Workshop

The Cambridge Finance Seminars run every other week during term. The seminars bring together researchers in all areas of finance. All Welcome!

PLEASE NOTE VENUE IS TRINITY HALL AND CHANGE OF TIME TO 5.30 ON THIS OCCASION. Cambridge Finance Seminar Series Welcomes Mark H. A. Davis Department of Mathematics Imperial College London Consistency of Risk Measure Estimates Abstract Recently there has been renewed debate about the relative merits of VaR and CVaR as...

Cambridge Finance Seminar Welcomes Dr Maria Bustamante LSE Product Market Competition and Industry Returns ABSTRACT This paper documents that product market competition has two opposing effects on asset returns. We find that firms in more competitive industries have less valuable growth options and thus lower loadings on...

Professor Damir Filipovic Swiss Finance Institute Swissquote Chair in Quantitative Finance Head of the Swiss Finance Institute @ EPFL NOTE: Room MR2, Centre for Mathematical Sciences, Cambridge University Linear-Rational Term Structure Models We introduce the class of linear-rational term structure models, where the state...

Cambridge Finance Seminar Tuesday November 12 th 2013, 5-6pm Philippa Fawcett Room, Newnham College http://www.newn.cam.ac.uk/sites/www.newnham.local/uploads/files/About-Ne... Roberta Dessí T ou l ous e Sc hoo l o f E c ono m ics Ve n t u r e C a p ital a n d K no wle dg e Tr a ns f er T h is talk i d e n ti f ies a n ew c...

Since roughly the mid 90's there has been an invasion of physicists into economics, and finance in particular. In this talk I will give an idiosyncratic review of what physicists have accomplished since then. I will argue that the biggest differences are epistemological, i.e. in the questions that are asked, how they are...

"Long Memory Affine Term Structure Models (joint with A. Golinski) Abstract: We develop a Gaussian discrete time, essentially affine term structure model which allows for long memory. This feature reconciles the strong persistence observed in nominal yields and inflation with the theoretical properties of affine models...

Robust calibration of models in finance. We introduce a calibration concept for models in mathematical finance which uses information from time series and derivatives' prices simulatenously, namely to estimate model parameters being invariant under equivalent measure changes from time series data. Additionally these...

John Crosby has worked at a number of investment banks as both a quant and as an fx options trader. He is currently a managing director at Grizzly Bear Capital and a visiting Professor of Finance in the Centre for Economic and Financial Studies at Glasgow University Adam Smith Business School. Title: No good deals - no bad...

Ivano Cardinale (Emmanuel College), Roberto Scazzieri (University of Bologna and Gonville and Caius College) Title: "Structural liquidity: Time coordination of economic activities and sectoral interdependence" Abstract: Investigating the links between the financial and real spheres of the economy is especially relevant...