Research Seminars 2007-2008

Overview of Monte-Carlo Techniques for Derivatives Pricing

Stephen Smith 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 ComputingContinue reading

Valuing Medieval Annuities: Were Corrodies Underpriced?

Adrian Bell and Charles Sutcliffe ICMA Centre 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 theContinue reading

Realistic Portfolio Analysis and Construction

Robert Rice OCCAM 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 QUANTECContinue reading

Rare Disasters and the Equity Premium in a Two-Country World

Laurence Copeland 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.Continue reading

Individual Competition Models in Socio-economic Systems

Yuri Kondratiev 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 ProfessorContinue reading

Hedge Effect of Total Return Swap in the Real Estate Investment

Yoshiki Kago Reitaku University 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 andContinue reading