Francisco N. Estrada, MSc Financial Markets student has won the Spring 2015 GARP Research Fellowship. The Fellowship Program received great interest from many students across GARP’s network of Master‐level programs, and after careful consideration, Franciso and his research proposal titled, “Is the relationship between the USD/Mexican peso exchange rate and the future contracts stable?”, demonstrated sufficient relevance to current global energy risk management issues and needs in order to warrant support.
Prof. Radu Tunaru has been invited toUniversite de Nantes, in the Laboratoire d’Economie et de Management de Nantes-Atlantique (LEMNA),
where he presented his latest paper ““Model Risk Adjustments for Regulatory Capital Calculations”.
KBS PhD student Catalin Cantia awarded financial support for Advanced Modelling in Mathematical Finance, a conference in honour of Ernst Eberlein at Christian-Albrechts-Universität zu Kiel.
The goal of this workshop is to discuss current trends and models in financial mathematics, including but not limited to processes with jumps, derivatives, term-structure modelling, and computational aspects. The conference is organised by Jan Kallsen and Antonis Papapantoleon and important names in the Financial Mathematics field will be presenting their latest research. To name just a few: Damir Filipovic , Hélyette Geman, Monique Jeanblanc, Dilip Madan, Thorsten Schmidt, Wim Schoutens , Albert Shiryaev, Michael Sørensen, Peter Tankov and other.
Catalin Cantia, working under the supervision of Prof. Radu Tunaru in KBS, was awarded financial support for the presentation of poster on the topic “CVA pricing with Wrong Way Risk. A Factor model with Implied Calibration.”
Congratulations to Jun Yang, whose paper “Dynamic Asset-Liability Management with Risk Limits and Time-Varying Inflation” co-authored with Dr Huamao Wang, has been accepted for presentation at the 24thEuropean Financial Management Association 2015 Annual Meetings being held in Amsterdam, Netherlands from 24-27 June.
Jun Yang is invited to present a paper at the doctoral consortium of the 3rd European Retail Investment Conference (ERIC) hosted at Boerse Stuttgart (Europe’s leading stock exchange organization), Germany. This doctoral consortium includes just 7 slots on the program and followed by the main conference during April 22th to 24th 2015. Accommodation and registration fees are sponsored by “SÜDWESTBANK”. The paper is titled “Dynamic Asset-Liability Management with Risk Limits and Time-Varying Inflation”, joint with Dr Huamao Wang.
Samuel Oduro presented a poster titled “Estimating Probability of Informed Trading from High Frequency Data: A Bayesian Approach” at the 3rd Paris Market Microstructure Conference (8-11 Dec 2014).
Evangelia Mitrodima received €400 from the Actuarial and Financial Mathematics Conference (AFMathConf) committee to present a poster at Actuarial and Financial Mathematics Conference in Brussels, Belgium, 5-6th Feb 2015. The title of her work is “Bayesian approach to jointly estimating the scale and shape of the conditional return distribution,” which is joint work with Jim Griffin and Jaideep Oberoi.
Evangelia Mitrodima gave an invited presentation at the Computational and Financial Econometrics 2014 conference in Pisa, Italy. She presented a paper titled, “Decomposition of the conditional asset return distribution using quantile regression,” which is joint work with Jim Griffin and Jaideep Oberoi.
Dr Jaideep Oberoi presented his paper titled ‘Why do firms vary the mix of their fixed and floating rate dept?’ at the Spanish Economic Association meeting (11 -13 Dec 2014) http://www.asesec.org/simposio/
Dr Huamao Wang’s paper “Dynamic portfolio optimization with transaction costs and state-dependent drift” is accepted to published in European Journal of Operational Research (ABS 3*, Elite 1), joint with Chair Prof. Klaus Reiner Schenk-Hoppé (Leeds & NHH), Prof. Rolf Poulsen (Copenhagen), and Dr Jan Palczewski (Leeds). This research originates from Dr Wang’s PhD thesis at Leeds. For more details, see https://kar.kent.ac.uk/41208/ .