2002:2003

Summer Term

7 May	Markov Switching Model in Finance Dr. Turalay Kenc Imperial College, London
14 May	The Effort Incentives of Executive Stock Option Schemes. Dr. Elizabeth Whalley University of Warwick
21 May	Joint Seminar with Economics Department - Filtering and Classical Estimation for Continuous Time Finance Models Dr. Mike Pitt University of Warwick
28 May	Modelling Short-Term and Long-Term Smile Effects Prof. Carol Alexander ISMA Centre
18 June	Credit Derivatives and Synthetic Securitisation : Structured Products, Credit Risk Management And Credit Trading Moorad Choudhry Chase

15 Jan	Semi-Parametric Modelling in Finance Prof. Nick Bingham Brunel University
22 Jan	Corporate De-leveraging and Credit Spreads Francesco Garzarelli Goldman Sachs, London
29 Jan	Building a Competitive European Financial Market Dr. Alfonso Dufour ICMA Centre
5 Feb	Basel II and Risk-Based Regulation Dr. Jon Danielsson London School of Economics
12 Feb	Markov Switching Model in Finance (further pdf) Dr. Turalay Kenc Imperial College, London
19 Feb	Fast Wavelet-Based PDE Valuation of Complex Derivatives Prof. Michael Dempster Cambridge University
26 Feb	Joint Seminar with Economics Department - Evaluating Interval Forecasts of High-Frequency Financial Data (further pdf) Dr. Mike Clements Warwick University
5 Mar	The Information Content of Implied Volatility Indices for Forecasting Volatility and Market Risk Dr. Pierre Giot University of Namur, Belgium

8 Oct	Joint Seminar with Economics Department Filtering and Classical Estimation for Continuous Time Finance Models Dr. Mike Pitt University of Warwick, UK
15 Oct	Financial Engineering and Firm Value: A Study of Split-Capital Closed-End Funds in the UK Prof. Gordon Gemmill City University Business School, London, UK
23 Oct	Dynamic Conditional Correlation: New Results Prof. Robert F.Engle NYU Stern School, USA
29 Oct	Calibration of Credit Default Swaps and Valuation of Related Derivatives with a Tractable Intensity Model Dr. Damiano Brigo Lognormal Mixture Smile Consistent Option Pricing Dr. Fabio Mercurio Banca IMI, Milan, Italy
5 Nov	Time Variation and Asymmetry in Measures of Country Risk Dr. Olan Henry University of Melbourne, Australia
19 Nov	Lattice Risk Measurement Prof. Kevin Dowd University of Nottingham, UK
26 Nov	Portfolio Cross-Autocorrelation Patterns: Further Puzzles and Reconciliation Dr. Ryan Davies ICMA Centre, University of Reading, UK
3 Dec	Fund Management: The Present and Future Richard Urwin Gartmore Investment Management, UK