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Quantitative Methods in Finance Conference (QMF) 2005

The Quantitative Methods in Finance - 2005 Conference (PDF 115k) brought together leading experts in Quantitative Finance from Industry and Academia for a 4-day conference in Sydney, Australia.

Plenary Speakers included:
Ernst Eberlein, Robert Elliott, Damir Filipovic, Ruediger Frey, Kay Giesecke, Chris Heyde, John van der Hoek, Tom Hurd, Yue-Kuen Kwok, Alexander McNeil, Alexander Melnikov, Ryozo Miura, Alex Novikov, Bernt Oeksendal, Wolfgang Runggaldier, Michael Taksar, Xun-Yu Zhou.

Quantitative Risk Management - Practitioner Workshops 
The two one-day workshops were presented by Professor Alexander McNeil, ETH Zurich, Switzerland and Professor Rüdiger Frey, University of Leipzig, Germany and were based on the book Quantitative Risk Management: Concepts, Techniques, and Tools by McNeil, Frey & Embrechts.

Monday 12 December 2005                                   
Integrated Risk Management

Tuesday 13 December 2005 
Credit Risk Management

Conference Venue
Manly Pacific Sydney Hotel
55 North Steyne, Manly NSW 2095

QMF 2005 was Organised by:
Prof. Carl Chiarella and Prof. Eckhard Platen, School of Finance and Economics, University of Technology, Sydney

Following is a list of many of the presentation slides for presentations by QMF 2005 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.

Giovanni Barone-Adesi
University of Lugano
Garch Options in Incomplete Markets

Christoffer Bengtsson
Lund University
Systemic Jumps in International Equity Returns

Robert Brooks
Monash University
A Selectivity Corrected Time Varying Beta Estimator for Australian Stocks

Nicola Bruti-Liberati
University of Technology, Sydney
On the Weak Approximation of Jump-Diffusion Processes with Applications in Finance

Oliver Chen
National University of Singapore
Pricing Equity Default Swaps

Stéphane Crépey
Université d’Evry
Valuation of Convertible Bonds in an Abstract Set-up

Min Dai
National University of Singapore
Finite-Horizon Optimal Investment with Transaction Costs

Ernst Eberlein
University of Freiburg
Pricing of Credit Derivatives in the Lévy Libor Model

Robert Elliott
University of Calgary
A Free Boundary Problem Related to Environmental Management System

Damir Filipovic
University of Munich
An Equilibrium Approach to Group Diversification

Christian Fries
University of Frankfurt & DZ Bank
Proxy Simulation Schemes Using Likelihood Ratio Weighted Monte Carlo for Generic Robust Monte-Carlo Sensitivities and High Accuracy Drift Approximation with Applications to the LIBOR Market Model

Ruediger Frey and Wolfgang Runggaldier
Universitaet Leipzig and Universita Degli Studi Di Padova
Credit Risk under Incomplete Information

Raquel M Gaspar
Stockholm School of Economics
Self-Exciting Quadratic Models for Portfolio Credit Risk

Hayette Gatfaoui
Rouen School of Managment
A Simple Two-Factor European Call Pricing

Michael Graff
University of Queensland
Is there an Optimum Level of Financial Activity?

Julien Guyon
Euler Scheme and Tempered Distributions

Mahmoud Hamada
Energy Australia, Sydney and University of Technology, Sydney
Real Option Theory and Electricity Forwards

Fotios Harmantzis
Stevens Institute of Technology
Empirical Study of Fat-Tails in Maximum Drawdown: The Stable Paretian Modeling Approach

Boda Kang
University of South Australia
Time Consistent Dynamic Risk Measures

Toshikazu Kimura
Hokkaido University
Valuing American-Style Lookback Options of Floating Strike Type: A Laplace Transform Approach

Jacek Krawczyk
Victoria University of Wellington
Dependence of Left-Skewed Payoff Distributions on Risky-Asset Price Uncertainty

Yue-Kuen Kwok
University of Science & Technology, Hong Kong
Credit Default Swap Valuation with Counterparty Risk

Truc Le
University of Technology, Sydney
On Estimation of Volatility Surface & Prediction of Future Spot Volatility

Alex Levin
Wachovia Bank
Classes of Multifactor HJM-Type Futures Curve Models

Ruipeng Liu
University of Kiel
Long Memory in Financial Times Series: Bivariate Multi-Fractal Model

Roger Lord
Eramus University Rotterdam and Rabobank International
Level, Slope and Curvature - Fact or Artefact?

Alex McNeil
ETH Zurich
Statistical Inference for Dependent Credit Events

Simona Sanfelici
University of Parma
Calibration of a Nonlinear Feedback Option Pricing Model

Tomoaki Shouda
Hitotosubashi University
Dynamical Analysis of the Yield Spread Term-Quality Surface

Irina Slinko
Stockholm School of Economics
On Finite Dimensional Realizations of the Two Country Interest Rate Models

Gabriele Sorrentino
Victoria University
A New Method for Approximating the Price of an American Option in a Path Integral Framework

Keiichi Tanaka
Kyoto University
Approximation of Interest Rate Derivatives' Prices by Gram-Charlier Expansion and Bond Moments

Motoh Tsujimura
Ryokoku University
Political Measures for Strategic Environmental Policy with Induced Effect

Supported by: Chapman & Hall /CRC | Springer | Wiley | World Scientific | Quantitative Finance | Princeton University Press

14 December 2005 to 17 December 2006
Off Campus
Conference Delegates
QMF Conference Coordinator

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