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GBMS Theme 7: Mathematical Modelling in Post-Crisis Finance

Date: 25 - 27 Aug 2015

Venue: Western Gateway Building


  • Damiano Brigo (Imperial College London)
  • Bernard Hanzon (University College Cork)
  • Eugen Zimmermann (University College Cork)


The financial crisis that started around 2008 has had a profound impact on the financial industry, and on financial markets. One area where this had a great impact is on interest rates, as it was no longer tenable to assume that lending and borrowing can be totally risk-free. This has led to an increased interest in topics such as credit risk, liquidity risk, multiple forward rate curve models, systemic risk, to name just a few. This leads to new mathematical models that are needed to describe the behavior of the financial markets post-crisis. On the other hand the financial derivatives market is still thriving and there is a solid demand for mathematical and algorithmic techniques for fast pricing and hedging, as well as for portfolio design. The present theme brings together researchers to address these issues and to foster collaborations and research progress in these topics.

Speakers Include

  • Ales Cerny (CASS Business School, City University London)
  • Matheus Grasselli (Fields Institute and McMaster)
  • Paolo Guasoni (DCU)
  • Martin Haugh (Columbia University)
  • Gary Kennedy (Clarus Financial Technology)
  • Teemu Pennanen (Kings College London)
  • Chris Rogers (Cambridge)
  • Wolfgang Runggaldier (Padova)
  • Hans Schuhmacher (Tilburg University)
  • Mihalis Zervos (London School of Economics)



Tuesday 25/08/2015          Venue: Western Gateway Building, Room G03

   14:00 - 15:00    Wolfgang Runggaldier     No arbitrage conditions in multi-curve term structure modelling
   15:00 - 16:00    Hans Schumacher            Risk Sharing, Internal Trading, and Derivative Design
   17:30 - 18:00    Gary Kennedy                  Interest rate option pricing in a low rate environment
   18:00 - 19:00    Panel Discussion              Topic: The Future of Mathematical Finance                                
                                                                     Moderator: Damiano Brigo
                                                                     Panel: Matheus Grasselli, Martin Haugh,  Teemu Pennanen, Wolfgang Runggaldier

Wednesday 26/08/2015      Venue: Western Gateway Building, Room G03

   10:30 - 11:30     Ales Cerny                      Quadratic Hedging With and Without Numeraire Change
   11:30 - 12:30     Paolo Guasoni                Who Should Sell Stocks?
   14:00 - 15:00     Teemu Pennanen           Indifference swap rates in incomplete markets
   15:00 - 16:00     Mihalis Zervos                Agency, Firm Growth and Managerial Turnover

Thursday 27/08/2015         Venue: Western Gateway Building, Room G03

   15:00 - 16:00   Matheus Grasselli             Inflation and speculation in a dynamic macroeconomic model
   16:30 - 17:30   Martin Haugh                    Tax-Aware Dynamic Asset Allocation
Main Event IMS Plenary      Venue: Western Gateway Building, Room 1.07

    17:30-18:30     Chris Rogers                    Fundamental Fallacies of Finance    

For the abstracts of the talks we refer to the PDF file AbstractsTheme7.pdf

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