Date 
Speaker 
Title 
20102011 


20101124 @ 5:00pm in WSS Conference Room 
Live Video Conference from Fields Institute in Toronto: 1.Pierre CollinDufresne, 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 3dimensional Bessel bridges

20101119 @ 10:30am in MC 204 
Ying Wang Department of Applied Mathematics The University of Western Ontario 
LogSupermodularity of Weight Functions and the Loading Monotonicity of Weighted Insurance Premiums. 
20101117 @ 10:30am in MC 204 
Nicole Nolan Ivey School of Business The University of Western Ontario 
Tutorial on the Bloomberg Terminal. 
20101027 @ 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

20101027 @ 2:30pm in MC 204 
Dr Mark Reesor Department of Applied Mathematics The University of Western Ontario 
Valuation of Swing Options. 
20101020 @ 4:30pm in UCC 56 
Ben Bittrolff, Peter Metford Cyborg Trading Systems London, Ontario 
High Frequency Trading: The War of Micro Second. 
20101020 @ 10:30am in MC 204 
Dr Matt Davison Department of Applied Mathematics The University of Western Ontario 
Liquidity Premia. 
20101013 @ 10:30am in MC 204 
James Marshal Department of Applied Mathematics The University of Western Ontario 
Mitacs Information Session. 
2010929 @ 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

2010917 @ 10:30am in MC 204 
Ben Bittrolff Cyborg Trading Systems London, Ontario 
High Frequency Trading. 
20092010 


201097 @ 12:30pm in MC 204 
Dr. Marianito Rodrigo Instituto Tecnológico Autónomo de México (ITAM)

American options with timevarying parameters via Mellin transforms 
2010830 @ 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 
2010811 @ 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 DualTrigger Hybrid Securities
 Pricing Shout Options Using LeastSquares Monte Carlo Method
 Network Configuration and Systemic Risk

2010811 @ 1:30pm in MC 204 
Jingya Li Department of Applied Mathematics The University of Western Ontario 
Computing the Nearest Correlation Matrix 
2010618 @ 12:30pm in MC 204 
Shaowei Zhang Department of Applied Mathematics The University of Western Ontario 
Detecting Hedge Fund Styles 
2010611 @ 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

2010528 @ 12:30pm in MC 204 
Dr Mark Reesor Department of Applied Mathematics The University of Western Ontario 
Central Bank 
2010514 @ 12:30pm in MC 204 
Dr Matt Davison Department of Applied Mathematics The University of Western Ontario 
Lecture on Energy Finance 
201057 @ 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 
201041 @ 11:30am in MC 204 
1.Almas Naseem, 2.Nabeel Butt Department of Applied Mathematics The University of Western Ontario 
 Analysis of Taxdeductible Interest Payments for ReAdvanceable Canadian Mortgages
 Towards a novel temperature index for energy risk managment

2010326 @ 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 
2010317 @ 1:30pm in K203 
Dr. Yunchuan Gao Mapleridge Capital in Toronto

Quantitative investment and trading strategies from the perspective of a practitioner 
2010312 @ 12:30pm in MC 204 
Lindsay Anderson Cornell University

Simulation Analysis of Wind Variability on a Transmission Network 
2010226 @ 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 
2010224 @ 2:30pm in MC 204 
Cody Hyndman Department of Mathematics and Statistics Concordia University 
Colloquium talk: Evaluation of participating insurance policies under mixed funds 
2010211 @ 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) 
201025 @ 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 
2010129 @ 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 
2010122 @ 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 Americanstyle derivatives 
2010120 @ 2:30pm in MC 204 
Stephan Schlueter Lehrstuhl für Statistik und Ökonometrie Germany 
Pricing a European Gas Storage Facility using a ContinuousTime Spot Price Model with GARCH Diffusion 
2009124 @ 10:30am in MC 204 
Jin Choi Department of Applied Mathematics The University of Western Ontario 
Operational risk 
20091127 @ 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 
20091120 @ 10:30am in MC 204 
Kin Hung (Felix) KAN Department of Applied Mathematics The University of Western Ontario 
Optimized Leastsquares Monte Carlo (OLSM) for Measuring Counterparty Credit Exposure of Americanstyle Options 
2009116 @ 10:30am in MC 204 
Zhongqun Wu North China Electrical Power University

Investment and Consumption in China: General Characteristics and Current Situation Part II 
20091030 @ 10:30am in MC 204 
Zhongqun Wu North China Electrical Power University

Investment and Consumption in China: General Characteristics and Current Situation Part I 
20091023 @ 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 shortSelling 
20091016 @ 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

2009102 @ 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

2009924 @ 10:30am in MC 204 
Dr Matt Davison Department of Applied Mathematics The University of Western Ontario 
Lecture on Financial Sector 
20082009 


2009729 @ 11:00am in MC 204 
Tony Ware Department of Mathematics University of Calgary 
SemiLagrangian Methods in Finance. 
2009527 @ 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
 Continoustime Portfolio Optimization under transaction costs

2009520 @ 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. 
200951 @ 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. 
200946 @ 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

200943 @ 9:30am in MC 204 
Melissa Mielke The University of Western Ontario 
LifeCycle Investment Strategies. 
2009330 @ 11:00am in MC 204 
Felix Kan Department of Applied Mathematics The University of Western Ontario 
Bias Reduction of Leastsquares Monte Carlo Estimators of American Option Value. 
2009323 @ 11:00am in MC 204 
Jin Choi Department of Applied Mathematics The University of Western Ontario 
Value of Presale Contracts of Condominiums. 
2009318 @ 2:30pm in MC 204 
Andrei Prokopiw Mapleridge Capital 
Hurdles in Analyzing Financial Data and Strategies. 
2009316 @ 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. 
200939 @ 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. 
200932 @ 11:00am in MC 204 
Tyson Whitehead Department of Applied Mathematics The University of Western Ontario 
Dynamic Programming and the Stochastic Tree. 
2009223 @ 11:00am in MC 204 
Nabeel Butt Department of Applied Mathematics The University of Western Ontario 
Efficient Weather Risk Management. 
200929 @ 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

200922 @ 11:00am in MC 204 
Walid Mnif Department of Applied Mathematics The University of Western Ontario 
Pricing of Interest Rate Derivatives under Twodimensional Affine Term Structure Models. 
20081217 @ 3:00pm in MC 204 
Jacky Rong, Long Jiang Department of Applied Mathematics The University of Western Ontario 
 Assessment of readvanceable mortgages
 Backward SDE, gExpectation and Risk Measure

20081212 @ 2:30pm in MC 204 
Matt Davison & Mark Reesor Department of Applied Mathematics The University of Western Ontario 
Market Discussions. 
2008125 @ 2:30pm in MC 204 
Adam Metzler Department of Applied Mathematics The University of Western Ontario 
Credit Derivatives II. 
20081128 @ 2:30pm in MC 204 
Adam Metzler Department of Applied Mathematics The University of Western Ontario 
Credit Derivatives I. 
20081114 @ 2:30pm in MC 204 
Jin Choi Department of Applied Mathematics The University of Western Ontario 
Value of Presale Contracts of Condominiums. 
20081107 @ 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. 
20081031 @ 2:30pm in MC 204 
Nabeel Butt & Felix Kan Department of Applied Mathematics The University of Western Ontario 
Mapleridge problem: Sharperatio Portfolio Optimization. 
20081024 @ 2:30pm in MC 204 
Group Discussion Department of Applied Mathematics The University of Western Ontario 
Job Interviews and Professional Qualifications. 
20081017 @ 2:30pm in MC 204 
Matt Davison Department of Applied Mathematics The University of Western Ontario 
The CanadaChina Financial Problem Solving Workshop. 
20080926 @ 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 


20080710 @ 10:30am in MC 204 
Nabeel Butt Department of Applied Mathematics The University of Western Ontario 
Portfolio Management under Transaction Costs. 
20080626 @ 3:00pm in MC 204 
Mark Reesor Department of Applied Mathematics The University of Western Ontario 
Correcting the Bias in Monte Carlo Estimators of Americanstyle Option Values. 
20080529 @ 10:30pm in MC 15b 
Matt Davison Department of Applied Mathematics The University of Western Ontario 
Topics related to forward Curves. 
20080523 @ 2:30pm
in MC 204 
Hua Li Dept. of Mathematics & Statistics, University of Calgary 
Option Pricing and Hedging in Incomplete Markets with Fuzzy
Parameters. 
20080522 @ 10:30pm in MC 204 
Jacky Rong, Laura ParkesSchaw, 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
LeastSquares Monte Carlo.

20080423 @ 2:30pm
in MC 204 
Adam Metzler Dept. of Department of Statistics and Actuarial Science, University of Waterloo 
Multivariate FirstPassage Models for Credit Risk. 
20080416 @ 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. 
20080327 @ 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 IterativeunFolding Technique for filtering execution traces.

20080319 @ 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. 
20080303 @ 2:30pm
in MC 204 
Alexey Kuznetsov University of New Brunswick 
First passage time problems for Levy processes. 
20080225 @ 2:30pm
in MC 204 
Ning Cai Columbia University 
Jump Diffusion Processes in Financial Modeling. 
20080222 @ 2:30pm
in MC 204 
Traian Pirvu University of British Columbia 
On Securitization, Market Completion and Equilibrium Risk Transfer. 
20080215 @ 2:30pm
in MC 204 
Dash Wu University of Toronto 
Enterprise Risk Management in Supply Chain Outsourcing: a DEA VaR Model. 
20080213 @ 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. 
20071130 @ 10:30am
in MC 204 
Roman Naryshkinein Department of Applied Mathematics The University of Western Ontario

Portfolio Optimization under Habit Formation. 
20071116 @ 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. 
20071109 @ 10:30am
in MC 204 
Matt Davison Department of Applied Mathematics The University of
Western Ontario

Valuing Environmental Forecasts for the Energy Industry. 
20071102 @ 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. 
20071026 @ 10:30am
in MC 204 
Natasha Roxanne Kirby Department of Applied Mathematics The University of
Western Ontario

Ethanol Plants. 
20071019 @ 10:30am
in MC 204 
Felix Prehl Fakultaet
fuer
Mathematik Technische Universtitaet
Chemnitz Germany 
Finite Difference Method
. 
20071012 @ 10:30am
in MC 204 
Guangzhi Zhao & Andy Chang Department of Applied Mathematics The University of
Western Ontario

Talk about Job Interviews 
20071005 @ 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 
20071004 @
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 
20070928 @ 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 


20070620 @ 11:30am
in MC 204 
Hans Tuenter
Planning & Analysis Group, Energy Markets
Ontario Power Generation 
Stochastic Modelling of Wind Speed Time Series

20070322 @ 2:30pm
in MC 204 
Andy Foster
Department of Mathematics and Statistics
Memorial University of Newfoundland 
Dynamical Systems Models for
Financial Asset Pricing 
20070212 @ 2:30pm
in MC 204 
Leung Lung Chan Department of Mathematics University of Calgary 
Option Pricing for GARCH Models with Markov
Switching 
20070207 @ 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 
20070131 @ 2:30pm in MC 204 
Traian Pirvu
Department of Mathematics
University of British Columbia 
Pricing in Complete and Incomplete Markets 
20061129 @ 2:30pm in MC 204 
Rogemar S. Mamon
Department of Statistics and Actuarial Sciences
The University of Western Ontario 
Markovmodulated Financial Models 
20061122 @ 2:30pm in MC 204 
Matheus Graselli
Department of Mathematics and Statistics
McMaster University

Games and Options in Incomplete Markets 
20061115 @ 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 
20061107 @ 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 
20061025 @ 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 
20061019 @ 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

20061018 @ 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? 
20061011 @ 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 
20060921 @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

20060731 @ 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 