

A. Metzler

  • A. Metzler and D.L. McLeish. "A multiname first passage model for credit risk." Bachelier. 6th World Congress of the Bachelier Finance Society. June 2010.
  • A. Metzler. "Model risk and the design of CDO tranches." Montreal Seminar of Actuarial and Financial Mathematics, Concordia University. February 2010.

 

 

M. Reesor:

  • Department of Mathematics Seminar, WilfridLaurierUniversity, Waterloo, ON, May 2010, Forest of Stochastic Trees: A New Method for Valuing High Dimensional Swing Options.
  • Department of Statistical and Actuarial Sciences Seminar, UWO, London, ON, January 2010, Forest of Stochastic Trees: A New Method for Valuing High Dimensional Swing Options
  • Global Financial Crisis, Laurier Financial Conference 2009, WilfridLaurierUniversity, Waterloo, ON, May 2009, The National Institute of Finance.
  • Joint International Meeting, Canadian Operational Research Society and Institute for Operations Research and the Management Sciences, Toronto, ON, June 2009, Swinging in Liquidity : The use of Swing Options to Manage Funding Liquidity Risk.
  • Statistical Society of Canada Annual General Meeting, UBC, Vancouver, BC, June 2009, Swinging in Liquidity : The use of Swing Options to Manage Funding Liquidity Risk.
  • London Life Actuarial Professional Development Program, London, ON, March 2009, A Pathwise Approach to Interest-rate Model Risk and Debt Management.
  • Discussant, Conference on Fixed Income Markets, Bank of Canada, Ottawa, ON, September 2008.
  • 14th International Congress on Insurance: Mathematics and Economics, Toronto, ON, June 2010. Analysis of Tax-deductible Interest Payments for Re-Advanceable Canadian Mortgages. Joint with and presented by A.Naseem.
  • 14th International Congress on Insurance: Mathematics and Economics, Toronto, ON, June 2010. The Forest of Stochastic Meshes: A Method for Pricing High Dimensional Swing Options. Joint with and presented by T.J.Marshall.
  • 14th International Congress on Insurance: Mathematics and Economics, Toronto, ON, June 2010. A Bias Reduction Technique for Pricing American Options by Least-squares Monte Carlo. Joint with and presented by K.H.Kan.
  • 14th International Congress on Insurance: Mathematics and Economics, Toronto, ON, June 2010. Pricing Canadian Retail Debt Portfolio. Joint with T.Whitehead and X.Peng and presented by X.Peng.
  • 6th World Congress of the Bachelier Finance Society, Toronto, ON, June 2010. Forest of Stochastic Trees: A New Method for Valuing High Dimensional Swing Options. Joint with and presented by T.J.Marshall.
  • 6th World Congress of the Bachelier Finance Society, Toronto, ON, June 2010. Optimized Least-squares Monte Carlo for Measuring Counterparty Credit Exposure of American-style Options. Joint with K.H.Kan, G. Frank and V. Mozgin and presented by K.H.Kan.
  • 6th World Congress of the Bachelier Finance Society, Toronto, ON, June 2010. Correcting the Optimal Stopping Bias in Monte Carlo Evaluation of Early Exercise Options. Joint with T.Whitehead and M.Davison and presented by M.Davison.
  • 6th World Congress of the Bachelier Finance Society, Toronto, ON, June 2010. Enhanced Convergence Results for Stochastic Tree Estimators. Joint with T.Whitehead and M.Davison and presented by R.M.Reesor.

 

 

A. Ware:

  • Antony Ware, "Managing natural gas storage", Symposium of Challenges in Commodity and Energy Resource Management, Mathematics Centre, Heidelberg, 15 July, 2010
  • Antony Ware (with Li Xu, former MSc student), "Semi-Lagrangian Fourier methods for valuing energy derivatives". Energy Risk USA, Houston, 26th May, 2010.
  • Antony Ware,"Semi-Lagrangian methods in finance", UWO, 29th July, 2009
  • Antony Ware, "Financial derivatives - what's the big idea?", PIMS Lunchbox Lecture Series, Calgary, 25th June, 2009
  • Gordana Dmitrasinovic-Vidovic & Antony Ware, "Dynamic optimization of portfolios of mean-reverting assets under downside risk measures", Presented at the Alberta North-South Meeting, 2nd May, 2009

 

 

T.A. Pirvu:

  • "Portfolio Management under Hyperbolic Discounting", SIAM Meeting on Mathematical Finance, San Francisco, November, 2010.
  • "Time Consistent Portfolio Management", Texas Quantitative Finance Festival, Texas, November, 2010.
  • "Portfolio Management and Time Inconsistency", Chern Institute of Mathematics, Nankai University, Tianjin, August, 2010.
  • "Portfolio Management with Hyperbolic Discounting", Sixth World Congress of the Bachalier Finance Society, Toronto, June 2010.
  • "On Securitization, Market Completion and Equilibrium Risk transfer, Hedging the Unhedgeble, Current Developments in Valuation and Hedging in Incomplete Markets", London, 30 April-1 May, 2010.
  • Center for Computational Finance Seminar, Carnegie Mellon University, Pittsburgh, Aug 2010.
  • AIMS-Mphimac Seminar, McMaster University, Hamilton, November 2010.
  • Financial Mathematics Seminar, Humboldt University, Berlin, December 2010.

 

 

2009

Investigators

M. Davison:

M. Davison,  "Recent Advances in Portfolio Optimization".  Talk at Mapleridge Capital Academic Advisory Board Meeting,  Feb 4 2009.

M. Couillard, V. Myers and M. Davison,  "Optimized Route Survey Achieving a Desired Probability of Detection over a Given Survey Area".  CORS/INFORMS 2009,  June 15 2009.

R. Naryshkin and M. Davison ,  "Optimal Portfolio Selection under Habit Formation".  CORS/INFORMS 2009,  June 15 2009.

M. Davison ,  "Applied Mathematical Advances for High Dimensional Portfolios".  CORS/INFORMS 2009,  June 15 2009.

N. Kirby, L. Anderson and M. Davison,  "A Real Options Approach to Valuing Wind as a Renewable Energy Source".  CORS/INFORMS 2009,  June 17 2009.

M. Davison,  "Stochastic Modelling and Optimization for the Energy Industry".  Colloquium presentation, Department of Management Sciences, The University of Waterloo,  September 28 2009.M. Davison,  "Stochastic Modelling and Optimization for the Energy Industry".  Colloquium presentation, Richard Ivey

School of Business,  October 7 2009.

 

 

 

 

M. Grasselli:

  • M. Grasselli, Chaotic Interest Rate Model Calibration, invited talk, Research in Options, Buzios, November 24, 2009.
  • M. Grasselli, Chaotic Interest Rate Model Calibration, invited talk, Mathematical Finance and Related Topics in Engineering and Economics, Kyoto, August 14, 2009.
  • M. Grasselli, After the storm: current perspectives in financial mathematics, invited talk, Fields Institute Annual General Meeting, June 25, 2009.
  • M. Grasselli, Chaotic Interest Rate Model Calibration, invited talk, CRFMS Seminar Series, UCSB, Santa Barbara, May 18, 2009.
  • M. Grasselli, Managerial flexibility in incomplete markets and systems of BSDEs, invited talk, Industrial Optimization Seminar Series, Fields Institute, March 03, 2009.

 

 

2008

Investigators

M. Davison:

  • M. Davison,  "Adventures in Industrial Mathematics".  Keynote Address,  Canadian Graduate Student Mathematics Conference, McMaster University,  October 26 2008.

  • M. Davison, T Whitehead, and M. Reesor  "A Bias Correction Method for Monte Carlo Pricing of Early Exercise Options",  MOPTA 2008,  Guelph

  • R. Naryshkin& M. Davison,  "Optimal Investment and Consumption under Habit Formation",  MOPTA 2008, Guelph.  

  • M. Davison., G. Zhaoand O. Gurtuna. ""Assessing the value of Environmental Predictions to the Energy Sector"" Fifth World Congress of Nonlinear Analysts,  Orlando, July2-9 2008.

  • M. Davison  ""Deregulated Electricity Markets and Political Risk: The Ontario Experience"".  Talk given in a special Energy workshop held at the Fifth World Congress of Nonlinear Analysts,  Orlando, July2-9 2008.

  • M. Davison. and R. Naryshkin.  Optimal Investment and Consumption under Habit Formation".  CMS Summer meeting,  June 1-3 2008.    

  • Thompson, M. and M. Davison "  Using Radial Basis Functions for Optimal Investment and Consumption under Transaction Costs",  CORS2008, Quebec City,  May 13 2008.

  • Davison, M. and  O. Gurtuna "Assessing the Value of Environmental Predictions to the Energy Sector, CORS2008, Quebec City,  May 13 2008.

  • Zhao, Guangzhi and M. Davison "Optimal Control of Hydroelectric Facilities in a Deregulated Market", CORS2008, Quebec City,  May 13 2008.

  • Kirby, N. and M. Davison "Optionality for Ethanol Producers",  CORS2008,  Quebec City,  May 13 2008

  • Naryshkin, R. and M. Davison "Optimal Investment and Consumption under Habit Formation",  CORS2008, Quebec City,  May 13 2008.

  • Whitehead, T.,  M. Reesor and M. Davison , "A Bias-Correction Approach to Monte Carlo Options Pricing using a Stochastic Mesh",  CORS 2008, Quebec City, May 12 2008.

  • Davison, M. and O. Gurtuna.  "Valuing Environmental Predictions for Canada's Energy Sector".  SERA-North workshop,  Waterloo Ont,  Feb 25-26, 2008. 

  • Davison, M.  and S. Wang "Simulating Contagion in the Canadian Property & Casualty Insurance Market",   CMS Winter Meeting, London, December 2008. 

R. Elliott

November 2008        Seminar, Concordia University, Montreal

October 2008            Seminar, University of Missouri

September 2008        Seminar, Imperial College London, England

July 2008                   Presentation, Bachelier Finance Society World Congress, London, England.

July 2008                   Invited talk, World Congress on Non Linear Analysis, Orlando FL

May 2008                  Colloquium, Oxford-Man Institute for Quantitative Finance, Oxford University

December 2007          Colloquium, Plenary Speaker,Quantitative Methods in Finance, Sydney, AUS

November 2007           Invited speaker at the African Institute for Mathematical Sciences, South Africa.

September 2007           Invited speaker at Fudan University , Shanghai , Xi'an , Jiaotong University, Xian, Guang Xi                                  Normal University , Guilin , and the Chinese Academy of Sciences , Beijing .

August 2007             Invited speaker at the International Society for Business and Industrial Statistics (ISBIS), Azores , Portugal .

August 2007          Invited main speaker at the Daiwa Workshop and Conference, Kyoto and Tokyo , Japan .

July 2007               Invited seminar at the University of Munich .

July 2007               Invited talk at the meeting for Wolfgang Runggaldier, Italy

July 2007             Invited talk at the American Control Conference, New York NY

June 2007             Invited speaker at the Annual Meeting of the Statistical Society of Canada, St John 's NL.  

February 2007              Speaker on "Risk" to National ICT Australia  

M. Grasselli:

  • M. Grasselli, The reflected BSDE approach to real options in incomplete markets, invited talk, University of Pisa, Pisa, December 15, 2008.
  • M. Grasselli, Real Options in Incomplete Markets: the reflected BSDE approach, invited talk, Reseach in Options, Angra dos Reis, November 24-26, 2008.
  • M. Grasselli, Hedging Insurance Contracts in Incomplete Markets, contributed talk, Mathematics in Finance Conference, Kruger National Park, September 01-06, 2008.
  • M. Grasselli, Indifference Price of Insurance Contracts: stochastic volatility, stochastic interest rates, contributed talk, Fifth World Congress of the Bachelier Finance Society, London, July 18, 2008.
  • M. Grasselli, Indifference pricing for general semimartingales, invited talk, Stevanovich Center for Finance Seminar Series, Chicago, June 06, 2008.
  • M. Grasselli, The Investment Game in Incomplete Markets, invited talk, University of Pisa, Pisa, May 23, 2008.
  • M. Grasselli, Orlicz spaces in Mathematical Finance, invited talk, Mathematical Explorations in Contemporary Statistics, Sestri Levanti, May 19-20, 2008.
  • M. Grasselli, Market-based solutions to transportation problems, invited talk, Symposia on Mathematics of Transportation, Fields Institute, May 15, 2008.
  • M. Grasselli, Indifference Price of Insurance Contracts: stochastic volatility, stochastic interest rates, invited talk, Fields Institute, February 05, 2008.

 

 

2007

Investigators

M. Davison:

Davison, M. "Industrial Collaboration at the intersection of applied stochastics and operational research",Canada-China workshop on industrial mathematics, Aug 5-10 2007.

Davison, M, M. Reesor and T. Whitehead, June 2007, "Correcting the Inherent Bias in Optimal Stopping using Monte Carlo". SSC 2007, St John's, Newfoundland.

Keller, H. and M. Davison , June 2007. "Optimal Dose-Per-Fraction Schedules for Simple Drug Radiosensization Schedules", ICCR2007.

Davison. M. "Hedging Chaos and Randomness in Equity and Energy Markets", CDSA5, Atlanta, May 30 2007.

Davison, M. "Insights from Simple Electricity Spot Price Models", Keynote address, The Mathematics of Electricity Supply and Pricing, Surfer’s Paradise, Australia 22-26 April 2007.

U. Horst

Yale University; Department of Economics "Dynamic Systems of Social
Interactions";

Bielefeld University; Institute of Mathematical Economics: "On the spanning
property of risk bonds priced by equilibrium";

Imperial College London; Department of Mathematics: "On the spanning
property of risk bonds priced by equilibrium";

Bayreuth University; Department of Mathematics: "On the spanning property
of risk bonds priced by equilibrium";

7th International Congress on Industrial and Applied Mathematics: "On
Securitization, Market Completion and Equilibrium Risk Transfer";

Cornell University; Department of OR and Industrial Engineering: "Risk
minimization and optimal derivative design in a principal agent game";

ETH Zurich; Department of Mathematics: "Risk minimization and optimal
derivative design in a principal agent game".

T.R. Hurd

October 23, 2007, Invited Speaker at the Research-in-Options 2007 Conference, IMPA, Rio de Janiero, Brazil;

July 11, 2007, Invited Speaker at the Further Developments in Quantitative Finance Conference, ICMS Edinburgh;

June 2007, Invited Speaker at the Statistical Society of Canada Annual General Meeting, Memorial University, St. John's;

March 30, 2007, Invited Speaker at the Georgia Tech QCF Day Symposium, Georgia Tech;

R.S. Mamon

Invited Speaker, "Parameter estimation of a regime-switching model and its extension", 22nd European Conference on Operational Research, PRAGUE, Czech Republic, 08-11 July 2007.

Invited Speaker, "Valuation of credit default swaps in a Markov-modulated Merton?s structural model", Invited Session on Mathematical Finance and Stochastic Analysis, 35th Annual Meeting of the
Statistical Society of Canada, ST. JOHN?S, Newfoundland, Canada, 10-13 June 2007.

Invited Speaker, "Recursive parameter estimation of a regime-switching model, Workshop on Quantitative Methods in Financial and Energy Financial Modelling and Risk Analysis", 5th International Conference on Dynamic Systems and Applications, ATLANTA, Georgia, USA, 29 May - 02 June 2007.

Invited Speaker, "HMM filtering and parameter estimation of an electricity spot price model", Symposium on the Mathematics of Finance, Canadian Applied and Industrial Mathematics Society Annual Meeting, BANFF, Alberta, Canada, 24-27 May 2007.

Invited Speaker, "The pricing of credit default swaps in a Markov-modulated Merton?s structural model", Special session in financial mathematics, Joint Meetings of the American Mathematical Society and
Mathematical Association of America, NEW ORLEANS, Louisiana, USA, 05-08 January 2007.

R.M. Reesor

"Debt Management and Interest Rate Model Risk", (with S. Liu) Invited Talk, Canadian Operational Research Society 2007 Annual Meeting, University of Western Ontario, May 2007.

"Debt Management and Interest Rate Model Risk", (with S. Liu) Invited Talk, 22nd European Conference on Operational Research, Prague, Czech Republic, July 2007.

"A Bias-reduction Technique for the Monte Carlo Pricing of Early-exercise Options", (with T. Whitehead and M.Davison), Contributed Talk, Computational Methods in Finance Conference, University of Waterloo, July 2007.

M. Grasselli:

M. Grasselli, Insurance Contracts in Markets with Stochastic Interest Rates, invited talk, CMS Winter meeting, London, ON, December 10, 2007.

M. Grasselli, The Investment Game in Incomplete Markets, invited talk, Research in Options Conference, IMPA, Rio de Janeiro, October 24, 2007.

M. Grasselli, Combining real options and game theory in incomplete markets, invited talk, Further Developments in Quantitative Finance, Edinburgh, July 11, 2007.

M. Grasselli, Hedging insurance contracts in markets with stochastic volatility, invited talk, Workshop in Financial Engineering for Actuatial Sciences, Ann Arbor,May 04, 2007.

Students/PDFs

Chuang Yi: "A Simple Model of Credit Spreads with Incomplete Information", presented at the Third International Conference on Credit and Operational Risk, HEC Montreal, April 12-13, 2007

N. Kirby (PhD, UWO)

    "Ethanol as an Alternative to Petroleum Fuel", (Matt Davison, co-author), Contributed Talk, CORS, May 2007.

    "Spark Spread Options and Ethanol Production", (Matt Davison co-author), Contributed Talk, SWORD, October 2007.

R. Naryshkin (PhD, UWO)

    "PDE Symmetry Analysis in Maple 11 and exactly solvable models", Contributed Poster, Symmetry 2007, Kyiv, Ukraine, June 24-30 2007.

G. Zhao (PhD, UWO)

    "Optimal Control of Hydroelectric Facility" (Guangzhi Zhao and Matt Davison), Western Research Forum, London, Canada, May 10, 2007, (contributed)

    "When does variable power pricing alter the behavior of hydroelectric facility operators?"(Guangzhi Zhao and Matt Davison), CORS Conference, London, Canada, May 15 2007, (contributed)

T. Whitehead (PhD, UWO)

    "Correcting the Monte Carlo Optimal Stopping Bias", T. Whitehead, M. Davison, and M. Reesor, contributed, 6th International Congress on Industrial and Applied Mathematics (ICIAM), Zurich, July 2007.

    rrecting the Monte Carlo Optimal Stopping Bias", T. Whitehead, M. Davison, and M. Reesor, invited, 22nd European Conference on Operational Research (EURO), Prague, July 2007.

    "Correcting the Inherent Bias in Optimal Stopping via Monte Carlo", T. Whitehead, M. Davison, and M. Reesor, contributed, Canadian Applied and Industrial Mathematics Society (CAIMS) Annual Conference, Banff, May 2007.

    iv) "Correcting the Inherent Bias in Optimal Stopping via Monte Carlo", T. Whitehead, M. Davison, and M. Reesor, contributed, Southern Ontario Numerical Analysis Day (SONAD), Oshawa, May 2007.

    2006

     

     

    Investigators

    M. Davison

    Modeling Deregulated Electricity Markets", Nov 2006, Department of Mathematics, University of Michigan.

    "New Directions in Quantitative Finance", Colloquium talk, Department of statistical and actuarial sciences, University of Western Ontario, September 2006.

    "Some Optimal Control Problems in Natural Gas Storage",  Canadian Math Society 2006 Summer Meeting, June 2006.

    "Success and Failure (in Modeling) Deregulated Electricity Markets", Canadian Operational Research Society 2006 Annual Meeting, May 8 2006.

    "Energy Markets: Theory and Practice",  Fields Industrial Optimization Seminar May 2 2006

    "Probability Theory, Linear Operators, and Discrete Logistic Maps",  Southern Ontario Dynamics Day (Fields, Toronto, April 7 2006)

    "Success and Failure (in Modeling) Deregulated Electricity Markets", Colloquium talk given at the Universities of Calgary (March 3 2006) and Waterloo (March 10 2006).

     

    R. Elliott

     

     

    Plenary Speaker, Quantitative Methods in Finance, Sydney, AUS., December 2006 .

    39th IEEE Conference on Signals, Systems and Computers, Asilomar, CA., November 2006.

    Invited speaker, Conference for Dilip Madan, University of Maryland, September 2006.

    Speaker, Bachelier World Congress, Tokyo, Japan, August 2006.

    Speaker, Canadian Mathematical Society Annual meeting, Calgary, AB. June 2006.

    Invited speaker, Workshop on Mathematical Finance and Insurance, Lijiang, China, May 2006.

    Invited speaker, Fifth International Workshop on Scientific Computing and Applications , Banff, AB., May 2006

    Invited plenary speaker, IWAP2006 (International Workshop in Applied Probability, University of Connecticut, Storrs, Conn., May 2006

    Ostrom Lecturer, Washington State University, Pullman, WA., March 2006  

    M. R. Grasselli

     

     

    Games and Options in incomplete markets , invited colloquium talk, Applied Mathematics Colloquium , University of Western Ontario, November 22, 2006. 

    Valuing employee options , invited talk, Mathematics and Finance: from theory to practice , IMPA, November 01, 2006.

    Indifference Price for General Semimartingales , contributed talk, Fourth World Congress of the Bachelier Finance Society , Tokyo, August 19, 2006

    Real options and game theory in incomplete markets , invited talk, Mathematical Methods in Finance Seminars , IMPA, Junho 28, 2006

    Novos paradigmas na precificacao de CDOs e derivativos de credito no mercado internacional , invited plenary talk, Seminario Internacional de Financas , Integral Trust - Sao Paulo, June 21, 2006.

    Investment, abandonment, mothballing and reactivation in incomplete marlets: a real options approach , invited talk, Probability Seminars , University of South California, May 26, 2006.

    Rational exercise of employee options , invited talk, Quantitative Finance Seminar Series , Fields Institute, March 29, 2006.

    Nonlinearity, correlation and the valuation of employee options , invited talk, Finance Seminars, DeGroote School of Business, March 26, 2006.

    U. Horst

     

     

    Invited presentations:

    “Dynamic systems of social interactions”; Department of Economics; Yale  University (10/2006);

    “Climate risk, securitization and equilibrium bond pricing”; International Conference on Mathematical Finance and Related Topics; Kanazawa (Japan) (08/2006) ;

    “Climate risk, securitization and equilibrium bond pricing”; MITACS annual meeting; Toronto (06/2006)

     “Climate risk, securitization and equilibrium bond pricing”; CMS summer meeting; Calgary (06/2006)

     “Climate risk, securitization and equilibrium bond pricing”; Workshop on Optimization problems in financial economics; Banff (06/2006)

    “Climate risk, securitization and equilibrium bond pricing”; Department of Operations research and Financial Engineering; Princeton University (05/2006)

     “Non-ergodic behavior in financial markets with interacting investors”; Center for Nonlinear Dynamics in Economics and Finance; Amsterdam University (02/2006)

    “Non-ergodic behavior in financial markets with interacting investors”, Department of Business Administration; Gottingen University (02/2006)

    T. R. Hurd

    November 3, 2006, Invited Speaker at the Thirteenth Annual CAP Workshop on Derivative Securities and Risk Management, Columbia University.

    June 2006 Invited Speaker at the International Workshop on
    Mathematical Finance and Insurance, Lijiang, China.

    April 2006 Invited Speaker at the First Conference of Advanced
    Mathematical Methods for Finance, Side, Antalya, Turkey

    March 2006 Invited Speaker at the BMBF Workshop on Credit Risk
    Management, Munich, Germany

    March 2006 Invited Speaker, Financial Math Seminar, Mathematics,
    King's College London

    R. M. Reesor

     

     

    "Some Quantitative Issues Arising in Debt Management",  Colloquium Talk, Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario, October 2006.

    "A Bias-reduction Technique for the Monte Carlo Pricing of Early-exercise options", (Tyson Whitehead, Matt Davison, R. Mark Reesor). Invited talk by Mark Reesor at the Statistical Society of Canada's Annual General Meeting, University of Western Ontario, London, Ontario, May 2006.

    "A Bias-reduction Technique for the Monte Carlo Pricing of Early-exercise options", (Tyson Whitehead, Matt Davison, R. Mark Reesor). Contributed talk by Mark Reesor at the 41st Actuarial Research Conference, Centre de Recherches Mathematiques, Universite de Montreal, Montreal, Quebec, August 2006.

     "Quanto Option Pricing with a Distorted Dependence Structure", contributed talk, Festkolloquium in Honour of Phelim Boyle, University of Waterloo, Waterloo, Ontario, June 2006

     

    A. Swishchuk

     

     

    Guest speaker, 2006 Stochastic Modeling Symposium,Toronto, ON, 3-4 April 2006.

    CMS Summer Meeting, Mathematical Finance Session, Calgary, AB, 3-5
    June 2006.

    A. Ware

     

     

    CAIMS/MITACS 2006, York, Session: Stochastic Models in Industrial Mathematics, Title: Modelling electricity prices

    CMS Summer Meeting 2006, Calgary, Title: Swing options with continuous exercise (joint work with Hua Li).

    National University of Singapore, Invited talk, Title: Swing options with continuous exercise (joint work with Hua Li).

     

    2005

     

     

    Investigators

    M. Davison

    "Generalized Tsallis, Renyi and Landsberg-Vedral Disorders: Necessary and Sufficient?" Shiner JS, Davison M. UNESCO/ROSTE - CISM Workshop "New Perspectives in Thermodynamics: Quantifying Non-Equilibrium Processes". International Centre for Mechanical Sciences, Udine, Italy. 2-4 November 2005.

    "Adventures in Energy Finance", M. Davison. Colloquium talk given at the University of Guelph dept of Mathematics seminar, Fri Oct 21 2005.

    "Implementation issues in Monte Carlo Pricing American Options on the SHARCNET cluster"(Tyson Whitehead, Matt Davison, Mark Reesor, 40 minute talk given by MD HPCS 2005, Guelph Ontario, May 16 2005.

    R. Elliott

     

     

    Keynote Speaker, Quantitative Methods in Finance, Sydney, AUS. December 2005.

    39th IEEE Conference on Signals, Systems and Computers,
    Asilomar, CA.November 2005.

    NFA 2005, Simon Fraser University, Vancouver, BC, September 2005.

    PIMS Colloquium, University of British Columbia. September 2005.

    Stochastic Analysis in Finance and Engineering,  U of Calgary, July 2005

    Stochastic Modeling of Complex Systems, SMOCS'05, Daydream Island, Australia, July 2005

    Stochastic Modeling in Financial Mathematics, CRM, Montreal, June 2005

    Invited plenary speaker, EURANDOM, Conference in Risk, Eindhoven, The Netherlands. May 2005

    Speaker, DASP(Defense Applications of Signal Processing), Utah, USA, March 2005

    Colloquilum, University of Houston, January 2005

    M. R. Grasselli

     

     

    An Orlicz space formulation for the optimal hedging problem  in  general semimartingale markets, invited talk, Mathematical
    Models in  Finance Seminars, IMPA, November 21, 2005.

    Nonlinearity, correlation and the valuation of employee  stock  options, contributed talk, MITACS Project Meeting, McMaster University, November 11, 2005.

    Valuing employee options, invited talk, SIAM Conference on  Mathematics and Industry, Detroit, October 24, 2005.

    Cálculo de Malliavin e Caos de Wiener aplicados à Economia,  invited colloquium talk, IFT Colloquium Series, IFT - Sao Paulo, August 31,  2005.

    Novos Paradigmas em Securitizacao e Derivativos de Credito,  invited plenary talk, Seminario Internacional de Financas, Integral Trust -  Sao Paulo, August 19, 2005.

    Regras de preco nao-lineares, contratos de volatilidade e exercicio  otimo de opcoes executivas, invited talk, Ibmec - Sao Paulo,  August 11, 2005.

    On the optimal exercise policy for executive stock options, contributed talk, Developments in Quantitative Finance, Newton  Institue, June 16, 2005.

    Open Questions in Quantum Information Geometry, invited talk,  Mathematics Seminars, Imperial College London, June 15, 2005.

    Applications of utility-based pricing to stochastic volatility  and   real options models, invited talk, Actuarial Mathematics and  Statistics Seminars, Heriot-Watt University, June 10, 2005.

    Indifference pricing in two factor models: new results for  stochastic volatility, contributed talk, Developments in Quantitative Finance,  Newton Institute, May 25, 2005. 

    U. Horst

     

     

     Department of Mathematics; Technical University Berlin (12/2005)

    “Equilibria in systems of social interaction”; Institute of Mathematical Economics; Bielefeld University (12/2005)

    “Equilibria in systems of social interaction”; Institute of Mathematical Economics; Bielefeld University (12/2005)

    "Climate risk, securitization, and equilibrium bond pricing”; MITACS Annual Project Meeting; McMaster University(11/2005)

    "The statistical mechanics of credit contagion”; Workshop Credit Risk; Statistical and Applied Mathematical Sciences Institute (SAMSI) (11/2005)

     “Queuing models in finance”; Workshop Microscopic Stochastic Dynamics in Economics; Center of Interdisciplinary Studies; Bielefeld University (07/2005)

    “Stochastic cascades, credit contagion and large portfolio losses;” Department of Economics; University of Bonn (06/2005)

      “Equilibria in systems of social interaction”; The 2005 NSF/CEME Mathematical Economics Conference; Berkeley (06/2005)

     “Climate risk, securitization, and equilibrium bond pricing”; Canada-Chile Meeting on the Mathematics of Economic Geography and Natural Resource Management; Banff (04/2005)

     “Stochastic cascades, credit contagion and large portfolio losses;” VI-th Annual MITACS Meeting (04/2005)

    “Non-ergodic behavior in financial markets with interacting investors”; Aggregation and Disaggregation Workshop; Banff (04/2005)

     “Equilibria in financial markets with heterogeneous agents: A probabilistic perspective;” University of Edmonton, Mathematical Colloquium (04/2005)

    “State-dependent queuing systems with semi-Markov switching and their applications to finance”; Complexity and Randomness in Economic Dynamical Systems; University of Bielefeld (02/2005)

    “Equilibria in systems of social interaction”; 14th European Workshop on General Equilibrium Theory; Zurich (03/05)

    T. R. Hurd

     

     

    Dec 2005 Plenary Speaker at the Quantitative Methods in Finance
    Conference, Sydney, Australia

    Nov 2005 Invited speaker at the Quantitative Finance Conference on
    Credit Risk, University of Western Ontario

    August 2005 Invited Speaker, Conference on High Dimensional PDEs in
    Science and Engineering, CRM, Montreal

    May 2005 Invited Speaker, Finance Seminar, Warwick Business School,
    University of Warwick

    May 2005 Invited Speaker, Workshop on Monte Carlo Methods, Newton
    Institute, Cambridge

    April 2005 Invited Speaker, Mathematical Finance Seminar, Newton
    Institute, Cambridge

    April 2005 Invited Speaker, Mathematical Finance Seminar, Imperial
    College, London

    March 2005 Invited Speaker, Mathematical Finance Seminar Series,
    Courant Institute, New York

    March 2005 Invited Speaker, Mathematical Finance Seminar Series,
    Bendheim Center, Princeton University

    February 2005 Invited Speaker, Risk Management and Trading Group,
    CIBC, Toronto

    Feb 2005 Invited Speaker in the Financial Mathematics Seminar
    Series, Fields Institute for Research in Mathematical Sciences

    R. M. Reesor

     

     

     "A Debt Strategy Simulation Framework and Interest-rate Model Risk", (R. Mark Reesor, Shudan Liu), Seminar Series on Quantitative Finance, The Fields Institute, Toronto, Ontario, September 2005.

    "A Debt Strategy Simulation Framework and Interest-rate Model Risk", (R. Mark Reesor, Shudan Liu), Annual Meeting or the MITACS project group "Modelling Trading and Risk in the Market", McMaster University, Hamilton, Ontario, November 2005.

     

    2004

     

     

    Investigators

     

    M. Davison , "Fractional Brownian Motion, Wickbitrage, and the Optimal Control of Hydroelectric Plants", BIRS Workshop: Semimartingale Theory and Practice in Finance, June 2004.

    R. Elliott, " Quantitative Methods in Finance", Keynote Speaker, Sydney, Australia, December 2004

    R. Elliott, " 38th IEEE Conference on Signals, Systems and Computers", Asilomar, CA, November 2004.

    Matheus Grasselli and T. R. Hurd, (invited double seminar) ``Indifference pricing for reciprocal affine stochastic volatility models'', School of Accounting seminar, University of Waterloo, March 2004.

    M. R. Grasselli, " Noncommutative Orlicz Spaces in Quamtum Information Geometry",  invited   talk, Quantum Events Seminar Series, University of Guelph, November  30, 2004.

    Matheus Grasselli, "Utility based pricing and hedging in two factor Markov markets", AIMS-Phimac seminar, McMaster University, January 2004.

    Matheus Grasselli, "Numerical methods for indifference pricing in stochastic volatility models", BIRS Workshop on Semimartigale Methods in Finance, June 2004.

    Matheus Grasselli,  " Numerical methods for optimal hedging portfolios", invited research lecture, Sharcnet Annual General Meeting, University of Western Ontario,  June 24, 2004.

      Matheus Grasselli, " Wiener Chaos and the Cox-Ingersoll-Ross model", Bachelier Finance Society Third World Congress, Chicago, July 2004.

      Matheus Grasselli, " Dual Connections in Nonparametric Information Geometry",invited   tutorial lecture, 37th Annual Meeting of the Society for Mathematical  Psychology, Ann Arbor, July 29 - August 1, 2004. 

    T. R. Hurd, "Monte Carlo explorations of utility based pricing, hedging and asset allocation", University of Technology Sydney, July 2004.

    T. R. Hurd, "Indifference pricing for reciprocal affine stochastic volatility models", Bachelier Finance Society Third World Congress, Chicago, July 2004.

    T. R. Hurd, Invited speaker ``Pricing CDOs in affine Markov chain models'', MITACS Finance Theme Meeting, BIRS, Banff, Nov 2004.

    T. R. Hurd, Invited talk ``An error formula for Monte Carlo based portfolio optimization'' at MITACS Finance Meeting UBC, June 2004

    R. M. Reesor, "Multivariate Risk Adjustment via Distortion and Relative Entropy Optimisation", Invited talk, Financial Mathematics Symposium, CAIMS/CMS Annual Meeting, Dalhousie University, Hailfax, Nova Scotia, June 2004.

    Buckley, Saunders, L. Seco, "Portfolio optimization under regime switching market conditions", Buckley, Saunders, , Cornell University, Nov 2004.

    Buckley, Saunders, Seco, Portfolio optimization under regime switching market conditions,  BIRS, Nov 2004.

    L. Seco, " A decade of hedge fund performance", Presentation to the World Hedge Fund Conference, Niagara Falls, Dec 2004.

    Students/PDFs

      Calibration of energy price processes using jump-diffusion models,

      Lei Xiong and James Xu, Young Researcher¢s Forum in Mathematical and Statistical Sciences, University of Alberta, March 2004.

      A Real Options Revenue Management Framework,

      Evise Kopliku, Chris Anderson, Matt Davison, Henning Rasmussen, CORNS/INFORM 04, Banff, May 2004.

      Development of a Hybrid Model for Electricity Spot Prices,

      Lindsay Anderson and Matt Davison, CORS/INFORM 04, Banff, May 2004.

      Calibration of energy price processes using jump-diffusion models,

      Lei Xiong and James Xu, Poster presented at the MITACS AGM, Halifax 2004.