Symposium archive

Insured by Derivatives

Thirty Years
of Option

a Need 4U2

Celebrating Derivatives

Decoding Derivatives

No Risk,
No Glory

The ongoing

The Annual Symposium 2004

No Risk, No Glory; No Risk, No Worry


ING Securities Services (the Netherlands), NYSE Liffe, and FELab, University of Twente.


Prof. Mark H A Davis

'Option models and vega hedging'

Mark Davis is Professor of Mathematics at Imperial College London and acts as a consultant to Hanover Square Capital Partners. He is currently an Associate Editor of Quantitative Finance and was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.

Prof. Jim Gatheral

'A Parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives'

Jim Gatheral is Head of Quantitative Analytics and Listed Options Automated Market Making for Equity Markets at Merrill Lynch, adjunct Professor at the Courant Institute of Mathematical Sciences, New York and co-teacher of a popular master's course. Dr Gatheral has been involved in all of the major derivative product areas as book runner, risk manager and quantitative analyst in London, Tokyo and New York.

Prof. Lane Hughston

'Axiomatic interest rate theory'

Lane Hughston is Professor of Financial Mathematics at King's College London. His current research interests include the pricing and risk management of derivative securities, and the impact of transaction costs on derivative prices.

Dr. Angelien Kemna

'Structured investment solutions'

Angelien Kemna is member of the Executive Committee Europe, Chief Executive Officer and Chief Investment Officer for ING Investment Management Europe, located in The Hague, the Netherlands. Dr Kemna was a Professor of Financial Markets at the University of Maastricht and Associate Professor at the Erasmus University in Rotterdam.



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