2006:2007
Summer Term
| Wed 2 May | Does Valuation Method Choice Affect Target Price Accuracy? |
| Wed 16 May | Mutual Fund Performance: Skill or Luck? |
| Wed 23 May | Intraday Portfolio Return Autocorrelation Dynamics |
| Wed 6 June | DOUBLE SEMINAR 3:30 pm - 5:30 pm Option Pricing with Non-Gaussian Distributions and The Effects of Structural Breaks and Long Memory on Currency Hedging |
Spring Term
| Wed 31 January | Searching for a Metric for Financial Stability |
| Wed 7 February | Optimal Hedge Ratio Estimation and Effectiveness using ARCD |
| Wed 14 February | The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios |
| Wed 21 February | Global Portfolio Optimization Revisited: A Least Discrimination Approach |
| Thu 1 March | Domestic versus Foreign Investors' Transaction Execution Ability in the United States: An Analysis by Country of Origin |
| Wed 7 March | Pound around the clock. A multivariate news-based model for the global trading day. |
| Wed 14 March | Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover? |
Autumn Term
| Wed 18 October | Regular Variation and Smile Asymptotics |
| Wed 25 October | Beta is Alive, Well and Healthy |
| Thu 2 November | Sign and Phase Asymmetry: Economic Activity and the Stock Market |
| Wed 8 November | Random Portfolios and Their Use |
| Wed 15 November | Volatility Indices: Properties and Applications |
| Wed 22 November | Optimal Hedging and Parameter Uncertaintly |
| Wed 29 November | European Asset Backed Securities - Market Overview |
| Wed 6 December | Global Custody and the Evaluation of Securities Infrastructure Risk - to be confirmed |
