Events 2007-2008

This page contains information about events held in the centre in the academic year 2007-8. Many of the talks given have slides available, which can be downloaded by clicking on the pdf icon () next to the talk's title.

The events held were

Planning for Retirement

Option Pricing and Hedging

Quantitative Fund Management

The Current Credit Crunch

Planning for Retirement

Friday 13th June 2008

Mr James Lloyd

Head of Policy & Research, International Longevity Centre - UK

Asset Accumulation, Decumulation and Transfer

The last decade has been a period of enormous change in patterns of life course asset accumulation characterized, in particular, by rising property wealth, increased mortgage debt and inheritance transfers. Research from the ILC-UK explores these trends, as well as related trends in household income and pension saving.

Dr Elena Medova

Centre for Financial Research, Judge Business School, University of Cambridge

Individual Asset Liability Management

Set against backdrop of the global pension crisis we consider the concept of individual household lifetime lifestyle planning and formulate a model of a household forward plan using dynamic stochastic optimization techniques. These include market and life event simulation of very long future scenarios of random lengths, scenario tree structures, automated major rebalance point placement over the planning horizon, risk measures relative to lifestyle goals and computational solution techniques. The concepts are illustrated by production software developed for US and UK households.

Option Pricing and Hedging

Friday 23 May 2008

Dr Peter K Friz

Department of Pure Mathematics and Mathematical Statistics, Cambridge University

On the Black-Scholes implied volatility at extreme strikes

We consider risk-neutral returns and show how their tail asymptotics translate directly to large strike asymptotics of the implied volatility smile, thereby sharpening Roger Lee's celebrated moment formula. The theory of regular variation provides the ideal mathematical framework to formulate and prove such results. In many models the tail behaviour is either known or can be derived from a moment generating function via Tauberian theory, and we shall give several examples. (Joint work with Shalom Benaim.) At last, stochastic volatility models can require a different analysis and we make the link with recent work of Lions-Musiela.

Dr John Crosby

Visiting Professor of Quantitative Finance, Glasgow University
Global Head of Quantitative Analytics and Research, Lloyds TSB Financial Markets

A class of Levy process models with almost exact calibration to both barrier and vanilla FX options

In the foreign exchange markets, both vanilla options and barrier options are actively traded. Hence traders would, in principle, like to use both vanilla and barrier options as instruments to which they can calibrate their model. However, to our best knowledge, there have been no models which are specifically designed to cater for this. We introduce such a model which allows for calibration in a two-stage process, firstly to barrier options and secondly to vanilla options. The model allows for jumps (either finite activity or infinite activity) and also for stochastic volatility. This is joint work with Peter Carr.

Quantitative Fund Management

Friday 7 March 2008

Mr Sébastien Lleo

Department of Mathematics, Imperial College London

Risk sensitive investment management: Overview and applications

In this presentation we will
● introduce risk-sensitive control and risk-sensitive asset management (RSAM);
● highlight the relationship between the RSAM model and (1) mean variance analysis, (2) the Merton model and (3) fractional Kelly investment strategies;
● show how the risk sensitive asset management model can be rewritten as a fairly standard Linear-Exponential of Quadratic - Gaussian (LEQG) control problem;
● see how to extend the asset only RSAM framework to include benchmarks or liabilities.
Finally, we will briefly discuss our latest research to include jump-diffusion processes with a view to adding credit risky assets to the investment universe.

Professor Michael Dempster

Director, Centre for Financial Research, University of Cambridge
Managing Director, Cambridge Systemts Associates Limited

Systematic investment

After an overview of the recent penetration of systematic investment strategies in the fund management industry and of the techniques involved, this talk will briefly describe a number of case studies of implemented quantitative systems based on dynamic stochastic programming for trading, investment and asset liability management.

The Current Credit Crunch

Friday 25 January 2008

Mr Robert Reoch

Reoch Credit Partners LLP

Current Events in the Structured Credit Markets

As the financial markets move from mortgage crisis to liquidity crisis and eventually perhaps to a credit crisis, how are the Structured Credit Markets connected to these events and what is the short and medium term prognosis for the debt markets?

Professor Jagjit S Chadha

Professor of Economics, University of Kent

A Simple Overview of the 2007 Liquidity Crunch

This presentation will outline some of the main causes and consequences of the liquidity crunch. We examine central bank responses and the extent to which financial prices will continue to be effected. Some lessons will be drawn.