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Financial Mathematics and Applied Probability Seminars 2000-2001
All seminars take place at King's College London, The Strand, London WC2R 2LS.
Tuesday 30 January, 4:30 pm Dr Vicky Henderson
FORC, University of Warwick
Real Options with Constant Relative Risk Aversion
Tuesday 13 February, 4:30 pm Professor Chris Rogers
Department of Mathematical Sciences, University of Bath
Optimal capital structure and endogenous default
Tuesday 27 February, 5:30 pm Professor Mark Davis
Department of Mathematics, Imperial College
Stochastic Volatility: the Hedger's Perspective
Tuesday 6 March, 5:30 pm
Dr Philipp Schoenbucher
Department of Statistics, University of Bonn
A Libor Market Model with Default Risk
Tuesday 13 March, 5:30 pm Dr Saul Jacka
Department of Statistics, University of Warwick
Pricing with spreads, measures of risk and scenario analysis
Tuesday 20 March, 5:30 pm Dr Rudiger Kiesel
Department of Statistics, London School of Economics
Semi-parametric modelling in finance
Tuesday 27 March, 5:30 pm Dr Philippe Balland
Merrill Lynch
Implied Volatility Models
Tuesday 22 May, 4:30 pm
Professor Yuri Kabanov
Laboratoire de Mathematiques, Universite de Franche-Comte,
and Central Economics and Mathematics Institute
Recent progress in models with transaction costs
Tuesday 5 June, 5:30 pm
Professor Tom Hurd
Department of Mathematics, McMaster University, Canada
Portfolio Optimization in Jump-Diffusion Markets
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