Mathematical and Computational Finance Laboratory,

Department of Mathematic

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Research

Working Papers

Some of My Books

math277Winter2016

Past Teaching:

AMAT481F11; AMAT307F11L04; amat219W11L06; stat761W11; amat601.20F10 ;

STAT409W09 ; AMAT601.20F08(New) ; AMAT425F07 ; MATH321F07 ; AMAT371F07W08 ; STAT509W07 ;

AMAT581W06(NEW) ; MATH331W06

IPAM Workshop 'Systemic Risk & Financial Networks', UCLA, Los Angeles, CA (March 23-27, 2015): 'Semi-Markov Model for the Price Dynamics in Limit Order Markets'

AMMCS 2013, Waterloo, ON, Canada:'Delayed Heston Model: Improvement of Vol Surface and Hedging of Vol Swaps'

IME 2013 Congress, Copenhagen, Denmark: 'Delayed Heston Model: Improvement of Vol Surface and Hedging of Vol Swaps'

ASMDA 2013, Mataro (Barcelona), June 25-30, 2013: 'Delayed Heston Model: Improvement of Vol Surface and Hedging of Vol Swaps'

Quantitative Methods in Finance, Cairns, Australia (26-30 June, 2012): 'Change of Time Methods in Mathematical and Energy Finance'

Bachelier Finance Society 7th World Congress, Sydney, Australia (19-22 June, 2012): 'Variance Swaps for Levy-based Stochastic Volatility with Delay'

ICIAM 2011, Vancouver, Canada (July 18-22, 2011): 'Varinace and volatility swaps in energy markets'

HVB Institute for Mathematical Finance seminar, TUM, Munich, Germany (June 22, 2011): 'Varinace and volatility swaps in energy markets'

15th International IME 2011 Congress, Trieste, Italy (June 14-18, 2011): 'Optimal stopping of GMRP and pricing of European and American options'

14th International ASMDA 2011 Conference, Rome, Italy (June 7-11,2011): 'Variance and volatility swaps in energy markets'

PRMIA Calgary Chapter Luncheon Talk, Calgary, Bankers Hall (May 17, 2011): Book Review 'The Volatility Surface. A Practitioner's Guide' by Jim Gatheral (Wiley/Finance, 2006)

North/South Dialogue Meeting in Mathematics, Mount Royal University, Calgary, AB, Canada, May 5-6, 2011: 'Levy Processes: History, Ideas, Applications'

Alberta Statisticians Meeting, Edmonton, AB, Canada, October 16, 2010: 'Variance Swaps for Local Levy based Stochastic Volatility with Delay'

International Conference: Modern Stochastics: Theory and Applications, Sept 7-11, 2010, Kiev, Ukraine:

1) 'Approximation of Evolution Systems by GMRP' ('Stochastic Models of Evolution Systems' section)

2) 'Stochastic Volatility and Change of Time: An Overview' ('Mathematics of Finance' section)

6th World Congress of the Bachelier Finance Society, June 22-26, 2010, Torornto, ON, Canada: 'Modeling and Pricing of Variance Swaps for Local Stochastic Volatility with Delay and Jumps'

University of Prince Edward Island, Charlottetown, PEI, Canada, June 28,2010:'Applications of Random Evolutions: Financial Markets and Geometric Markov Renewal Processes'

SSC 2010 Annual Meeting, Quebec, QC, May 23-26, 2010: 'Stochastic Modeling and Pricing of Energy Markets' Contracts with Local Stochastic Delayed and Jumped Volatilities'

HVB Institute for Mathematical Finance Seminar, Technical University of Munich, Munich, Germany, May 12, 2010: 'Levy-based Interest Rate Derivatives: Change of Time Method and PIDEs'

PRMIA Calgary Chapter Luncheon Talk, Calgary, Bankers Hall, May 4, 2010: 'Stochastic Modelling of Electricity and Related Markets' (Book Review: Benth et al. (2008))

QMF 2009 Conference, Sydney, Australia, December 16-19, 2009: 'Modeling and Pricing of Variance Swaps for Local Stochastic Volatility with Delay and Jumps'

Alberta Statisticians' Meeting, Calgary, October 24, 2009: 'Multi-Factor Levy-Based Models in Financial and Energy markets'

III Internationa Symposium on Semi-Markov Models: Theory and Applications, Cagliari, Italy, June 17-19, 2009: 'Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities'

Invited Lecture, U of Roma 'La Sapienza', Rome, Italy, June 15, 2009, 16:30-17:30pm: 'Modeling and Pricing of Variance Swaps for Stochastic Volatilites with Delay and Jumps'

Invited Lecture, U of Roma 'La Sapienza', Rome, Italy, June 15, 2009, 15:00-16:00pm: 'Levy-based Interest Rate Derivatives'

CAIMS 2009 Meeting, Mathematical Finance Session, UWO, London, ON (June 10-14, 2009): 'Levy-based Interest Rate Derivatives'

North/South Dialogue Meeting, Financial Mathematics Session, Red Deer College (May 1-2, 2009): 'Change of Time Method for Multi-Factor Lévy Models in Finance'

Colloquium, Department of Mathematics & Statistics, Uof Calgary, Calgary (April 2, 2009): 'What is Financial Mathematics? History, Basic Ideas, Methods and Some Prospectives'

PRMIA Calgary Chapter Luncheon Talk, Calgary, Bankers Hall (February10, 2009): 'Levy Processes: History, Ideas, Applications in Finance'

Quantitative Methods in Finance 2008 Conference, Sydney, Australia (December 17-20): 'Multi-Factor Levy Models: Change of Time and Pricing of Financial and Energy Derivatives'

2008 Stochastic Modeling Symposium, Montreal, QB, Canada (December 1-2, 2008): 'Levy-Based Interest Rate Derivatives: Change of Time and PIDEs'

2nd Canada-France Congress, Financial Mathematics Session, Montreal, Quebec, Canada (June 1-5, 2008): 'Pricing of Variance Swaps for Stochastic Volatilites with Delay and Jumps'

North/South Dialogue Meeting, Financial Mathematics Session, University of Calgary (May 2nd, 2008):'Stochastic Volatility and Change of Time: Overview'

Colloquium Talk, Deprtment of Math & Stat, U of C (January 24, 2008): 'Levy Processes-from Probability to Finance' (pdf)

QMF 2007 Conference, Sydney, Australia (December 12-15, 2007): 'Explicit Option Pricing Formula for a Mean-Reverting Asset in Energy Market' (pdf)

CMS 2007 Winter Meeting (Math Finance Session), London, ON, Canada (December 8-10, 2007):

SSC 2007 Meeting, St. John's, Newfoundland, Canada (June 10-13, 2007): 'Modelling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with Delay' (pdf)

CAIMS*SCMAI 2007 Annual Meeting, Banff, Alberta, Canada (20-24 May, 2007): 'Modelling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with Delay '(pdf)

CMS 2006 Summer Meeting (Math Finance Session), Calgary, AB, Canada (June3-5,2006): Change of Time in Mathematical Finance (ppt)

2006 Stochastic Modeling Symposium, Toronto, ON, Canada (April 3-4, 2006): Change of Time Method in Mathematical Finance (ppt)

MITACS Project Meeting, McMaster U, Hamilton, ON, Canada (Nov 11-12, 2005): Explicit Option Pricing Formula for Mean-Reverting Asset (.ppt)

RJE2005 Conference, U of C, Calgary, Canada (July 24-27, 2005): "Pricing Options and Variance Swaps in Markov-Modulated Markets"(.pdf)

SMOCS05 Conference, Daydream Island Resort, Australia (July 10-16, 2005): "Optimal Control of SDDE with Applications in Economics"(.pdf)

MITACS 6th Annual Conference, U of C, Calgary, Canada (May 11-14, 2005): "Mean-Reverting Models in Financial and Energy Markets"(.htm)

5th North-South Dialog, Edmonton, Canada (April 30-May 1, 2005): "Mean-Reverting Models in Financial and Energy Markets"(.ppt)

University of Calgary, Calgary, Canada, Department's of Mathematics and Statistics Colloquium (March 31, 2005): "Mean-Reverting Models in Financial and Energy Markets"(.ppt)

BIRS, Banff, Canada, MITACS Project Meeting (November 12-13, 2004): "Modeling and Pricing of Variance Swaps for Stochastic Volatility with Delay"(.ppt)

University of Toronto, Department of Statistics, Toronto, Canada (April 15, 2004): "Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility"(.ppt)

Wilfrid Laurier University, Waterloo, Canada, Dynamics Day (April 7, 2004): "Modeling and Analysis of Stochastic Model for a Marine Bacteria Populations"(.ppt)

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"Lunch at the Lab" Presentations

(weekly mathematical finance seminar, Mathematical and Computational Finance Lab, U of C, Calgary, Canada)

October 28, 2004: "Financial Models with Stochastic Volatilities"

November 25, 2004: "Stochastic Stability of Financial Models"

February 3, 2005: "Levy Processes-From Probability to Finance"

February 10, 2005: Paper Review: "New Insight into Smile, Mispricing and Value at Risk: The Hyperbolic Model" by E. Eberlain, U. Keller and K. Prause (1998)

March 10, 2005: "Explicit Option Pricing Formula for Mean-Reverting Model"

March 31, 2005 (joint with Department's Colloquium, see above): "Mean-Reverting Models in Fiancial and Energy Markets"

April 14, 2005: "Yet One More Derivation of Black-Scholes Formula by Change of Time Method"

October 18, 2005: "Change of Time Method: Applications to Mathematical Finance. I."

November 8, 2005: "Change of Time Method: Applications to Mathematical Fiancne. II."

December 6, 2005: "Girsanov's Theorem: From Game Theory to Finance"

February 3, 2006: Paper Review: "Parameter Estimation in a Stochastic Drift Hidden Markov Model with a Cap" by J. Hernandez, D. Suanders and L. Seco (2005)

February 10, 2006: Paper Review: "On the Pricing and Hedging of Volatility Derivatives" by S. Howison, A. Rafailidis and H. Rasmussen (2004)

March 17, 2006: Book Review: "Commodities and Commodity Derivatives" by Helyette Geman, Wiley/Finance, 2005 (Chapter 1)

April 21, 2006: Book Review:"Commodities and Commodity Derivatives" by Helyette Geman, Wiley/Finance, 2005 (Chapter 3)

May 12, 2006: Book Review:"Commodities and Commodity Derivatives" by Helyette Geman, Wiley/Finance, 2005 (Chapter 5)

June 2, 2006: Book Review:"Commodities and Commodity Derivatives" by Helyette Geman, Wiley/Finance, 2005 (Chapter 9)

June 23, 2006: Book Review:"Commodities and Commodity Derivatives" by Helyette Geman, Wiley/Finance, 2005 (Chapter 11)

October 10, 2006: "Stochastic Volatilities with Delay (SVD): Modelling and Pricing of Variance Swaps for SVD (Part I)"

October 17, 2006:"Multi-Factor Stochastic Volatilities with Delay (SVD): Modelling and Pricing of Variance Swaps for MFSVD (Part II)"

November 7th, 2006: Book Review 'Energy Derivatives: Pricing and Risk Management' by Clewlow and Strickland, 2000.

Chapter 1: 'Introduction to Energy Derivatives and Fundamentals of Modelling and Pricing'

November 28th, 2006: Book Review: 'Energy Derivatives: Pricing and Risk Management' by Clewlow and Strickland, 2000.

Chapter 3: 'Volatility Estimation in Energy Markets'

January 31st, 2007: Book Review: 'Energy Derivatives: Pricing and Risk Management' by Clewlow and Strickland, 2000

Chapter 6: 'Spot Price Models and Pricing Standard Instruments'

October 25th, 2007: 'Pricing of Variance Swaps for Stochastic Volatilities with Delay and Jumps'

January 24th, 2008: 'Review W. Schoutens' book "Levy Processes in Finance, Wiley, 2003", Contents and Chapter 1: Intro'(pdf)

March 6th, 2008:'Review of W. Schoutens' book "Levy Processes in Finance", Wiley, 2003; Chapter 5, sec. 5.3: 'Examples of Levy and OU Processes'

March 20th, 2008:'Review of W. Schoutens' book "Levy Processes in Finance", Wiley, 2003; Sec. 5.4-5.5 & Chapter 6 'Stock Price Models by Levy Processes'

March 27th,2008:'Review of W. Schoutens' book"Levy Processes in Finance", Wiley, 2003; Chapter 7 'Levy Models with Stochastic Volatility'

May 15th, 2008:Review of W. Schoutens' book "Levy Processes in Finance", Wiley, 2003; Chapter 10 'Interest-Rate Models'

October 22, 2008: 'Levy-Based Interest Rate Derivatives: Part I: Change of Time Method'

October 29, 2008: 'Levy-Based Interest Rate Derivatives: Part II: PIDEs'

January 22, 2009: 'Multi-Factor Levy Models I: Alpha-Stable Levy Processes'

January 29, 2009: 'Multi-Factor Levy Models II: Pricing of Financial and Energy Derivatives'

September 30, 2009: Chapter 2: Stochastic Analysis of Independent Increment Processes (Book Review: 'Stochastic Modeling of Electricity and Related Markets' by F. Benth, J. Benth, S. Koekebakker, 2008, World Sci. Publ.)

October 7, 2009: 'Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities'

October 28, 2009: Chapter 4 (Sec. 4-1-4.2): 'Pricing of Forwards and Swaps Based on Spot Price' (Book Review: 'Stochastic Modeling for Electiricity and Related markets' by F. Benth, J. Benth, S. Koekebakker, 2008, World Sci. Publ.)

November 18, 2009: Chapter 4 (Sec. 4.3.-4.4): 'Pricing of Forwards and Swaps ' (Book Review: 'Stochastic Modeling for Electiricity and Related markets' by F. Benth, J. Benth, S. Koekebakker, 2008, World Sci. P)

January 21, 2010: Chapter 6: 'Modelling Forwards and Swaps using the HJM Approach' (Book Review:'Stochastic Modelling for Electricity and Related markets' by F. Benth, J. Benth and S. Koekebakker, 2008, World Sci. P)

(For Chapter 8 and 10 (and also any other odd Chapters) (Benth et al. (2008)) see our 'Lunch at the Lab' web)

For more presentations-see our web: http://finance.math.ucalgary.ca/lunch.html

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Here you can find my web page at York University,Toronto, ON, Canada (November 2001-July 2004)

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