Overview of Monte-Carlo Techniques for Derivatives PricingDate: 05 Mar, 08
Royal Band of Scotland
Stephen Smith is currently a quantitative developer at the Royal Bank of Scotland working in the front office primarily on models for pricing and rosk of cross currency exotic derivatives. He has a PhD. in Applied Mathematics from Princeton University for numerical studies of plasma turbulence. He held a post-doctoral position at the Advanced Computing Laboratory at Los Alamos where he became involved in the development of software frameworks for high-performance numerical simulation. Foolowing his postdoc, Stephen spent several years developing derivatives pricing libraries for NumeriX.
Adrian Bell and Charles Sutcliffe
Valuing Medieval Annuities: Were Corrodies Underpriced?Date: 27 Feb, 08
Adrian Bell and Charles Sutcliffe
Adrian Bell completed his first degree at the University of Hull and his MA and PhD at the University of Reading. He is Director of Teaching and Learning at the ICMA Centre. Adrian is involved in the use of technology in support of teaching and learning and alongside other things is currently managing the distance learning version of the MSc programme which utilises on-line technologies and e-lectures. Adrian is interested in the history of finance and has recently completed an ESRC project with Professor Chris Brooks., entitled ?Modern Finance in the Middle Ages? Advance contracts for the supply of wool?. Dr Bells also specialises in the Hundred Years War and his book, War and the Soldier in the Fouteenth Century, was published by Boydell and Brewer in Autumn 2004. He has recently been awarded a major grant from the AHRC (jointly with Professor Anne Curry, University of Southampton) to investigate ?The Soldier in Medieval England?
Charles Sutcliffe is a professor of finance at the ICMA Centre. Previously he was a professor of finance and accounting at the University of Southampton, and the Northern Society Professor of Accounting and Finance at the University of Newcastle. In 1995-96 and 2003-4 he was a visiting professor at the London School of Economics. He has published in a wide range of refereed journals, and is also the author of nine books. He has acted as a consultant to the Financial Services Authority, the Securities and Investments Board, H.M. Treasury, the Cabinet Office, the Corporation of London, the United Nations, the London Stock Exchange and the London International Financial Futures and Options Exchange. Charles has received research grants from the Social Science Research Council, the British Council, the Institute of Chartered Accountants in England and Wales and the Chartered Institute of Management Accountants. He is a member of the editorial boards of the Journal of Futures Markets, the Journal of Business Finance and Accounting , the Journal of Financial Management and Analysis and the European Journal of Finance; and is vice-chairman of the Research Board of the Chartered Institute of Management Accountants. For 2001-2007 he was a director of USS Ltd, which manages a £32 billion pension fund.
He has received research grants from the Social Science Research Council, the British Council, the Institute of Chartered Accountants in England and Wales and the Chartered Institute of Management Accountants. He is a member of the editorial boards of the Journal of Futures Markets, the Journal of Business Finance and Accounting, the Journal of Financial Management and Analysis and the European Journal of Finance; and is vice-chairman of the Research Board of the Chartered Institute of Management Accountants. He is also a director of USS Ltd, which manages a £28 billion pension fund.
Realistic Portfolio Analysis and ConstructionDate: 20 Feb, 08
Robert Rice is Chief Executive of OCCAM. After graduating from Oxford in 1970, he pioneered the use of computers in corporate finance. In 1981 he moved to the Saudi Arabian Monetary Agency, advising on their portfolio and the performance of their external managers. In 1987 he became Managing Director of Baring Quantitative Management. In 1989 he joined QUANTEC as Director of Investment Technology, and was responsible for the marketing, client support and consultancy worldwide. He founded OCCAM in 1993,ut still finds time to lecture on financial technology, and is a director both of INQUIRE UK and INQUIRE Europe, organisations dedicated to tge sponsoring and dissemination of quantitative investment research at universities and business schools in the UK and Europe respectively.
Rare Disasters and the Equity Premium in a Two-Country WorldDate: 13 Feb, 08
University of Cardiff
Laurence Copeland holds degrees from the Universities of Oxford and Manchester. His first academic post was as a lecturer at the University of Manchester Institute of Science and Technology. In 1991, he was appointed to the Chair of Finance at the University of Stirling, and since 1995, he has held a similar post at Cardiff University. His presentations at international conferences and publications in academic journals cover a wide range of subjects including: inflation and the Phillips Curve, exchange rates and currency markets, stock and bond markets, index futures, mutual funds. His recent work has focussed on Asian markets, microstructural issues and the pricing of extreme event risk. He is author of the widely-used textbook ?Exchange Rates and International Finance? (5th edition forthcoming 2008). In addition to being a consultant to a number of major financial institutions, hedge funds etc, he has been involved in training market professionals in the UK and Europe. In the public sphere, he has written a number of articles in national newspapers, mainly on the subject of European Monetary Union, and makes frequent appearances on TV and radio.
Individual Competition Models in Socio-economic SystemsDate: 6 Feb, 08
University of Reading
Yuri Kondratiev is a Professor of Applied Mathematics at the University of Reading, Department of Mathematics where he has been working since 2007. He obtained his PhD in Mathematics from Kiev University in 1979. Later, he obtained his Doctor of Sciences degree from the Institute of Mathematics, Kiev in 1986. He has been as a Professor at the Institute of Mathematics, Kiev since 1986. His other positions include Chair at the Department of Mathematical Physics, Institute of Mathematics, Kiev (2000-2004) and Professor of Mathematics, Bielefeld University, Germany between 2000 and 2007. His research interests include infinite dimensional analysis and stochastic analysis, stochastic evolutions, complex systems theory, mathematical methods of statistical physics and functional analysis. He has been widely published in numerous journals like the Annals of Probability, Journal of Mathematical Physics, and Review of Mathematical Physics.
Hedge Effect of Total Return Swap in the Real Estate InvestmentDate: 23 Jan, 08
Yoshiki Kago is an Associate Professor at the International School of Economics, Reitaku University in Japan. Currently he is a Visiting Researcher at the Department of Real Estate and Planning, The University of Reading. Yoshiki obtained his PhD at the Graduate School of Tokyo Institute of Technology in 2004. His interests include Real Estate Finance, Envioronmental Sciences and Financial Engineering.