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Quantitative Methods in Finance Conference (QMF) 2006

The Quantitative Methods in Finance - 2006 Conference brought together leading experts in Quantitative Finance from Industry and Academia for a 4-day conference in Sydney, Australia.

See Below for:

Conference Focus
Plenary Speakers
Practitioners' Workshops
Presentation Slides and Papers
Conference Venue
Conference Dinner Photos
Organisers and Contact


Integrated Risk Management, Credit Risk, Interest Rate Term Structure, Stochastic Volatility, Portfolio Optimisation and other areas of Quantitative Finance.

Plenary Speakers

Prof. Claudio Albanese
Imperial College London, UK

Prof. Carole Alexander
The University of Reading Business School, UK

Prof. Alain Bensoussan
University of Texas, Dallas, USA

Prof. Carl Chiarella
The University of Technology, Sydney, Australia

Prof. Rama Cont
Ecole Polytechnique, Palaiseau Cedex, France
Columbia University, New York, USA

Prof. Mark Davis
Imperial College London, UK

Prof. Daniel Dufresne
University of Melbourne, Australia

Prof. Robert Elliott
University of Calgary, Canada

Prof. Damir Filipovic
University of Munich, Germany

Dr. Jim Gatheral
New York University, New York

Prof. Vicky Henderson
Princeton University, New York, USA

Prof. David Hobson
Princeton University, New York, USA

Prof. Lane Hughston
King's College London, UK

Dr. Mark Joshi
University of Melbourne, Australia

Prof. Alex Novikov
The University of Technology, Sydney, Australia

Prof. Eckhard Platen
The University of Technology, Sydney, Australia

Prof. Marek Rutkowski
University of New South Wales, Sydney, Australia

Dr. Gerhard Stahl
German Financial Supervisory Authority

Dr. John van der Hoek
University of Adelaide, Australia

Practitioner Workshops

Presented at the Manly Pacific Hotel, Sydney

Monday 11 December 2006 
Rama Cont
Calibration Methods for Derivative Pricing Models

Tuesday 12 December 2006 
Rama Cont
Calibration Methods for Derivative Pricing Models Part Two

Monday 11 December 2006 
Gerhard Stahl
Lessons from Implementations of Basel II and for Solvency II

Tuesday 12 December 2006 
Claudio Albanese
Pricing Structured Products with Spectral Methods:
From CDOs to Path Dependents and Hybrids

Tuesday 19 December 2006 
Juri Hinz
Valuation of Financial Products in Energy, Commodity and Carbon Trading

Presentation Slides and Papers

Following is a list of many of the presentation slides for presentations by QMF 2006 speakers arranged in order of the presenter's surname. Please click on the title to view the slides. To view the accompanying paper, please visit the Conference Maker Website.

Carol Alexander
University of Reading
Model-Free Hedge Ratios and Scale-Invariant Models

Alain Bensoussan
University of Texas at Dallas
Remarks on the Capital Asset Pricing Model in Discrete Time

Nicola Bruti-Liberati
University of Technology, Sydney
Weak Predictor-Corrector Schemes for Jump Diffusions in Finance

Raoul Davie
Macquarie Bank
Derivative Portfolio Optimisation

Mikael Elhouar
Stockholm School of Economics
Finite Dimensional Realizations of Regime-Switching HJM models

Robert Elliott
University of Calgary
Asset Prices with Regime Switching Variance Gamma Dynamics

Jim Gatheral
New York University
Real-time Volatility Estimation Under Zero Intelligence

Chuan-Hsiang (Sean) Han
National Tsing Hua University
Analysis of Monte Carlo Methods for Option Pricing under Stochastic Volatility Models

Patrick Hewlett
University of Oxford
Optimal Liquidation against a Markovian Limit Order Book

Mia Hinnerich
Stockholm School of Economics
Inflation Indexed Swaps and Swaptions

Boda Kang
University of South Australia
Pricing Financial Derivatives on Weather-Sensitive Assets

Kasper Larsen
Carnegie Mellon University
Are Option-Pricing and Utility-Maximization Problems Well-posed?

Ken Palmer
National Taiwan University
Smooth Convergence in the Binomial Model

François Quittard-Pinon
Université Lyon 1
Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model

Marek Rutkowski
University of New South Wales
Hedging of Defaultable Game Options in a Hazard Process Model

Simona Sanfelici
University of Parma
Properties of the Fourier Integrated Volatility Estimator under Microstructure Noise

Detlef Seese
University of Karlsruhe
Investigating FX Market Efficiency with Support Vector Machines

William Shaw
King’s College, London
Generating Quantile Functions for Copula and Quasi-Monte-Carlo Simulations using Computer Algebra

Keiichi Tanaka
Tokyo Metropolitan University
Credit Derivatives with Recovery of Market Value for Multiple Firms

Zuoquan Xu
The Chinese University of Hong Kong
Continuous Time Mean-Variance Portfolio Selection with Proportional Transaction Costs

Songping Zhu
University of Wollongong
A Simple Analytical Formula for the Critical Stock Price of American Put Options

Conference Dinner Photos

Please click here to view some photos from the QMF 2007 Conference Dinner. These photos have been provided courtesy of Prof. David Taylor from the Programme in Advanced Mathematics of Finance at the University of the Witwatersrand.

Conference Venue

Manly Pacific Sydney Hotel
55 North Steyne, Manly NSW 2095

QMF 2006 was Organised by:

Prof. Carl Chiarella and Prof. Eckhard Platen, School of Finance and Economics, University of Technology, Sydney

Sponsored by: Hearne | The MathWorks | Firn

Supported by: Routledge Taylor & Francis Group | Springer | World Scientific | Chapman & Hall /CRC

13 December 2006 to 16 December 2006
Off Campus
Conference Delegates
QMF Conference Coordinator

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