Presentations New Thinking in Finance

Wednesday 12.2.2014 (Lloyds):  Product Pricing & Hedging

9:30 - 10:15    

 

Perry Mehrling, Barnard College & INET

Five Key Features of Modern Monetary Systems

 

10:15 - 11:00     

Didier Sornette, ETH Zurich

Finite Singularity Calibration Indicates Financial Bubbles

 

 

 

 

11:30 - 12:15

Mike Giles, Oxford University

Using GPUs for Monte Carlo and Finite Difference Computations

 

 

12:15 - 1:00

Jacques du Toit, Numerical Algorithms Group

Adjoint Algorithmic Differentiation in GPU Accelerated Applications

 

 

2:00 - 2:45

Antoon Pelsser, Maastricht University & Kleynen Consultants

Fast Convergence of Regress-Later Estimates in Least-Squares Monte Carlo

 

 

2:45 - 3:30

Elisa Nicolato, Aarhus University

Impact of Jump Distributions on the Volatility of Variance

 

 

4:00 - 4:45

Juho Kanniainen, Tampere University of Technology

Stock Price Dynamics, Dividends and Option Prices with Volatility Feedback

 

 

4:45 - 5:30

Teemu Pennanen, King's College London

Contingent Claim Valuation with Temporary Price Impacts and Margin Requirements

 

 

Thursday 13.2.2014 (Lloyds): Trading & Risk Management

9:30 - 10:15    

 

Rob Coles, Citigroup

Volatility Target Options

 

10:15 - 11:00     

Xiao-Jun Zeng, Manchester University

Twitter Mood Predicts the Stock Market

 

 

 

 

11:30 - 12:15

Damiano Brigo, Imperial College London

Funding Costs, Margining and Gap Credit Risk

 

 

12:15 - 1:00

Mark Davis, Imperial College London

Foundations of Probability Forecasting and Risk Management

 

 

 

 

2:00 - 2:45

Luca Capriotti, Credit Suisse

Real Time Counterparty Credit Risk Management with Adjoint Algorithmic Differentiation

 

 

2:45 - 3:30

Alexander Denev, Risk Dynamics

Stress Testing

 

 

 

 

4:00 - 4:45

Hicham Lahlou, Xcelerit

Running Credit Value Adjustments on GPUs

Please request from the speaker: hicham.lahlou@excelerit.com

 

 

4:45 - 5:30

Steven Weston, Maxeler Technologies

Fast Valuation of VaR, CVS & IRSs with Monte Carlo

 

Friday 14.2.2014 (Willis):  Pensions & Insurance          

9:30 - 10:15   

Erik Vynckier, Alliance Bernstein

Asset Management After the Credit Crunch

10:15 - 11:00

Steven Morrison, Moody's  Analytics

Computational Challenges of Stochastic Modelling in Life Insurance

 

 

11:30 - 12:15

Mark Cathcart, Standard Life

Calculating Variable Annuity Liability 'Greeks' Using Monte Carlo Simulation

 

 

12:15 - 1:00

Mario Skoric & Angelo Uristani, Allianz

Multi-horizon Optimization of Property and Casualty Portfolios

Please request presentation from speakers: angelo.uristani@allianz.com, mario.skoric@allianz.com

 

 

2:00 - 2:45

Francesco Sandrini, Pioneer Investments

ALM Analysis for Pensionskasse: An Asset Liability Management Study

 

 

2:45 - 3:30

Elena Medova, Cambridge University & Cambridge Systems Associates

Individual Asset Liability Management

 

 

4:00 - 4:45

Sylvain Corlay, Bloomberg

High Performance Pricing by Quantization Methods

 

 

4:45 - 5:30

Andrew Rau-Chaplin, Dalhousie University & Willis Research Network

Accelerating Reinsurance Analytics on Clusters, Clouds and GPUs