2000:2001

10 Oct

Hedging Barrier Options: Current Methods and Alternatives.
Dr. Dominique Dupont
Eurandom - Eindhoven University of Technology

Optimal Compensation for Fund Managers of Uncertain Types:
The Informational Advantages of Bonus Schemes.
Dr. Alexander Stremme
University of Warwick

Monte Carlo Valuation of American Options .
Professor Chris Rogers
University of Bath

Complete-Market Models of Stochastic Volatility.
Professor Mark Davis
Imperial College

Credit Analysis using EVT and Copula Functions.
Dr. Jessica James
Bank One

Estimation of Diffusion Processes using the Empirical Characteristic Function.
Professor John Knight
University of Western Ontario

Linking Caplet and Swaption Volatilities.
Dr. Peter Jaeckel
Commerzbank IB

Credit Risk Diversification.
Dr. Simone Varotto
ICMA Centre

Co-Volatility and Correlation Clustering: A Multivariate Correlated ARCH Framework.
Dr. George Christodoulakis
City University Business School

The Toronto Stock Exchange Pre-opening Session.
Dr. Ryan Davies
ICMA Centre