2005:2006

Summer Term

3 May	Genetically Modified Markowitz - Managing Portfolios of Hedge Funds with the GM Distribution Ian Buckley King's College London
10 May	Quality of the Agencies Corporate Bond Ratings Professor Herbert Rijken Vrije Universiteit Amsterdam
17 May	Volatility as an Asset Class Professor Martin Wallmeier University of Fribourg
24 May	What is Different about Secured, Non-recourse Loans Hao Zhang Leeds University
31 May	Postponed until Autumn term tba (topic: option pricing with non-normal distributions) Lisa Borland Evnine-Vaughan Associates San Francisco
7 June	Postponed until Autumn term Diversification within Hedge Funds: the Good, the Bad and the Ugly Professor Francois-Serge Lhabitant Kedge Capital London
14 June	Cash Flow News and the Bonds: The Mysteries of Convexity Professor Salih Neftci ICMA Centre

18 Jan	Securitization of Senior Life Settlements: Capturing Value from Early Death Professor Anne Zissu Temple University
1 Feb	Investing in Montenegro - opportunities and limits Dr Dragan Radanovic ICMA Centre, University of Reading
8 Feb	The Performance of Structural Models of Default for Firms with Liquid CDS Spreads Mirela Predesu University of Toronto
15 Feb	Variance Curve Models Hans Buehler Deutsche Bank
22 Feb	Alliances and Their Evolution Rehan ul-Haq University of Birmingham
1 Mar	Emissions Trading - More Than Just Hot Air! Ingo Ramming Dresdner Kleinwort Wasserstein
8 Mar	Energy Commodity Prices: Is Mean-Reversion Dead? Professor Helyette Geman University of London and ESSEC Business School

12 Oct	Microstructure Effects, Bid-ask Spreads and Volatility in the Spot Foreign Exchange Market Pre and Post-EMU Professor Frank McGroarty University of Southampton
19 Oct	Volatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies Andrew Patton London School of Economics
26 Oct	The Determinants of Analyst Earnings Forecast: A UK Corporate Perspective Svetlana Mira Cardiff University
2 Nov	Skew Modelling and Deciphering Professor Bruno Dupire Bloomberg, New York
9 Nov	Irrationality, Compound Warrants and the South Sea Bubble Professor George McKenzie University of Southampton
16 Nov	The Efficient Use of Asset Return Predictability Alex Stremme Warwick Business School, The University of Warwick
23 Nov	Longevity Bonds and Mortality-linked Securities Professor Andrew Cairns Heriot-Watt University, Edinburgh
30 Nov	Executive Pay and Performance in the UK 1994-2002 Professor Ian Tonks Xfi Centre for Finance and Investment, University of Exeter