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Financial Mathematics Reading Group 2011

Thursday 3 November  - Pucheng Shi (LSE)
Monotone follower problem with discrete consumption

Thursday 27 October - Mathieu Dubois (LSE)
How to improve the sampling of the Gibbs measure using irreversible dynamics?

Friday 14 October - Yavor Stoev (LSE)
Fourier based calibration of stochastic volatility interest rate model with application to risk management

Friday 25 March - Elena Boguslavskaya (LSE)
Finding optimal stopping boundary with Appell functions: how it works in the case of infinite horizon, and what kind of problems we face in the finite horizon case

Friday 4 March - Neofytos Rodosthenous (LSE)
Pricing of perpetual American options in a model with piecewise-constant coefficients

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