Quantitative Finance Seminars at UWO

Date Speaker Title 2010-2011 2010-11-24 @ 5:00pm in WSS Conference Room Live Video Conference from Fields Institute in Toronto: 1.Pierre Collin-Dufresne, Columbia University 2.Kostas Kardaras, Boston University On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches Pricing and hedging barrier options in diffusion models via 3-dimensional Bessel bridges 2010-11-19 @ 10:30am in MC 204 Ying Wang Department of Applied Mathematics The University of Western Ontario Log-Supermodularity of Weight Functions and the Loading Monotonicity of Weighted Insurance Premiums. 2010-11-17 @ 10:30am in MC 204 Nicole Nolan Ivey School of Business The University of Western Ontario Tutorial on the Bloomberg Terminal. 2010-10-27 @ 5:00pm in WSS Conference Room Live Video Conference from Fields Institute in Toronto: 1.Fernando Zapatero, Marshall School of Business, University of Southern California 2.Emanuel Derman, Columbia University A Executive Stock Options as a Screening Mechanism Metaphors, Models & Theories in Science and Finance 2010-10-27 @ 2:30pm in MC 204 Dr Mark Reesor Department of Applied Mathematics The University of Western Ontario Valuation of Swing Options. 2010-10-20 @ 4:30pm in UCC 56 Ben Bittrolff, Peter Metford Cyborg Trading Systems London, Ontario High Frequency Trading: The War of Micro Second. 2010-10-20 @ 10:30am in MC 204 Dr Matt Davison Department of Applied Mathematics The University of Western Ontario Liquidity Premia. 2010-10-13 @ 10:30am in MC 204 James Marshal Department of Applied Mathematics The University of Western Ontario Mitacs Information Session. 2010-9-29 @ 5:00pm in WSS Conference Room Live Video Conference from Fields Institute in Toronto: 1.Liuren Wu, Zicklin School of Business 2.Alexey Kuznetsov, York University A New Approach to Constructing Implied Volatility Surfaces Meromorphic Levy processes and their applications in Finance and Insurance 2010-9-17 @ 10:30am in MC 204 Ben Bittrolff Cyborg Trading Systems London, Ontario High Frequency Trading. 2009-2010 2010-9-7 @ 12:30pm in MC 204 Dr. Marianito Rodrigo Instituto Tecnológico Autónomo de México (ITAM) American options with time-varying parameters via Mellin transforms 2010-8-30 @ 1:30pm in MC 204 Bin Lu Department of Applied Mathematics The University of Western Ontario Analyzing the impact of environmental variables on the repayment time for solar farms 2010-8-11 @ 12:00pm in MC 204 Melissa Anne Mielkie, Xuezhi Liu, Jie He, and Adrian Walton Department of Applied Mathematics The University of Western Ontario Dynamic Delta Hedging in a Hidden Markov Model Market Pricing Defaultable Dual-Trigger Hybrid Securities Pricing Shout Options Using Least-Squares Monte Carlo Method Network Configuration and Systemic Risk 2010-8-11 @ 1:30pm in MC 204 Jingya Li Department of Applied Mathematics The University of Western Ontario Computing the Nearest Correlation Matrix 2010-6-18 @ 12:30pm in MC 204 Shaowei Zhang Department of Applied Mathematics The University of Western Ontario Detecting Hedge Fund Styles 2010-6-11 @ 12:30pm in MC 204 1.Walid Mnif , 2. Xiaohu Peng Department of Applied Mathematics The University of Western Ontario Pricing and Hedging Strategies for Contingent Claims in an Incomplete Hybrid Emissions Market Pricing Canadian Retail Debt 2010-5-28 @ 12:30pm in MC 204 Dr Mark Reesor Department of Applied Mathematics The University of Western Ontario Central Bank 2010-5-14 @ 12:30pm in MC 204 Dr Matt Davison Department of Applied Mathematics The University of Western Ontario Lecture on Energy Finance 2010-5-7 @ 12:30pm in MC 204 Dr Matt Davison Department of Applied Mathematics The University of Western Ontario Lecture on energy markets that Alex Eydeland gave at a recent Fields workshop 2010-4-1 @ 11:30am in MC 204 1.Almas Naseem, 2.Nabeel Butt Department of Applied Mathematics The University of Western Ontario Analysis of Tax-deductible Interest Payments for Re-Advanceable Canadian Mortgages Towards a novel temperature index for energy risk managment 2010-3-26 @ 12:30pm in MC 204 Rizwana Kousar Department of Applied Mathematics The University of Western Ontario Financial stability and contagion risk through direct interbank links 2010-3-17 @ 1:30pm in K203 Dr. Yunchuan Gao Mapleridge Capital in Toronto Quantitative investment and trading strategies from the perspective of a practitioner 2010-3-12 @ 12:30pm in MC 204 Lindsay Anderson Cornell University Simulation Analysis of Wind Variability on a Transmission Network 2010-2-26 @ 1:30pm in MC 204 Roman Narishkyn Department of Applied Mathematics The University of Western Ontario PhD defense talk :Portfolio Optimization under Habit Formation and Transaction Costs 2010-2-24 @ 2:30pm in MC 204 Cody Hyndman Department of Mathematics and Statistics Concordia University Colloquium talk: Evaluation of participating insurance policies under mixed funds 2010-2-11 @ 12:30pm in MC 204 Roman Narishkyn Department of Applied Mathematics The University of Western Ontario Portfolio Optimization under Habit Formation and Transaction Costs (Dry Run) 2010-2-5 @ 12:30pm in MC 204 Xiaohu Peng ,Yingfeng, Nan Zhou Department of Applied Mathematics The University of Western Ontario CFA and PRM exams, CFA (Chartered Financial Analyst) PRM (Professional Risk Manager) GARP's FRM exam 2010-1-29 @ 12:30pm in MC 204 James Marshal Department of Applied Mathematics The University of Western Ontario Forest of Stochastic Trees: A New Method for Valuing High Dimensional Swing Options 2010-1-22 @ 12:30pm in MC 204 Dr Mark Reesor, James Marshal Department of Applied Mathematics The University of Western Ontario The Wonders of the Stochastic Tree --- A Monte Carlo Algorithm for Valuing American-style derivatives 2010-1-20 @ 2:30pm in MC 204 Stephan Schlueter Lehrstuhl für Statistik und Ökonometrie Germany Pricing a European Gas Storage Facility using a Continuous-Time Spot Price Model with GARCH Diffusion 2009-12-4 @ 10:30am in MC 204 Jin Choi Department of Applied Mathematics The University of Western Ontario Operational risk 2009-11-27 @ 10:30am in MC 204 Dr Geoff Wild Department of Applied Mathematics The University of Western Ontario Application of multitype branching processes to the study of social evolution 2009-11-20 @ 10:30am in MC 204 Kin Hung (Felix) KAN Department of Applied Mathematics The University of Western Ontario Optimized Least-squares Monte Carlo (OLSM) for Measuring Counterparty Credit Exposure of American-style Options 2009-11-6 @ 10:30am in MC 204 Zhongqun Wu North China Electrical Power University Investment and Consumption in China: General Characteristics and Current Situation Part II 2009-10-30 @ 10:30am in MC 204 Zhongqun Wu North China Electrical Power University Investment and Consumption in China: General Characteristics and Current Situation Part I 2009-10-23 @ 10:30am in MC 204 Dr Adam Metzler, Dr Matt Davison, Dr Mark Reesor Department of Applied Mathematics The University of Western Ontario Lecture and discussion on short-Selling 2009-10-16 @ 10:30am in MC 204 Dr Adam Metzler Department of Applied Mathematics The University of Western Ontario Lecture on - differences between debt and equity securities - short selling and margin accounts - credit ratings and, credit default swaps 2009-10-2 @ 10:30am in MC 204 Dr Matt Davison Department of Applied Mathematics The University of Western Ontario . Broker markets vs Dealer Markets. Buying Long vs. Going short. Transaction costs. Depth and Liquidity. Types of market data . Financial data 2009-9-24 @ 10:30am in MC 204 Dr Matt Davison Department of Applied Mathematics The University of Western Ontario Lecture on Financial Sector 2008-2009 2009-7-29 @ 11:00am in MC 204 Tony Ware Department of Mathematics University of Calgary Semi-Lagrangian Methods in Finance. 2009-5-27 @ 11:00am in MC 204 Natasha Kirby, Walid Mnif, Nabeel Butt Department of Applied Mathematics The University of Western Ontario Options Pricing in High Dimension Using Numerical PDEs The Longstaff and Schwartz Method Continous-time Portfolio Optimization under transaction costs 2009-5-20 @ 11:00am in MC 204 Xiaoming Liu Department of Statistical & Actuarial Sciences The University of Western Ontario Subprime Crisis 2007 --- From the Perspective of an Actuary. 2009-5-1 @ 11:00am in MC 204 Ekaterina Shemyakova Research Institute for Symbolic Computation University of Linz, Austria Informal Report About Current Work on Sensitivity in Portfolio Optimization. 2009-4-6 @ 11:00am in MC 204 Almas Naseem, Roman Naryshkin Department of Applied Mathematics The University of Western Ontario Missing data and Imputation Portfolio Optimization under Habit Formation and Transaction Costs 2009-4-3 @ 9:30am in MC 204 Melissa Mielke The University of Western Ontario Life-Cycle Investment Strategies. 2009-3-30 @ 11:00am in MC 204 Felix Kan Department of Applied Mathematics The University of Western Ontario Bias Reduction of Least-squares Monte Carlo Estimators of American Option Value. 2009-3-23 @ 11:00am in MC 204 Jin Choi Department of Applied Mathematics The University of Western Ontario Value of Presale Contracts of Condominiums. 2009-3-18 @ 2:30pm in MC 204 Andrei Prokopiw Mapleridge Capital Hurdles in Analyzing Financial Data and Strategies. 2009-3-16 @ 11:00am in MC 204 Mark Reesor Department of Applied Mathematics The University of Western Ontario An Introduction to the Stochastic Tree and Stochastic Mesh II. 2009-3-9 @ 11:00am in MC 204 Mark Reesor Department of Applied Mathematics The University of Western Ontario An Introduction to the Stochastic Tree and Stochastic Mesh I. 2009-3-2 @ 11:00am in MC 204 Tyson Whitehead Department of Applied Mathematics The University of Western Ontario Dynamic Programming and the Stochastic Tree. 2009-2-23 @ 11:00am in MC 204 Nabeel Butt Department of Applied Mathematics The University of Western Ontario Efficient Weather Risk Management. 2009-2-9 @ 11:00am in MC 204 Xiaohu Peng, Almas Naseem Department of Applied Mathematics The University of Western Ontario Variance Reduction for Portfolio Loss Probabilities Estimation Missing data and Imputation 2009-2-2 @ 11:00am in MC 204 Walid Mnif Department of Applied Mathematics The University of Western Ontario Pricing of Interest Rate Derivatives under Two-dimensional Affine Term Structure Models. 2008-12-17 @ 3:00pm in MC 204 Jacky Rong, Long Jiang Department of Applied Mathematics The University of Western Ontario Assessment of re-advanceable mortgages Backward SDE, g-Expectation and Risk Measure 2008-12-12 @ 2:30pm in MC 204 Matt Davison & Mark Reesor Department of Applied Mathematics The University of Western Ontario Market Discussions. 2008-12-5 @ 2:30pm in MC 204 Adam Metzler Department of Applied Mathematics The University of Western Ontario Credit Derivatives II. 2008-11-28 @ 2:30pm in MC 204 Adam Metzler Department of Applied Mathematics The University of Western Ontario Credit Derivatives I. 2008-11-14 @ 2:30pm in MC 204 Jin Choi Department of Applied Mathematics The University of Western Ontario Value of Presale Contracts of Condominiums. 2008-11-07 @ 2:30pm in MC 204 Roman Naryshkin (with Matt Davison) Department of Applied Mathematics The University of Western Ontario Portfolio Optimization under Habit Formation and Transaction Costs. 2008-10-31 @ 2:30pm in MC 204 Nabeel Butt & Felix Kan Department of Applied Mathematics The University of Western Ontario Mapleridge problem: Sharpe-ratio Portfolio Optimization. 2008-10-24 @ 2:30pm in MC 204 Group Discussion Department of Applied Mathematics The University of Western Ontario Job Interviews and Professional Qualifications. 2008-10-17 @ 2:30pm in MC 204 Matt Davison Department of Applied Mathematics The University of Western Ontario The Canada-China Financial Problem Solving Workshop. 2008-09-26 @ 2:30pm in MC 204 Matt Davison & Mark Reesor Department of Applied Mathematics The University of Western Ontario Job search/interview skills, resume preparation, and tertiary qualifications such as the CFA designation. 2007 - 2008     2008-07-10 @ 10:30am in MC 204 Nabeel Butt Department of Applied Mathematics The University of Western Ontario Portfolio Management under Transaction Costs. 2008-06-26 @ 3:00pm in MC 204 Mark Reesor Department of Applied Mathematics The University of Western Ontario Correcting the Bias in Monte Carlo Estimators of American-style Option Values. 2008-05-29 @ 10:30pm in MC 15b Matt Davison Department of Applied Mathematics The University of Western Ontario Topics related to forward Curves. 2008-05-23 @ 2:30pm in MC 204 Hua Li Dept. of Mathematics & Statistics, University of Calgary Option Pricing and Hedging in Incomplete Markets with Fuzzy Parameters. 2008-05-22 @ 10:30pm in MC 204 Jacky Rong, Laura Parkes-Schaw, Matthew McInnis and Felix Kan Department of Applied Mathematics The University of Western Ontario Pricing barrier options with Variance reduction technique. Weighted Monte Carlo. Sensitivity Analysis of Modern Portfolio Theory. Pricing American Options by Simulation: Bias Reduction on Modified Least-Squares Monte Carlo.  2008-04-23 @ 2:30pm in MC 204 Adam Metzler Dept. of Department of Statistics and Actuarial Science, University of Waterloo Multivariate First-Passage Models for Credit Risk. 2008-04-16 @ 3:30pm in MC 204 Dr. Greg Frank VP & Director, Global Business Service Analytics, TD Bank Financial Group Structured Products, Market Forces and Mathematical Innovation. 2008-03-27 @ 3:30pm in MC 105 Natasha Roxanne Kirby, Roman Naryshkin and Andriy Miranskyy Department of Applied Mathematics The University of Western Ontario Optionality for Ethanol Producers. Numerical and Analytical Methods for Portfolio Optimization under Habit Formation. SIFT: A Scalable Iterative-unFolding Technique for filtering execution traces. 2008-03-19 @ 3:30pm in MC 105 Mark Reesor & Shudan Liu Department of Applied Mathematics The University of Western Ontario Swinging in Liquidity: The Use of Swing Options to Manage Liquidity Risk. 2008-03-03 @ 2:30pm in MC 204 Alexey Kuznetsov University of New Brunswick First passage time problems for Levy processes. 2008-02-25 @ 2:30pm in MC 204 Ning Cai Columbia University Jump Diffusion Processes in Financial Modeling. 2008-02-22 @ 2:30pm in MC 204 Traian Pirvu University of British Columbia On Securitization, Market Completion and Equilibrium Risk Transfer. 2008-02-15 @ 2:30pm in MC 204 Dash Wu University of Toronto Enterprise Risk Management in Supply Chain Outsourcing: a DEA VaR Model. 2008-02-13 @ 3:30pm in MC 105 Felix Kan Department of Applied Mathematics The University of Western Ontario Large Sample Theory and Some of Its Applications to Finance. 2007-11-30 @ 10:30am in MC 204 Roman Naryshkinein Department of Applied Mathematics The University of Western Ontario Portfolio Optimization under Habit Formation. 2007-11-16 @ 10:30am in MC 204 Christina Erlwein The Centre for the Analysis of Risk and Optimisation Modelling Applications School of Information Systems, Computing and Mathematics Brunel University HMM based Scenario Generation for an Investment Optimization Problem. 2007-11-09 @ 10:30am in MC 204 Matt Davison Department of Applied Mathematics The University of Western Ontario Valuing Environmental Forecasts for the Energy Industry. 2007-11-02 @ 10:30am in MC 204 Henning Rasmussen Department of Applied Mathematics The University of Western Ontario Refurbishment of a Hotel as a Compound Real Option Problem. 2007-10-26 @ 10:30am in MC 204 Natasha Roxanne Kirby Department of Applied Mathematics The University of Western Ontario Ethanol Plants. 2007-10-19 @ 10:30am in MC 204 Felix Prehl Fakultaet fuer Mathematik Technische Universtitaet Chemnitz  Germany Finite Difference Method . 2007-10-12 @ 10:30am in MC 204 Guangzhi Zhao & Andy Chang Department of Applied Mathematics The University of Western Ontario Talk about Job Interviews 2007-10-05 @ 10:30am in MC 204 Sharon Wang Department of Applied Mathematics The University of Western Ontario Dynamic Solvency Tests and Contagion in the Property and Casualty Insurance Company   2007-10-04 @ 3:30am in WSC248 Sebastian Jaimungal Department of  Statistics and Mathematical Finance Program University of Toronto From Spot to Forward Stochastic Volatility Models for Commodities 2007-09-28 @ 10:30am in MC 204 Mark Reesor Department of Applied Mathematics The University of Western Ontario Risk Analysis of a Retail Bond Issuance Strategy 2006 - 2007     2007-06-20 @ 11:30am in MC 204 Hans Tuenter Planning & Analysis Group, Energy Markets Ontario Power Generation Stochastic Modelling of Wind Speed Time Series 2007-03-22 @ 2:30pm in MC 204 Andy Foster Department of Mathematics and Statistics Memorial University of Newfoundland Dynamical Systems Models for Financial Asset Pricing 2007-02-12 @ 2:30pm in MC 204 Leung Lung Chan Department of Mathematics University of Calgary Option Pricing for GARCH Models with Markov Switching 2007-02-07 @ 2:30pm in MC 204 Aparna Gupta Decision Sciences and Engineering Systems and Lally School of Management and Technology Rensselaer Polytechnic Institute Risk Management and Pricing in Financial Services and Service Guarantees   2007-01-31 @ 2:30pm in MC 204 Traian Pirvu Department of Mathematics University of British Columbia Pricing in Complete and Incomplete Markets 2006-11-29 @ 2:30pm in MC 204 Rogemar S. Mamon Department of Statistics and Actuarial Sciences The University of Western Ontario Markov-modulated Financial Models 2006-11-22 @ 2:30pm in MC 204 Matheus Graselli Department of Mathematics and Statistics McMaster University Games and Options in Incomplete Markets 2006-11-15 @ 3:30pm in MC 204 Tyson Whitehead Department of Applied Mathematics The University of Western Ontario Overview of Pricing American Options via Simulation and my Thesis II 2006-11-07 @ 3:30pm in MC 204 Tyson Whitehead Department of Applied Mathematics The University of Western Ontario Overview of Pricing American Options via Simulation and my Thesis I 2006-10-25 @ 3:30pm in MC 204 Sharon Wang Department of Applied Mathematics The University of Western Ontario Some Facts and Discussion about Property and Casualty Insurance in Canada 2006-10-19 @ 3:30pm in WSC 248 Mark Reesor Department of Applied Mathematics and Statistical & Actuarial Sciences The University of Western Ontario Some Quantitative Issues Arizing in Debt Management 2006-10-18 @ 3:30pm in MC 204 Guangzhi Zhao Department of Applied Mathematics The University of Western Ontario When does variable power pricing alter the behavior of hydroelectric facility operators? 2006-10-11 @ 3:30pm in MC 204 Shudan Liu Department of Applied Mathematics The University of Western Ontario Internship in bank of Canada and summer workshop about econometrics at UBC 2006-09-21 @3:30pm in WSC 248 Matt Davison Department of Applied Mathematics and Statistical & Actuarial Sciences The University of Western Ontario New Directions in Quantitative Finance 2006-07-31 @ 1:00pm in MC 204 Jichao Zhao Department of Applied Mathematics The University of Western Ontario A Highly Accurate Compact Finite Difference Method and its Applications in Financial Mathematics and Computational Biology