Research Seminars 2009-2010

Jose Maria Sarabia

Construction of Multivariate Distributions: Some Recent Results

Date: 9 Dec, 09

Jose Maria Sarabia

University Cantabria, Santander, Spain

Jose Maria Sarabia is Professor of Quantitative Methods in Business and Economics in the Department of Economics at the University of Cantabria, Santander, Spain. His research interests include: Multivariate Analysis, Distribution Theory, Extreme Value Theory, Economic Inequality and Actuarial Statistics. He has published papers in several important Journals including: Journal of the American Statistical Association, Statistical Science, Journal of Econometrics, Econometrics Reviews, Insurance: Mathematics and Economics, Journal of Risk and Insurance, Journal of Multivariate Analysis, Computational Statistics and Data Analysis, Physica A, etc. He is Associate Editor of the Journals: Journal of Statistical Planning and Inference, Statistical Methodology, Journal of Probability and Statistics, Anales del Instituto de Actuarios Espanoles and Chilenan Journal of Statistics.


George Chalamandaris

How Important is the Term Structure in Implied Volatility Surface Modeling? Evidence from Foreign Exchange Options

Date: 02 Dec, 09

George Chalamandaris

Athens University

George Chalamandaris is a Lecturer of Finance at the Athens University of Economics and Business at the Department of Accounting and Finance. He graduated from the National Technical University of Athens and continued his studies at Imperial College in London where he also completed his PhD in Quantitative Finance. He has worked in Natwest Markets and Royal Bank of Scotland in London as well as in Emporiki Investment Bank and EFG Eurobank in Athens, holding senior positions in the areas of risk management, financial engineering, structuring and alternative investments. His main research interests are focused in the field of implied volatility surfaces, credit derivatives and asset pricing involving dynamic trading strategies. He has spoken in various academic and practitioner’s conferences and he has published in academic journals and books in the area of derivatives pricing and risk.


Rafal Wojakowski

Participation and Continuous Workout Mortgages

Date: 25 Nov, 09

Rafal Wojakowski

Lancaster University

Rafal Wojakowski is Lecturer in Finance at Lancaster University. He has PhD in Finance from HEC Paris, MRes in Economics and MEng in Theoretical Physics. His research interests include mortgage finance, risk management, derivatives, corporate finance and incomplete markets. He published in journals such as the Journal of Banking and Finance, Journal of Economic Dynamics and Control, Journal of Business Finance and Accounting and Journal of Applied Probability.


Gianluca Marcato

Real Options and Game Theoretical Approaches to Valuations of Real Assets: Multiple Equilibria and The Implications of Different Tie-Breaking Rules

Date: 18 Nov, 09

Gianluca Marcato

Reading University

Gianluca Marcato is Reader (Associate Professor) in Real Estate Finance and Director of the Master in Real Estate Finance and Investment at the University of Reading, where he is also Senior Research Associate at the ICMA Centre. Previously he worked at CASS Business School and Bocconi University. Starting from a background in corporate finance, he developed an interest in real estate, and particularly in investment, portfolio management and real estate finance. Lately his research and teaching interest is expanding into securitized real estate products such as REITs, derivatives, CMBS and unlisted funds. As a consultant in the real estate industry, he led the introduction of a new real estate index and benchmarking service for IPD in Italy and still works as a senior consultant in the research, training and Italian teams. He also created the Jones Lang LaSalle style index, and worked for several other companies on issues such as performance measurement, investment and securities appraisal, portfolio management and real estate finance.


Stefan Trück

The Dynamics of Hourly Electricity Prices

Date: 11 Nov, 09

Stefan Trück

Macquarie University, Sydney

Stefan Trück is an Associate Professor in the Economics Department of Macquarie University Sydney. He has held positions at Queensland University of Technology and University of Karlsruhe in Germany where he received a PhD in Statistics. His research interests focus on risk management and financial econometrics including the fields of credit risk, operational risk, power markets and real estate finance. He has published in various international journals including The Journal of Banking and Finance, European Journal of Finance, Energy Economics, The Journal of Credit Risk, Computational Statistics, Physika A ? Statistical Mechanics and its Applications, Studies on Non-Linear Dynamics & Econometrics and Journal of Property Investment and Finance.


Radu Sebastian Tunaru

Pricing Models for Real Estate Derivatives

Date: 04 Nov, 09

Radu Sebastian Tunaru

City University, Cass Business School

Radu Sebastian Tunaru has a background in Mathematics and Statistics (Diploma in Mathematics, 5 years full-time, PhD in Probability and Statistics, PhD in Statistical Modeling) and he has been specialising in Financial Engineering and Financial Mathematics since 1999. He worked as a Lecturer in Operations Research and Probability (1994-1996), Research Fellow in Finance and Econometrics (1999) and Senior Lecturer in Financial Mathematics (2000-2005). Worked in the City for Bank of Montreal (2006-2007) in Structured Credit Investments and for Merrill Lynch (2007-2008) in Structured Finance, EMEA RMBS, dealing with prepayment models, default models, hedging products such as balance guaranteed swaps, property derivatives, equity release mortgages; working with model validation and quant teams for product development and testing. Currently a Senior Lecturer in Financial Mathematics, teaching Financial Engineering and Advanced Mathematical Finance courses and doing research in Fixed Income, Financial Mathematics and Structured Finance. He is the recipient of Multinational Finance Journal Best Paper Award, vol 5, 2001, for the paper ?Emerging Markets: Investing with Political Risk?, Eastern Finance Association prize for the Outstanding Paper in International Finance for the paper ?Modelling Political Risk with a Doubly Stochastic Poisson Process?, Charleston USA 2001; and SMEED prize awarded for the best young researcher in the field, 31stUTSG Annual Conference, York 1999. He has published over 30 articles and book chapters.


Apostolos Katsaris

Risk Measurement for a Fund of Hedge Funds Portfolio including ‘Alpha’ Risk and Tail Risk

Date: 28 Oct, 09

Apostolos Katsaris

Caliburn Capital Partners

Apostolos Katsaris joined Caliburn Capital Partners in 2005 where he is Partner & Head of Quantitative Analysis. Apostolos is responsible for leading the development of our quantitative analysis platform and is a member of the Risk Committee. Prior to joining Caliburn Capital, Apostolos worked as a consultant in the area of risk management for Schroder Investment Management’s fund of hedge funds (principally developing that firm’s quantitative analysis and risk management tools). Concurrently, Apostolos worked as a lecturer at the ICMA Centre, University of Reading and at Cass Business School, City University in the UK. In addition, he has worked as a cost analyst for construction projects and as a quantitative equity analyst. Apostolos? academic research has focused on the modelling of extreme equity price movements and he has published in top academic journals on the evolution of speculative bubbles. Apostolos graduated from Athens University of Economics and Business, Greece, with a Bachelor and a Masters in International and European Economics. Following this, he undertook a Masters in International Securities Investment and Banking at the ICMA Centre, University of Reading, UK, and graduated with distinction. He completed a PhD in Finance at the ICMA Centre, with the thesis of ?Periodically Collapsing Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index 1888-2001?.


Professor Gunter Löffler

Caught in the Housing Crash: Model Failure or Management Failure

Date: 21 Oct, 09

Professor Gunter Löffler

University of Ulm

Gunter Löffler is Professor of Finance at the University of Ulm in Germany. Previously, he held positions at Goethe University Frankfurt and Commerzbank. His PhD in finance is from the University of Mannheim. Gunter’s current research interests are on credit risk and empirical finance. His papers have been published in journals such as the Journal of Banking and Finance, Journal of Fixed Income, and Journal of Risk. Gunter is co-author of the book ?Credit Risk Modeling using Excel and VBA?.


Nick Higham

Computing a Nearest Correlation Matrix with Factor Structure

Date: 10 Mar, 10

Nick Higham

University of Manchester

Nick Higham is Richardson Professor of Applied Mathematics in the School of Mathematics, University of Manchester. His degrees (BA 1982, MSc 1983, PhD 1985) are from the University of Manchester, and he has held visiting positions at Cornell University and the Institute for Mathematics and its Applications, University of Minnesota. He is Director of Research within the School of Mathematics, Director of the Manchester Institute for Mathematical Sciences (MIMS), and Head of the Numerical Analysis Group. He was elected Fellow of the Royal Society in 2007, is a SIAM Fellow, and held a Royal Society-Wolfson Research Merit Award (2003-2008). He is best known for his research on the accuracy and stability of numerical algorithms, and the second edition of his 700-page monograph on this topic was published by SIAM in 2002. His most recent book, Functions of Matrices: Theory and Computation (SIAM, 2008), is the first research monograph devoted to this topic. He has more than 90 refereed publications on topics such as rounding error analysis, linear systems, least squares problems, matrix functions and nonlinear matrix equations, condition number estimation, and generalized eigenvalue problems. Higham is a member of the editorial boards of the journals Linear Algebra and Its Applications, SIAM Journal on Matrix Analysis and Applications, IMA Journal of Numerical Analysis, Numerical Algorithms, and Foundations of Computational Mathematics. He is also (Founding) Editor-in-Chief of the SIAM Fundamentals of Algorithms book series. He serves on the SIAM Board of Trustees and has served on the SIAM Council. He has also served on the Board of Directors of the International Linear Algebra Society, and as Chair of the SIAM Activity Group on Linear Algebra. He is a frequent invited speaker at international conferences, serves on the (permanent) organizing committee of the Householder Symposia on Numerical Linear Algebra, and is a member of the Scientific Program Committee for ICIAM 2011. Higham has contributed software to LAPACK and the NAG library, and has written numerous M-files included with the MATLAB distribution. Honours include the Alston S. Householder Award VI, 1987 (for the best Ph.D. thesis in numerical algebra 1984?1987), the 1988 Leslie Fox Prize in Numerical Analysis, a 1999 Junior Whitehead Prize from the London Mathematical Society, designation as a ?Highly Cited Researcher? by Thomson/ISI in 2006, and the 2008 Fröhlich Prize of the London Mathematical Society. Higham is also author of the best-selling SIAM books Handbook of Writing for the Mathematical Sciences (2nd edition, 1998) and MATLAB Guide (with D. J. Higham, 2nd edition, 2005), and a contributor to the popular Penguin Dictionary of Mathematics (fourth edition, 2008).


Enzo Weber

Correlation vs. Causality in Stock Market Comovement

Date: 3 Mar, 10

Enzo Weber

University of Regensburg

Enzo Weber is Professor of Economics at Universität Regensburg. He started his studies of economics in 2001 at Freie Universität Berlin. At the same place, he was teaching and research assistant at the institute of statistics and econometrics from 2004 until 2008. The dissertation, an empirical investigation into convergence, business cycles, economic growth and financial markets in Asia-Pacific, was finished in 2007. From 2006 till 2008, Prof. Weber participated in the Collaborative Research Center 649 ?Economic Risk? at Humboldt-Universität zu Berlin. In 2007, he took a postdoctoral position at the Chair of Empirical Economics at Universität Mannheim. Furthermore, he has held several guest positions and carried out economic consultancy projects. In April 2009, he was appointed by Universität Regensburg and additionally in January 2010 by the Institute for Employment Research Nuremberg.


Mario Cerrato

An Investigation of Customer Flow in the Foreign Exchange Market

Date: 24 Feb, 10

Mario Cerrato

University of Glasgow

Mario Cerrato is a Lecturer in Economics at the University of Glasgow (Department of Economics). His main research interests are in non-stationary panel data econometrics, forex market microstructure, financial derivatives and capital/liquidity management and the design of optimal securities.


George Chalamandaris

How Important is the Term Structure in Implied Volatility Surface Modelling? Evidence from Foreign Exchange Options

Date: 17 Feb, 10

George Chalamandaris

Athens University of Economics and Business

George Chalamandaris is a Lecturer of Finance at the Athens University of Economics and Business at the Department of Accounting and Finance. He graduated from the National Technical University of Athens and continued his studies at Imperial College in London where he also completed his PhD in Quantitative Finance. He has worked in Natwest Markets and Royal Bank of Scotland in London as well as in Emporiki Investment Bank and EFG Eurobank in Athens, holding senior positions in the areas of risk management, financial engineering, structuring and alternative investments. His main research interests are focused in the field of implied volatility surfaces, credit derivatives and asset pricing involving dynamic trading strategies. He has spoken in various academic and practitioner’s conferences and he has published in academic journals and books in the area of derivatives pricing and risk.


Hyungsok Ahn

Algorithmic Option Market Making

Date: 10 Feb, 10

Hyungsok Ahn

Independent Consultant

Hyungsok Ahn is a vice president at Constellation Power Source. Separated from Goldman Sachs last year, Constellation Power Source is a leading power marketer in the USA. He is responsible for developing energy derivative pricing models and pricing exotic structure products such as various tolls and gas storage deals. Prior to this he worked as a quantitative analyst for Credit Agricole-Lazard Financial Products Bank in London and Wilmott Associates, and as a researcher at the University of Oxford and University College Santa Barbara. Hyungsok obtained a PhD in Statistics from Purdue University in the USA and is an associate editor of Applied Mathematical Finance.


Akm Ismail

Islamic Real Estate Finance

Date: 3 Feb, 10

Akm Ismail

Management Consultant

Akm Ismail is a Senior Real Estate Banker. He started his career with DBS Bank, Singapore where he worked for nine years and then moved on to Citibank. He worked there for the next eight years and has been involved in the structuring of debt, mezzanine and equity deals. Signature deals include Canary Wharf development in London, Suzhou Industrial park in China, IT Park in Bangalore, India, Raffles Hotel in Singapore and many more in Malaysia, Indonesia, Vietnam etc. In 2001, Ismail joined the Asia Pacific Investment Group to establish the London office of the Indonesian Group to focus on property investments and re structuring. In this role, he sat on the Board of a small Indonesia Bank and was involved in the merger of the Bank with another bank owned by the Group. The role involved him setting the Credit Policies of the Bank and mentoring and conducting regular workshops with the bank managers of the 56 odd retail branches. He is regarded for his expertise in Real estate Finance, Project Finance, Islamic Finance, Debt Restructuring especially cross-border investments. He has lectured on Islamic Finance in Riyadh, Saudi Arabia, Tunis, Istanbul, Dublin and London. In addition to training, he has been appointed as Director of the India Infrastructure Division of Engel Invest (www.engelinvest.com).


Simone Varotto

Stress Testing Credit Risk: The Great Depression Scenario

Date: 27 Jan, 10

Simone Varotto

ICMA Centre, University of Reading

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.


George Dotsis

The Market Price of of Risk of the Volaility Term Structure

Date: 19 May, 10

George Dotsis

University of Essex

George Dotsis is a Lecturer in Finance at Essex Business School, University of Essex. He holds a BSc in Economics from Athens University of Economics and Business, an MSc in Mathematical Trading and Finance from Cass Business School and a PhD in Finance from Athens University of Economics and Business. His research interests are in the area of asset pricing, derivatives valuation and financial econometrics


Anne Murphy

Trading Stock Options in late-seventeenth century London

Date: 12 May, 10

Anne Murphy

University of Hertfordshire

Anne Murphy is a lecturer in early modern history at the University of Hertfordshire. She joined academia after spending twelve years in the City trading various currencies and instruments in the international foreign exchange and money markets. Her research interests derive from that background in finance, and concern the nature of Europe’s financial markets, the behaviour of investors, and the function and relevance of financial information from the early modern period to the present day. Her publications include articles in HistoryFinancial History Review and Economic History Review and a monograph published by Cambridge University Press entitled The Origins of English Financial Markets: investment and speculation before the South Sea Bubble.


William Shaw

Hybrid Brownian Motion: a model for price feedback and volatility explosion

Date: 5 May, 10

William Shaw

Kings College London

William Shaw received his doctorate in mathematics from the University of Oxford, following which he held post-doctoral positions at the University of Cambridge and M.I.T. He then worked as a consultant applied and financial mathematician before joining the Quantitative Analysis Group of Nomura International plc, where he was a specialist in computational finance and equity derivatives modelling. At the same time he held a post as College Lecturer at Balliol College, Oxford. He was later Fellow and Tutor in Applied Mathematics at St. Catherine’s College, Oxford, while also University Lecturer in Mathematical Finance and Academic Director of the Oxford Diploma and MSc in Mathematical Finance. Professor Shaw directs the KCL Centre for Financial Grid Computing, which is a member of the Apple Research and Technology Support (ARTS) programme. His research interests include: Fat-tailed distributions and their financial origins; The theory of quantiles for Monte Carlo simulation; Applications of complex analysis to finance and applied mathematics; Performance indicators for stock selection, including robust and genetic approaches; Optimization; Convertible bonds; Computational finance, especially symbolic methods. He has written 3 books on applications of computer algebra, including ?Modelling Financial Derivatives with Mathematica?. He is co-editor in chief of Applied Mathematical Finance. He is also an Associate Editor of the International Journal of Theoretical and Applied Finance and a member of the Scientific Committee for the Knowledge Transfer Network in Industrial Mathematics.