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
  1. On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
  2. 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
  1. A Executive Stock Options as a Screening Mechanism
  2. 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
  1. A New Approach to Constructing Implied Volatility Surfaces
  2. 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
  1. Dynamic Delta Hedging in a Hidden Markov Model Market
  2. Pricing Defaultable Dual-Trigger Hybrid Securities
  3. Pricing Shout Options Using Least-Squares Monte Carlo Method
  4. 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
  1. Pricing and Hedging Strategies for Contingent Claims in an Incomplete Hybrid Emissions Market
  2. 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
  1. Analysis of Tax-deductible Interest Payments for Re-Advanceable Canadian Mortgages
  2. 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
    1. Options Pricing in High Dimension Using Numerical PDEs
    2. The Longstaff and Schwartz Method
    3. 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
    1. Missing data and Imputation
    2. 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
    1. Variance Reduction for Portfolio Loss Probabilities Estimation
    2. 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
    1. Assessment of re-advanceable mortgages
    2. 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
    1. Pricing barrier options with Variance reduction technique.
    2. Weighted Monte Carlo.
    3. Sensitivity Analysis of Modern Portfolio Theory.
    4. 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
    1. Optionality for Ethanol Producers.
    2. Numerical and Analytical Methods for Portfolio Optimization under Habit Formation.
    3. 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
     

                      We would like to thank MITACS for financial sponsorship of this seminar series.