2001:2002

Summer Term

1 May	Default Hazards and the Term Structure of Credit Spreads in a Duopoly. Prof. William Perraudin Birkbeck College and Bank of England
8 May	Performance Measurement with Non-normal Distributions. Prof. Stewart Hodges University of Warwick
15 May	Hedging in Uncertain Environment. Dr. Jacques Pezier University of Warwick
22 May	A Multi-Factor Approach to Identify Global Sectors. Dr. Marlies van Boven Newton Asset Management
29 May	Central Bank Intervention and Properties of the 1920's Currency Markets. Prof. Richard Baillie Michigan State
13 June	Investigating Dynamic Dependence between Non-Gaussian Assets Using Copulae. (further pdf) Prof. Mark Salmon City University
19 June	Pricing Convertible Bonds with Credit Risk. Dr. Luke Olsen Barclays Capital

16 Oct	Forecasting Energy Forward Prices using Physical Assets. Matt Snyder and Graham Tyler Wood Mackenzie, London
23 Oct	Numerical Methods for Levy Processes. (further pdf) Dr. Nick Webber City University
30 Oct	Outlier Detection in GARCH Models. Dr. Jurgen Doornik Oxford University
6 Nov	Modelling Directional Hedge Funds. Dr. Emmanuel Acar Bank of America, London
13 Nov	Fast Wavelet-Based PDE Valuation of Complex Derivatives. Prof. Michael Dempster Cambridge University
20 Nov	Yet Another Term Structure: US Power Market and Price Behaviour. Dr. Hyungsok Ahn Constellation Power Source, New York
27 Nov	A New Approach to Modelling the Dynamics of Implied Distributions: Theory and Evidence from SP500 Options. Dr. George Skiadopoulos Athens University of Economics and Business
4 Dec	Crossing Network Trading and the Liquidity of a Dealer Market: Cream-Skimming or Risk Sharing? Prof. Carol Gresse Université de Paris-Nanterre, CEREG, Université de Paris-Dauphine