2009-2010

Wed 05 May

Hybrid Brownian Motion: a model for price feedback and volatility explosion
William Shaw                                     
Kings College London   

Wed 12 May

Trading Stock Options in late-seventeenth century London  
Anne Murphy
University of Hertfordshire 

Wed 19 May

The Market Price of of Risk of the Volaility Term Structure  
George Dotsis                                                                      
University of Essex  

Wed 27 Jan

Stress Testing Credit Risk: The Great Depression Scenario     
Simone Varotto                                                        
ICMA Centre, University of Reading

Wed 03 Feb

Islamic Real Estate Finance 
Akm Ismail
Management Consultant

Wed 10 Feb

Algorithmic Option Market Making  
Hyungsok Ahn                                                                     
Independent Consultant 

Wed 17 Feb

How Important is the Term Structure in Implied Volatility Surface Modelling?
Evidence from Foreign Exchange Options                 
George Chalamandaris, Athens University of Economics and Business 

Wed 24 Feb

An Investigation of Customer Flow in the Foreign Exchange Market
Mario Cerrato                                                           
University of Glasgow  

Wed 03 Mar

Correlation vs. Causality in Stock Market Comovement
Enzo Weber                                                         
Univeristy of Regensburg

Wed 10 Mar

Computing a Nearest Correlation Matrix with Factor Structure    
Nick Higham                                                       
University of Manchester

Wed 21 Oct   

Caught in the Housing Crash: Model Failure or Management Failure    
Professor Gunter Loffler
University of Ulm 

Wed 28 Oct   

Risk Measurement for a Fund of Hedge Funds Portfolio including 'Alpha' Risk and Tail Risk
Apostolos Katsaris 
Caliburn Capital Partners 

Wed 04 Nov      

Pricing Models for Real Estate Derivatives 
Radu Sebastian Tunaru
City University, Cass Business School

Wed 11 Nov  

The Dynamics of Hourly Electricity Prices  
Stefan Truck 
Macquarie University, Sydney 

Wed 18 Nov  

Real Options and Game Theoretical Approaches to Valuations of Real Assets: Multiple Equilibria and The Implications of Different Tie-Breaking Rules  
Gianluca Marcato
Reading University  

Wed 25 Nov  

Participation and Continuous Workout Mortgages 
Rafal Wojakowski 
Lancaster University  

Wed 02 Dec  

How Important is the Term Structure in Implied Volatility Surface Modeling? Evidence from Foreign Exchange Options
George Chalamandaris 
Athens University   

Wed 09 Dec  

Construction of Multivariate Distributions: Some Recent Results 
Jose Maria Sarabia 
University of Cantabria, Santander, Spain