Dr. Ryan Davies
The Toronto Stock Exchange Pre-opening Session
Date: 12 Dec, 00Dr. Ryan Davies
ICMA Centre
Ryan Davies is a former lecturer in finance at the ICMA Centre. He obtained a PhD in economics from Queen’s University at Kingston in 2001 under the supervision of Dan Bernhardt and James MacKinnon. His current research includes diverse topics such as: the European Commission’s Investment Services Directive; the practice of ?painting the tape? by mutual fund managers; the reasons why long-dated financial contracts have poor liquidity; the role of the registered trader on the Toronto Stock Exchange; and the impact of cross-listing on multiple exchanges.
Dr. George Christodoulakis
Co-Volatility and Correlation Clustering: A Multivariate Correlated ARCH Framework
Date: 5 Dec, 00Dr. George Christodoulakis
City University Business School
Dr. Simone Varotto
Credit Risk Diversification
Date: 28 Nov, 00Dr. Simone Varotto
ICMA Centre
Simone Varotto joined the ICMA Centre in 2001 as a Lecturer in Finance having completed his PhD in Finance at Birkbeck College. Following his MSc in Finance in 1996, also from Birkbeck, he worked as an Economist at the Bank of England, until June 2000 as a member of the Research Group in the Regulatory Policy Division. His research interests are in bank regulation, credit risk and market risk measurment and management and intermediation.
Dr. Peter Jäckel
Linking Caplet and Swaption Volatilities
Date: 21 Nov, 00Dr. Peter Jäckel
Commerzbank IB
Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst in the Quantitative Research Centre of the enlarged Royal Bank of Scotland Group where his primary responsibilities were independent model validation and derivatives modelling research. In December 2000, he joined Commerzbank Securities as a quant in their front office product development and derivatives modelling unit (Financial Engineering).
Professor John Knight
Estimation of Diffusion Processes using the Empirical Characteristic Function
Date: 14 Nov, 00Professor John Knight
University of Western Ontario
John Knight is Professor of Econometrics in the department of Economics in the University of Western Ontario. His main research interests are in econometrics and asset pricing and he has published many papers in this field. Currently he is visiting a co-author, Steve Satchell at Birkbeck College. His work on the empirical characteristic function approach to continuous time processes is being published in JBES and other international journals.
http://www.ssc.uwo.ca/economics/faculty/Knight/cv.pdf
Dr. Jessica James
Credit Analysis using EVT and Copula Functions
Date: 7 Nov, 00Dr. Jessica James
Bank One
Jessica James joined the Citibank FX Risk Advisory Group from Bank One, where she headed their Risk Advisory and Currency Overlay group in Europe. Her group was responsible for the design, marketing and maintenance of currency overlay strategies, and the provision of bespoke research to Bank clients, supporting internal marketing. At Citi, she is closely involved in both these areas, working with marketers and clients to uptier relationships. Jessica is well known for her research, with several books to her credit and a regular publication record in the financial press. Additionally, she teaches a number of financial mathematics courses and sits on the board of the Journal of Quantitative Finance, and the ICBI finance conference board. She has participated in several government Task Forces and is involved with the Institute of Physics as a member of their governing body and a member of their Industry and Business Board. The major part of Jessica’s current research is in the FX area. Over the last few years she has been at the forefront of development of currency risk management models and overlay strategies, and has pioneered the use of Extreme Value Theory to manage the risk of large FX moves. Additionally, she has a wealth of experience in the practical process of setting up currency overlay as a business unit, including trading strategy testing, design and marketing. At Bank One, she was in charge of trading sheet design and strategy execution, and instigated and specified a continuous testing process to ensure that the strategies performed within the bounds of expectations. In addition to her FX research, Jessica is known for her work on interest rates, having written an extensive work on modelling and valuation (Interest Rate Modelling, Wiley 2000). She has also published in the credit and risk management areas. Prior to her career in finance, Jessica lectured in physics at Trinity, Oxford, having completed her PhD in Theoretical Atomic and Nuclear Physics in 1994.
Professor Mark Davis
Complete-Market Models of Stochastic Volatility
Date: 31 Oct, 00Professor Mark Davis
Imperial College
Mark Davis is Professor of Mathematics at Imperial College London, specializing in financial mathematics, in particular in credit risk models, pricing in incomplete markets and stochastic volatility. He also acts as a consultant to the BroadStreet Group, a newly-founded capital markets company. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Dr Davis holds a PhD from the University of California Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance.
http://www.ma.ic.ac.uk/~mdavis/
Professor Chris Rogers
Monte Carlo Valuation of American Options
Date: 24 Oct, 00Professor Chris Rogers
University of Bath
Chris Rogers is Professor of Probability and Director of the Financial Studies Group at the University of Bath. He came to Bath in January 1994, from Queen Mary & Westfield College, University of London, where he had been Professor of Mathematical Statistics for three years. Before that, he had held teaching positions at the University of Cambridge, the University College of Swansea, and the University of Warwick. Chris works in the theory and applications of probability, with particular emphasis on applications to mathematical finance. Together with Professor David Williams, Chris wrote the two volume work `Diffusions, Markov Processes, and Martingales? (Cambridge University Press).
Dr. Alexander Stremme
Optimal Compensation for Fund Managers of Uncertain Types: The Informational Advantages of Bonus Schemes
Date: 17 Oct, 00Dr. Alexander Stremme
University of Warwick
Alexander Stremme is a Lecturer in Finance at Warwick Business School and has previously held positions in the Stern School of Business, New York University and the Dept of Accounting & Finance, London School of Economics (LSE). He has a PhD in Economics from LSE and a Masters in Mathematics from the University of Bonn.
http://www.wbs.ac.uk/expertise/the_experts/expertise.cfm?userid=STREMME
