Organizers: Karim Abadir and Dan Crisan
A meeting on topics in Finance and Mathematics took place on the 2nd May, 2pm-7pm. The meeting was held in the Skempton Building, Lecture Theatre 164.
The list of speakers and the order of talks were as follows:
Agenda
| Time | Speaker | Paper/topic |
|---|---|---|
| 14.00-14.30 | Harjoat Bhamra | “Asset Pricing with Heterogeneity in Preferences and Beliefs ” |
| 14.30-15.00 | Enrico Biffis | “Dynamic Incentives with Event Risk” |
| 15.00-15.30 | Break | |
| 15.30-16.00 | Jean-Francois Chassagneux | “Probabilistic numerical methods for finance.” |
| 16.00-16.30 | Adriana Cornea | “Bootstrapping with fat-tailed asymmetry” |
| 16.30-17.00 | Break | |
| 17.00-17.30 | Antoine Jacquier | “Large deviations methods in finance with applications to the implied volatility smile.” |
| 17.30-18.00 | Alex Mijatovic | “Selling a defaultable stock at the ultimate maximum in a spectrally negative Levy model.” |
| 18.00-19.00 | Drinks |