Symposium archive

2009
Insured by Derivatives

2008
Thirty Years
of Option
Excellence

2007
Derivatives:
a Need 4U2

2006
Celebrating Derivatives

2005
Decoding Derivatives

2004
No Risk,
No Glory

2003
The ongoing
revolution

The Annual Symposium 2007

Derivatives: a Need 4U2

 

Sponsors

ABN AMRO, Euronext.liffe, Vattenfall, Saen Options and AtomPro Structured Products. FELab at the University of Twente assisted in gathering these sponsors.

Presentations


Jesper Andreasen

'The impact of delta hedging on the dynamics of the underlying asset'

Jesper Andreasen is a Managing Director at Bank of America in London, where he heads the Fixed Income Quantitative Research Group. His research activities focus on models for exotic and hybrid derivatives in the areas of interest rates, foreign exchange and inflation.

Prof. Hélyette Geman

'Mean-reversion in natural gas and oil markets'

Hélyette Geman is Professor of Finance at Birbeck, University of London and ESSEC Graduate Business School. She holds PhDs in Mathematics and Finance and a master's in Theoretical Physics. Over the last decade, she has been scientific advisor to a number of major energy companies.

Prof. Dilip Madan

'New developments in structured product valuation'

Dilip Madan is Professor of Finance at the Robert H. Smith School of Business, specializing in Mathematical Finance. He currently serves as a consultant to Morgan Stanley, Caspian Capital LLC and Bloomberg. He is a recipient of the 2006 Humboldt award in Mathematics.

Prof. Uwe Wystup

'About the price of a guarantee: A statistical evaluation of returns of long-term investments'

Uwe Wystup is Professor of Quantitative Finance at the Frankfurt School of Finance & Management, where he is the Academic Director of the master's program in Quantitative Finance and CEO of www.mathfinance.com, a global network of quants specializing in modelling and implementing foreign-exchange exotics.

Jean-Paul van Oudheusden

'Derivatives, a need 4U2'

Jean-Paul van Oudheusden is head of ABN AMRO markets. He is responsible for the issuing of turbos, guarantees and certificates for individual investments in the Netherlands.

 

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