Mathematical Finance News
http://www.maths.ox.ac.uk/news/1867
enNomura lecture 2014 - date announced
http://www.maths.ox.ac.uk/node/24422
<p>The Nomura lecture 2014 will take place at The Mathematical Institute on Thursday 5th June 2014. The speaker is Edward Prescott (<span>Nobel laureate</span><span> </span><br /><span>in economics 2004).</span></p>
<p><strong>Title: </strong>Time Inconsistency with Application
to the Design of a Sustainable Financial System</p>
<p><strong>Abstract: </strong></p>
<p>The
most valuable asset that people in a sovereign state can have is good,
sustainable governance. Setting up a
system of good, sustainable governance is not easy. The big and well-known problem is time
inconsistency of optimal policies. A mechanism
that has proven valuable in mitigating the time inconsistency problem is rule
by law. The too-big-to-fail problem in banking is the result of the time
inconsistency problem. In this lecture I
will argue there is an alternative financial system that is not subject to the
too-big-to-fail problem. The alternative arrangement I propose is a pure
transaction banking system. Transaction
banks are required to hold 100% interest bearing reserves and can pay tax-free
interest on demand deposits. With this
system, there cannot be a bank run as there is no place to run to. Mutual arrangements would finance all
business investment, which is not currently the case.</p>Mathematical FinanceMon, 10 Feb 2014 11:28:42 +0000auger24422 at http://www.maths.ox.ac.ukXunyu Zhou elected to be a member of the Council of the Bachelier Finance Society!
http://www.maths.ox.ac.uk/node/24199
<p><span>Xunyu Zhou was recently elected to be a member of the Council of the Bachelier Finance Society.</span></p>Mathematical FinanceMon, 20 Jan 2014 10:10:12 +0000auger24199 at http://www.maths.ox.ac.ukJohannes Ruf lecture at the Quantitative Methods in Finance 2013 Conference
http://www.maths.ox.ac.uk/node/23887
<p><span>Johannes Ruf will deliver the <span>Bruti-Liberati Lecture</span> at the Quantitative Methods in Finance 2013 Conference (17-20 December)</span></p>
<p>More information on the Conference can be found here <a target="_blank" href="http://www.qfrc.uts.edu.au/qmf/">http://www.qfrc.uts.edu.au/qmf/</a></p>Mathematical FinanceThu, 05 Dec 2013 09:12:19 +0000auger23887 at http://www.maths.ox.ac.ukJan Obloj awarded ERC Starting Grant!
http://www.maths.ox.ac.uk/node/23252
<p>Jan Obloj was awarded 1.2M Euro Starting Grant by the European Research Council for his project "Robust Financial Mathematics: model-ambigious framework for valuation and risk management". He is among the 11 mathematicians selected in the <a href="http://erc.europa.eu/sites/default/files/document/file/erc_2013_stg_results_pe.pdf">2013 StG ERC call</a>. Congratulations!</p>Mathematical FinanceTue, 17 Sep 2013 08:39:39 +0000auger23252 at http://www.maths.ox.ac.ukMartin Klimmek awarded the 2012 Bruti-Liberati Prize
http://www.maths.ox.ac.uk/node/23251
<p>Martin Klimmek's doctoral thesis "On inverse problems in mathematical finance" won the<a href="http://www1.mate.polimi.it/qfinlab/index.php?pp=show_pagine&id_art=164&cate=27"> 2012 Bruti-Liberati Prize</a>. Congratulations!</p>Mathematical FinanceTue, 17 Sep 2013 08:38:35 +0000auger23251 at http://www.maths.ox.ac.ukNomura lecture 2013
http://www.maths.ox.ac.uk/node/20797
<p><span>This year's Nomura Lecture will be held on the 6th</span><span> </span><span>June 2013</span><span>, by</span><span> </span><span>Paul Milgrom, Shirley and Leonard Ely Professor of Humanities and Sciences at Stanford University. He is well </span><span>known for his fundamental contributions to auction theory and incentive theory. He is also an excellent speaker</span></p>
<p><strong>Time/location:</strong> 5.30pm Martin Wood Lecture Theatre</p>
<p><span><strong>Title</strong>: <span>Strategy-Proof Auctions for Complex Procurement</span><br /></span></p>
<p><span><strong>Abstract</strong>: </span>Some real resource allocation problems are so large and
complex that optimization would computationally infeasible, even with complete
information about all the relevant values. For example, the proposal in the US
to use television broadcasters' bids to determine which stations go off air to
make room for wireless broadband is characterized by hundreds of thousands of
integer constraints. We use game theory and auction theory to characterize a
class of simple, strategy-proof auctions for such problems and show their
equivalence to a class of "clock auctions," which make the optimal
bidding strategy obvious to all bidders. We adapt the results of optimal
auction theory to reduce expected procurement costs and prove that the
procurement cost of each clock auction is the same as that of the full
information equilibrium of its related paid-as-bid (sealed-bid) auction.</p>
<p>
The Nomura Lecture poster can be found <a href="https://www.maths.ox.ac.uk/system/files/01189_Oxford_Lecture_Poster_v6.pdf">here</a></p>Mathematical FinanceWed, 16 Jan 2013 13:28:55 +0000auger20797 at http://www.maths.ox.ac.ukXunyu Zhou and Mike Giles lecturing on Dutch Winter School
http://www.maths.ox.ac.uk/node/20796
<p><span>Xunyu Zhou and Mike Giles are teaching on the 12th Winter School on</span><span> </span><span>Mathematical Finance in the Netherlands. Xunyu will be covering</span><span> </span><br /><span>Mathematical Behavioural Finance, while Mike will be discussing Adjoint</span><span> </span><span>Methods in Computational Finance.</span></p>Mathematical FinanceWed, 16 Jan 2013 12:56:02 +0000auger20796 at http://www.maths.ox.ac.ukTitchmarsh Fellowships
http://www.maths.ox.ac.uk/node/20252
<p>
The Mathematical Institute has just announced the availability of up to 4 prestigious <a href="http://www.maths.ox.ac.uk/node/20182">Titchmarsh Fellowships</a> in a range of subjects including mathematical and computational finance. Applications are due on December 10, 2012.
</p>Mathematical FinanceThu, 08 Nov 2012 14:14:49 +0000chend20252 at http://www.maths.ox.ac.ukNomura Lecture 2012 will be given by Jose A Scheinkman
http://www.maths.ox.ac.uk/node/18622
<p style="margin-bottom:0cm">Nomura Lecture 2012 will be given by <span>Jose
A Scheinkman (Theodore Wells '29 Professor of Economics at Princeton).</span></p>
<p style="margin-bottom:0cm"><span>Title: Speculation
and bubbles. </span></p>
<p style="margin-bottom:0cm"><span><a href="https://www.maths.ox.ac.uk/system/files/attachments/Nomura2012.pdf">more details...</a><br /></span></p>Mathematical FinanceWed, 18 Apr 2012 14:54:35 +0000szpruch18622 at http://www.maths.ox.ac.ukMichael Giles wins 2011 Best Simulation Publication Award
http://www.maths.ox.ac.uk/node/17415
<p style="margin-bottom:0cm">Mike Giles has received the INFORMS Simulation Society 2011 Best<br />Simulation Publication Award for his 2008 Operations Research paper on<br />Multilevel Monte Carlo Path Simulation<span><span>. (<a title="Mike Giles" href="http://www.informs.org/Community/Simulation-Society/Awards/Best-Simulation-Publication-Award/Winner">further details</a>)</span></span>
</p>Mathematical FinanceThu, 12 Jan 2012 10:11:55 +0000szpruch17415 at http://www.maths.ox.ac.uk