Aarhus Quant Day

Symposium - 17 January 2014

Practical information

The event takes place at Aarhus University, Fuglesangs Allé 4, DK-8000 Aarhus in building 2628, auditorium M2.

Programme

8.00 Registration

9.00 Start of talks

17.00 End of talks + drinks at "Klubben"

18.30 Dinner

> full programme

> change of programme

The event is part of Aarhus Quant Factory - a series of events with focus on Quantitative Finance.

> Aarhus Quant Factory website (events, registration, travel, accommodation etc)

Speakers

LEIF ANDERSEN, Global Co-Head of The Quantitative Strategies Group, BANK OF AMERICA MERRIL LYNCH
Ultra High Performance American Option Pricing

Leif B. G. Andersen is the Global Co-Head of The Quantitative Strategies Group at Bank of America Merrill Lynch, and is an adjunct professor and lecturer at NYU’s Courant Institute of Mathematical Sciences and CMU’s Tepper School of Business.  He holds MCs in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School.  He was the co-recipient of Risk Magazine’s 2001 Quant of the Year Award, and has worked for more than 20 years as a quantitative researcher in the derivatives pricing area.  He has authored influential research papers and books in all areas of quantitative finance, and is an Associate Editor of Journal of Computational Finance.

JESPER ANDREASEN, Global Head of Quantitative Research, DANSKE BANK
Quant History

Jesper Andreasen heads the Quantitative Research Department at Danske Bank in Copenhagen. Prior to this, Jesper has held positions in the quantitative research departments of Bank of America, Nordea, and General Re Financial Products. Jesper’s research interest include: term structure modeling, volatility smiles, and numerical methods. Jesper holds a PhD in mathematical finance from Aarhus University, Denmark. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, and is an honorary professor of mathematical finance at Copenhagen University.

RAMA CONT, Professor of Mathematics and Chair in Mathematical Finance, IMPERIAL COLLEGE, LONDON
CloseOut Risk Evaluation: a new approach for integrating market and liquidity risk

Rama CONT is Professor of Mathematics and Chair in Mathematical Finance at Imperial College London. He joined Imperial College in 2012 after holding  teaching and research positions at Ecole Polytechnique (France), Columbia University (New York) and Université Pierre & Marie Curie (Paris VI).  Rama Cont''s research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks: discontinuities in market behavior, extreme risks, endogenous risk and systemic risk. He has also participated in numerous consulting projects for financial institutions and regulators in the UK, Europe, US and Asia. He has co-authored Financial Modelling with Jump Processes (2003) and is the Editor-in-Chief of a major reference work, the Encyclopedia of Quantitative Finance (Wiley 2010). He was elected Chair of the SIAM Activity Group on Financial Mathematics and Financial Engineering (2010-2012). Prof. Cont was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance. He holds a Doctorat from Université de  Paris Sud (Orsay), a Masters degree in Theoretical Physics from Ecole Normale Supérieure (Paris) and a BSc from Ecole Polytechnique (France).

BRIAN HUGE, Chief Analyst, DANSKE BANK
How to construct a volatility surface

Brian works at Danske Bank, where he has worked for more than 10 years. He is working in the Quant group as Chief Analyst with focus on FX and equity derivatives. Brian has a Ph.D. in Mathematical Finance from Copenhagen University. The thesis title is “On defaultable claims and credit derivatives”. In 2012 he was awarded Quant of the Year by Risk magazine.

JAN KALLSEN, Professor, CHRISTIAN ALBRECHTS UNIVERSITY AT KIEL
The effect of small transaction costs on optimal investment, consumption, option pricing, and turnover

Jan Kallsen is professor at the university of Kiel (Germany) with specialisation in Mathematical Finance. He studied Mathematics and Physics in Kiel and Freiburg. He holds a PhD in Mathematics from Freiburg university. He spent extended research visits at Boston University and Technische Universität Wien. Prior to Kiel he held a position as associate professor at Technische Universität München. His primary research interest are financial mathematics and the theory of stochastic processes.

CHRIS ROGERS, Professor, UNIVERSITY OF CAMBRIDGE
Estimate nothing

Chris Rogers took up the Chair of Statistical Science in September 2002, after almost nine years at the University of Bath, where he was Professor of Probability in the Department of Mathematical Sciences. Before that, he had held teaching positions at Queen Mary & Westfield College (University of London), the University of Cambridge, the University College of Swansea, and the University of Warwick. Chris works in the theory of probability and its applications, particularly in quantitative finance. His work in finance includes the potential approach to the term structure of interest rates, complete models of stochastic volatility, portfolio turnpike theorems, improved binomial pricing, robust hedging, liquidity modelling, axiomatics of valuation operators, the equity premium puzzle, duality in optimal investment/consumption, and Monte Carlo valuation of American options. Chris has served the community as a past or present editor of Finance & Stochastics, Mathematical Finance, Annals of Applied Probability , Stochastic Processes and their Applications, and Stochastics. Additionally, he organised two major international programmes at the Isaac Newton Institute , Financial Mathematics in 1995, and Developments in Quantitative Finance in 2005.  Within Cambridge, he is the instigator of Cambridge Finance , and leads the Quantitative Finance Group in the Statistical Laboratory. Together with Professor David Williams, Chris wrote the two volume work `Diffusions, Markov Processes, and Martingales', originally published by Wileys, Chichester, and now re-released by Cambridge University Press. Chris has participated in several Risk training courses, and has consulted for a number of clients in the financial services industry. He currently acts as an advisor for the Cambridge-based hedge fund Cantab Capital Partners.

WIM SCHOUTENS, Professor in financial engineering, CATHOLIC UNIVERSITY OF LEUVEN
Model, calibration and parameter risk - Moment matching calibration

Wim Schoutens (Leuven, Belgium) is professor in financial engineering at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work to the banking industry and other institutions. He is an independent expert advisor to the European Commission (DG-COMP) on “State aid assessment of valuation of impaired assets and of asset relief measures” and has assessed in that position more than EUR 1 trillion of assets; in particular he was one of the main expert advisors for the stress test on the Spanish banks and the related bailouts. Wim is the author of several books including “Contingent Convertibles (CoCos) : Structure and Pricing”, the first book ever on Contingent Capital and CoCo bonds (written together with Jan De Spiegeleer). Further he has been (co)author of the Wiley books “Lévy Processes in Finance”, “Lévy Processes in Credit Risk”, and “The Handbook of Convertible Bonds” and the Springer books “Quantitative Assessment of Securitisation Deals” and “Stochastic Processes and Orthogonal Polynomials”. He is Managing Editor of the “International Journal of Theoretical and Applied Finance” and “Quantitative Finance” and Associate Editor of “Mathematical Finance”, “Review of Derivatives Research” and “International Journal of Portfolio Analysis & Management”. Further, he is series editor of the book series "Financial Engineering Explained" for Palgrave Macmillan. Finally, he is member of the Belgium CPI commission and enjoys making his own jam from time to time.

JAN DE SPIEGELEER, JABRE CAPITAL PARTNERS
CoCo bonds and their extension risk

Jan De Spiegeleer (Geneva, Switzerland) is head of risk management at Jabre Capital Partners, a Geneva-based hedge fund. He earned an extensive knowledge of derivatives pricing, hedging and trading while working for KBC Financial Products in London, where he was managing director of the equity derivatives desk. Prior to his financial career, Jan spent 10 years as an officer in the Belgian Army during which he also served in Iraq. Jan co-authored with Wim Schoutens several books, including “Contingent Convertible (CoCo) Notes Structure and Pricing “ and "The handbook of Convertible Bonds".