Invited Presentations
Plenary Speakers
On the Information Content of Option Prices
Peter Carr, Bloomberg LP and Courant Institute, New
York University
Asset Management Via Risk-sensitive Control in a Jump-diffusion Model
Mark Davis, Imperial College London, United Kingdom
Seasonal and Stochastic Features in Commodity Markets
Helyette
Geman, Birkbeck University of London, United
Kingdom and ESSEC Business School
Self-exciting Corporate Defaults: Contagion vs. Frailty
Kay Giesecke, Stanford University
Jump-Diffusions and Credit Modelling (Theoretical Models
and Practical Implications)
Alexander Lipton, Merrill Lynch and Imperial College
London, United Kingdom
Pricing and Hedging to Acceptable Levels of Risk
Dilip Madan, University of Maryland
Marek Musiela, BNP Paribas - CANCELLED
Advanced Variational Methods for Option Pricing
Olivier Pironneau, University Paul and Mary Curie,
Paris VI, France
Games with Exhaustible Resources
Ronnie Sircar, Princeton University
Stochastic Target Problems with Controlled Loss
Nizar Touzi, Imperial College London, United Kingdom
and Ecole Polytechnique, France
