3rd Oxford-Princeton Workshop

November 11-12, 2005, Princeton University


  • Rene Carmona


  • David Lando (Princeton University)
  • Nicolas Victoir (JPMorgan Chase)
  • Bruno Dupire (Bloomberg)
  • David Hobson (Princeton University)
  • Yacine Ait-Sahalia (Princeton University)
  • Jianqing Fan (Princeton University)
  • Michael Monoyios (Oxford University)
  • Christoph Reisinger (Oxford University)
  • Alex d'Aspremont (Princeton University)
  • Patrick Cheridito (Princeton University)
  • Peter Carr (Bloomberg)
  • Terry Lyons (Oxford University)
  • Mike Giles (Oxford University)
  • Liuren Wu (CUNY)
  • Savas Dayanik (Princeton University)


  • Operations Research & Financial Engineering
  • Bendheim Center for Finance
Friday, November 11, 2005
Time Speaker or Event Topic or Detail
8:15am - 8:45am Registration and Breakfast  
8:45am - 9:00am Welcome and Opening Remarks  
9:00am - 9:45am David Lando (Princeton) Decomposing Swap Spreads
9:45am - 10:30am Nicolas Victoir (JPMorgan Chase) Multiname Credit Models
10:30am - 11:00am Coffee and Tea  
11:00am - 11:45am Bruno Dupire (Bloomberg) A Free Boundary Approach to Volatility Derivatives
11:45am - 12:30pm David Hobson (Princeton) Optimal Timing for an Asset Sale in an Incomplete Market
12:30pm - 1:30pm Lunch  
1:30pm - 2:15pm Yacine Ait-Sahalia (Princeton) Volatility Estimators for Discretely Sampled Lévy Processes
2:15pm - 3:00pm Jianqing Fan (Princeton) Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
3:00pm - 3:30pm Coffee and Tea  
3:30pm - 4:15pm Michael Monoyios (Oxford) Robust Optimal Hedging Under Parameter Uncertainty
4:15pm - 5:00pm Christoph Reisinger (Oxford) Hierarchical Approximation to Multi-Factor Models


Saturday, Novebmer 12, 2005
Time Speaker or Event Topic or Detail
8:30am - 9:00am Breakfast  
9:00am - 9:45am Alex d'Aspremont (Princeton) A Market Test for the Positivity of Arrow-Debreu Prices
9:45am - 10:30am Patrick Cheridito (Princeton) Dynamic monetary risk measures
10:30am - 11:00am Coffee and Tea  
11:00am - 11:45am Peter Carr (Bloomberg) Options on Maxima, Drawdown, Trading Gains, and Local Time
11:45am - 12:30pm Terry Lyons (Oxford) Recombination and Higher Order Methods for solving subelliptic PDE's
12:30pm - 1:30pm Lunch  
1:30pm - 2:05pm Mike Giles (Oxford) Fast Calculation of Greeks by Monte Carlo using adjoint methods
2:05pm - 2:40pm Liuren Wu (CUNY) Modeling Financial Security Returns Using Levy Processes
2:40pm - 3:15pm Savas Dayanik (Princeton) Adaptive Poisson Disorder Problem