2003:2004

Summer Term

28 April	Calculating Portfolio Credit Risk Professor Paul Glasserman, Professor Jack R. Anderson Columbia Business School, New York
5 May	Mutual Fund Performance Persistence and Competition: A Cross-Sector Analysis Dr. Aneel Keswani Cass Business School, City University, London
12 May	Integration in Securities Trading and Settlement Dr. Jing Yang Market Infrastructure Division, Bank of England
19 May	Aggegration of Banking Risks Dr. Jacques Pezier Visiting professor, ISMA Centre, University of Reading
26 May	Properties of Realized Variance for a Pure Jump Processes: Calendar Time vs Business Time Sampling Dr. Roel Oomen Department of Accounting and Finance, Warwick Business School
9 June	Risk Management for Funds of Hedge Funds Dr. Gaurav Amin Schröders Asset Management, London
16 June	The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures Dr. Söhnke Bartram Department of Accounting and Finance, University of Lancaster
23 June	Investor Psychology and World Equity Markets Prof. Werner de Bondt Driehaus Center for Behavioral Finance, DePaul University, Chicago

14 Jan	Ex-ante versus Ex-post Regulation of Bank Capita Dr. Simone Varotto ICMA Centre, Reading University
21 Jan	The Risk of Optimal, Continuously Rebalanced Hedging Strategies and Its Efficient Evaluation via Fourier Transform Dr. Ales Cerny Imperial College, London University
28 Jan	Imperfect Competition and Corporate Governance Prof. David Kelsey Birmingham University
4 Feb	A Unified Approach for Pricing and Hedging Derivative Securities Dr. Michalis Ioannides Watson Wyatt, UK
11 Feb	Theoretical and Practical Aspects of Capital Allocation Dr. Michael Kalkbrenner Deutsche Bank, Frankfurt
25 Feb	Funds of Hedge Funds: Added Value? Dr. Michiel Timmerman
3 Mar	Manipulation and the Allocational Role of Prices Dr. Alexander Guembel Said Business School and Lincoln College Oxford
10 Mar	Winter Blues and Time Variation in the Equity Risk Premium Prof. Ian Garrett Manchester School of Accounting and Finance
17 Mar	Forecasting with Cyclical Stochastic Volatility Dr. Illias Tsiakas Warwick Business School

20 Oct	Why is Gold Different from All other Assets? Theory and Some Empirical Observations. Prof. Colin Lawrence Cass Business School, London and Managing Partner , LA Risk & Financial
27 Oct	Credit Derivatives and the Bank Treasury Desk: Applications for Funding and Asset-Liability Management Moorad Choudhry KBC Financial Products, London
3 Nov	Joined-Up Pensions Policy: An Asset-Liability Model for Simultaneously Setting the Asset Allocation and Contribution Rate Prof. Charles Sutcliffe University of Southampton
10 Nov	The Effectiveness of Britain's Financial Service Authority: An Economic Analysis Prof. John O'Brien Carnegie Mellon University, USA
17 Nov	Order Choice and Trading Costs on Electronic Order Books: An Analysis of the London Stock Exchange Moacir Fernandes Concordia Asset Management, London
24 Nov	Bankruptcy, Renegotiation and Spread Inversions Dr. Adriana Breccia University of York
1 Dec	Extreme Correlation Between Default and Recovery Rates Yen-Ting Hu Standard & Poor’s Risk Solutions, London
8 Dec	Advances in The Unified Theory of Volatility Prof. Carol Alexander ICMA Centre, University of Reading