Presentations
On this page you will find an archive of presentations given by members of the centre from 1999-2004, organized by year. To download a presentation, click on the icon (
) to the right of its title. Where multiple presentations are available the respective icons appear from left to right in the same order as the presentation descriptions.
2004
10th International Conference on Stochastic Programming - University of Arizona, 13 October 2004
Dynamic Stochastic Programming in Financial Planning Applications
Prof M.A.H. Dempster
Workshop on Financial Data Analysis and Applications - IMA, University of Minnesota, 26 May 2004
Modelling the Global FX Market
Prof M.A.H. Dempster
Centre for Financial Markets - Stuart Graduate School of Business- Illinois Institute of Technology 24 May 2004
Modelling the Global FX Market
Prof M.A.H. Dempster
University Finance Seminar - Cambridge, 30 January 2004
Managing Correlation Risk with Spread Option Models
Prof M.A.H. Dempster
2003
Merrill Lynch 'Frontiers of Foreign Exchange' Conference - Stockholm, 3 December 2003
Foreign Exchange Trading with Adaptive Computational Learning
Prof M.A.H. Dempster
Risk Management 2003, President Wilson - Geneva, 4 December 2003
Achieving Enhanced Asset Liability Management Within Pension Funds
Prof M.A.H. Dempster
Pioneer Investments Dynamic Asset Liability Management- Frankfurt, 30 October 2003
New Frontiers in Retirement Savings
Prof M.A.H. Dempster
Challenges in Asset Allocation, Merrill Lynch Financial Centre - London, 10 July 2003
Shaping Portfolio Values Over Time
Prof M.A.H. Dempster
Nomura Centre for Quantitative Finance Seminar - University of Oxford, 6 June 2003
Wavelet Based PDE Valuation of Complex Derivatives
Prof M.A.H. Dempster
Financial Risk Management, Session 1- St Albans, Herts, 8 May 2003
Investment Risk and Derivatives
Prof M.A.H. Dempster
Financial Risk Management, Session 2- St Albans, Herts, 8 May 2003
Interest Rate, Credit and Extreme Risk
Prof M.A.H. Dempster
32nd Meeting of the Euro Working Group on Financial Modelling - London, 25 April 2003
A Framework to Measure Integrated Risk
Rob Smith
Fourth International Conference on Intelligent Data Engineering and Automated Learning IDEAL 2003 - Hong Kong, March 20, 2003
Portfolio Management for Pension Funds
Michael Villaverde
2003 IEEE International Conference on Computational Intelligence for Financial Engineering - Hong Kong, March 20, 2003
Evolutionary Reinforcement Learning in FX Order Book and Order Flow Analysis
Prof M.A.H. Dempster (Invited Speaker)
OpRisk 2003, London 11/12 March 2003
Addressing the Key Concerns when Implementing an Integrated Risk Management Function Aligning Credit, Market and Operational Risk
Dr E.A. Medova
2002
Risk Quantitative Finance - London, 25 November 2002
Wavelet Based PDE Valuation of Complex Derivatives
Prof M.A.H. Dempster (Invited Speaker)
Sessional Meeting of the Institute of Faculty of Actuaries - London, 25 November 2002
Global Asset Liability Management
Prof M.A.H. Dempster
Civitas Foundation Finance Seminar - Princeton University, 20 November 2002
Intraday FX Trading: An Evolutionary Reinforcement Learning Approach
Prof M.A.H. Dempster (Invited Speaker)
Gas and Power Risk 2002 - Berlin, 23 September 2002
Integrated Corporate Policy via Stochastic Programming
Dr E.A. Medova (Invited Speaker)
Exploiting Correlations for Enhanced Spread Option Pricing
Prof M.A.H. Dempster (Invited Speaker)
Intelligent Data Engineering and Automated Learning (IDEAL 2002), Manchester, 12 August, 2002
Intraday FX Trading: An Evolutionary Reinforcement Learning Approach
Prof M.A.H. Dempster (Keynote Speaker)
Merrill Lynch Frontiers in Finance Conference - London, 12 July, 2002
Evolution on the Trading Floor: Latest Developments in Adaptive Trading Techniques
Prof M.A.H. Dempster (Invited Speaker)
Institute of Financial Services - London July 3, 2002
Control and Supervision: The Reason for Quantifying Operational Risk
Prof M.A.H. Dempster (Invited Speaker)
AIMR - 2nd Annual Global Investors Workshop - Cambridge, 30 June, 2002
Portfolio Management
Prof M.A.H. Dempster (Invited Speaker)
ICBI OPSummit 02 - Juan Les Pins, 26 June 2002
Using Stochastic Modelling Techniques to Quantify Operational Risk Capital
Dr E.A. Medova (Invited Speaker)
APMOD 2002, Varenna, 19 June, 2002
Some Nonconvex Stochastic Optimization Problems in Finance
Prof M.A.H. Dempster
Pioneer Investment Conference 2002 - Rome, 17 June, 2002
Strategic Asset Liability Management
Prof M.A.H. Dempster
Forecasting Financial Markets - London, 29-31 May, 2002 (Co-chaired by Professor M A H Dempster)
Intraday FX Trading: Reinforcement vs Evolutionary Learning
Y.S. Romahi
Modelling Energy Derivatives - London, 23 May, 2002
Hedging Oil Price Risk
Dr E.A. Medova (Invited Speaker)
2nd GARP Credit & Counterparty Risk Summit (Pre-conference Workshop) - Modelling Energy Derivatives - London, 20 May, 2002
Modelling and Validation of Credit Risk
Prof M.A.H. Dempster
Euro Working Group on Financial Modelling - Capri, 30 April, 2002
Stochastic Programming Techniques for ALM
Prof M.A.H. Dempster (Tutorial Speaker)
Economic Capital Modelling and Regulation for Financial Conglomerates
Dr E.A. Medova
Risk 2002 Europe - Paris, 22 April, 2002
Fast Monte Carlo Pricing of Long Dated Swaps and Swaptions
Prof M.A.H. Dempster (Invited Speaker)
ESSEC/Phillips Conference - Cambridge, 21 April, 2002
Strategic Finance
Prof M.A.H. Dempster
Conference on Credit Derivatives, London Guildhall University, 10 April 2002
Modelling Credit Migration and Default Probabilities for Pricing and Hedging
Prof M.A.H. Dempster
CMI MIT Cambridge Finance Workshop - Cambridge, 28 March 2002
Extreme Risks and the New Capital Allocation Charge for Operational Risks
Dr E.A. Medova
Pricing American Options using Simulation
Dr G.W.P. Thompson
Edinburgh Research Group in Optimization (ERGO) - Edinburgh, 20 March 2002
Stochastic programme decomposition techniques for finance and logistics
Dr J.E. Scott (Invited Speaker)
Conference on Credit Derivatives, London Guildhall University, 10 April 2002
Two Non-Convex Problems in Finance
Prof M.A.H. Dempster (Invited Speaker)
Corporate Risk Management
Dr E.A. Medova (Invited Speaker)
Risk Waters Training Course - Exotic Derivatives - New York, 2 March & London 12 February, 2002
Managing Correlation Risk with New Spread Option Models
Prof M.A.H. Dempster (Invited Speaker)
ICBI - Quantitative Integration of Performance Measurement and Risk Attribution - London, 29 January, 2002
Global Asset Liability Management
Prof M.A.H. Dempster (Invited Speaker)
ORBEL 16 - Annual Meeting of the Belgian OR Society - Brussels, 24 January, 2002
Pricing American Options Fitting the Smile
Prof M.A.H. Dempster (Keynote Speaker)
2001
Konrad Zuse Zentrum - Free University of Berlin, 2 December 2001
Nested Benders Decomposition for ALM and Hydrocarbon Logistics
Dr J.E. Scott
Distinguished Speaker Series - School of Economic Studies, University of Manchester, 28 November, 2001
Global Asset Liability Management
Prof M.A.H. Dempster
Risk Waters Training Course - New York, 28 November, 2001
Integrating Market, Credit and Operational Risk: A Framework for Valuation Integrity
Dr E.A. Medova (Invited Speaker)
Risk Waters Training Course - London, 15 November, 2001
Integrating Market, Credit and Operational Risk: A Framework for Valuation Integrity
Dr E.A. Medova (Invited Speaker)
Risk Waters Math Week 2001, New York, 4 November, 2001
Managing Correlation Risk with New Spread Option Models
Prof M.A.H. Dempster
INFORMS 2001 - Miami, 3 November 2001
Global Asset Liability Management
Prof M.A.H. Dempster
SunGard Executive Briefing on Extreme Risk, London, September 20, 2001
Modelling Extreme Risk
Prof M.A.H. Dempster, Dr E.A. Medova, M.N Kyriacou and Y.S Romahi
9th International Conference on Stochastic Programming, Humboldt University, Berlin, 28 August, 2001
Hedging Oil Price Risk
Dr E.A. Medova
Dynamic Portfolio Replication using Stochastic Programming
Dr G.W.P. Thompson
Global Asset Liability Management
Michael Villaverde
Isaac Newton Institute Programme on Managing Uncertainty, 22 July - 2 August, 2001
Global Asset Liability Management
Prof M.A.H. Dempster
Operational Risk Management and Extreme Value Theory
Dr. E.A. Medova
Dynamic Portfolio Replication using Stochastic Programming
Prof M.A.H. Dempster
New Directions in Quantitative Financial Risk Management, Euro 2001, ABN Amro, Amsterdam, 9 July 2001
Real Time Automated FX Trading Systems
Prof M.A.H. Dempster (Invited Speaker)
Risk 2001, Europe, 11 April, 2001
Pricing Spread Options with the Fast Fourier Transform
Prof M.A.H. Dempster and S.S.G. Hong
Risk 2001, Europe, 10-11 April, 2001
Integrating Market, Credit and Operational Risk: A Theoretical Framework for Valuation Integrity
Dr E.A. Medova and M.N. Kyriacou
Risk 2001, Europe, 9 April, 2001
Wavelet Based PDE Valuation of Derivatives
Prof. M.A.H. Dempster, A. Eswaran, D.G. Richards and G.W.P. Thompson
A Framework for the Accurate Quantification of Operational Risk, Paris, 9 April, 2001
Extreme Value Models for Low Frequency High Impact Operational Risks
Dr. E.A. Medova, Prof. M.A.H. Dempster, M. Kyriacou and Y. Romahi
2000
7th Annual Workshop on Mathematical Finance, Center for Applied Probability, University of Columbia, 1 December, 2000
Wavelet Based PDE Valuation of Derivatives
Prof M.A.H. Dempster and A. Eswaran
First World Congress of the Bachelier Finance Society - Paris 28/6 – 1/7 2000
Pricing Spread Options with the Fast Fourier Transform
Prof M.A.H. Dempster and S.S.G. Hong
Quantifying Operational Risk - Risk Training Course 6th June 2000
Operational Risk Measures and Bayesian Simulation Methods for Capital Allocation
Prof M.A.H. Dempster, Dr E. A. Medova and Marios Kyriacou
Risk 2000 Europe, Paris, 11-12 April 2000
Wavelet based PDE Valuation of Derivatives
Prof M.A.H. Dempster, Akilesh Eswaran, Darren Richards
David Wilkie's 65th Birthday Conference, Heriot-Watt University, 20th March 2000
Statistical Asset Return Models
Prof M.A.H. Dempster
7th ICS Conference, Cancun - 5-7/01/2000
A Strategic Modelling of Logistics and Hedging Strategies in the Petroleum Industry
Dr E.A. Medova, Prof M.A.H. Dempster, James Scott and Anna Sembos
Sequential Importance Sampling Algorithms for Dynamic Stochastic Programming
Prof M.A.H. Dempster
1999
UNICOM 1999, 10 November, London UK
Real Options and Investment Decisions Under Uncertainty
Shahab Khokhar
Performance of Alternative Asset Allocation Models on Recent US Market History
Prof M.A.H. Dempster and Nieves Hicks Pedron
Citicorp/ Salomon Smith Barney Fixed Income Research 7th October 1999
Dynamic Index Tracking
Prof M.A.H. Dempster