2010

Dr Hector Calvo Pardo (University of Southampton) presenting. Title : Households' Subjective Stock Market Expectations and Portfolio Choice Abstract : Households portfolios remain poorly understood. The theory emphasizes the central role of beliefs to understand choices at both the extensive and the intensive margins (...

Prof Claudio Albanese (King's College, London) presenting. Title : Coherent global market simulations for counterparty credit portfolios Abstract : Valuing, hedging and securitizing counterparty credit risk involves analyzing large portfolios of netting sets over time horizons spanning decades. Theory dictates that the...

Prof Chris Rogers (Statistical Laboratory) presenting. Title: Trading to stops

Prof Giancarlo Corsetti (Faculty of Economics) presenting. Title : What determines government spending multipliers? Abstract : Theory predicts that the effect of fiscal expansion varies with the economic environment, notably the monetary and exchange rate regime, the state of public finances, and the health of the...

Prof John Crosby (UBS and Glasgow University) presenting. Title : Optimal hedging of variance derivatives Abstract : We examine the optimal hedging of variance derivatives, focussing principally on variance swaps (but, en route, also considering skewness swaps), when the underlying stock price has discontinuous sample...

Weiwei Yin (Faculty of Economics) presenting. Title : On the Forecasting Performance of Macroeconomic Fundamentals on Exchange Rate Movements Abstract : This paper investigates the forecasting performance of macroeconomic fundamentals on exchange rate returns using a macro-finance approach. Exchange rate movements are...

Duncan Needham (Faculty of History) presenting. Title : From Keynesian consensus to 'sado-monetarism': UK monetary policy from devaluation to Mrs Thatcher Abstract : This presentation will chart the course of UK monetary policy from the Keynesian consensus of the 1960s to the 'sado-monetarism' of the first Thatcher...

Prof Jagjit Chadha (University of Kent) presenting. Title : Roundheads versus Cavaliers: An Early Assessment of Quantitative Easing Abstract : Quantitative easing in the UK has involved the creation of fund to purchase medium term dated government bonds with borrowed central bank reserves and so has increased the liquidity...

Prof Michael Dempster of CFR presenting. Title : Long and short term jumps in commodity futures prices Abstract : This paper is the latest of a sequence developing new commodity pricing techniques. It analyzes long and short term jumps in commodity futures prices from the statistical and economic perspectives. First we...