Institute of Finance Annual Workshop
University of Leicester
Astley Clarke Building
Leicester
Thursday May 21st, 2009
8:15 am – 8:50am Registration and coffee
8:50 am – 9:00 am Welcome and Opening Remarks
Session 1 – Keynote Speech
9:00 am – 10:00am Institutional Asset Pricing
Speaker: Professor Dimitri Vayanos,
London School of Economics
10:00 am – 10:30am Coffee
Session 2 –Financial Market Microstructure
Chair: Professor Giorgio Valente
10.30 am – 11:10 am Size, Specialism and the Nature of Informational
Advantage in Interdealer FX markets.
Speaker: Dr. Richard Payne,
Warwick Business School
11.10 am – 11.50 am Learning from Post-trade Identity Disclosure in Electronic
Trading
Speaker: Professor Lukas Menkhoff,
University of Hannover
11:50 am – 12:30 pm Asymmetric Information in the Foreign Exchange Market
Speaker: Dr. Geir H. Bjønnes,
Norwegian School of Management
12:30 pm – 2:00 pm Lunch, upon invitation
Session 3 – Financial Markets and Central Banking
Chair: Dr. Emmanuel Haven
2:00 pm – 2.40 pm An Accident Waiting to Happen: the Global Turmoil of 2007-
2009
Speaker: Dr. Eli Remolona,
Bank for International Settlements
2:40 pm – 3.10 pm The transmission channels of the financial crisis to global
FX markets
Speaker: Dr. Marcel Fratzscher,
European Central Bank
3:10 pm – 3.40 pm The Evolution of Risk During the Crisis of 2007-2008
Speaker: Dr. Asani Sarkar,
Federal Reserve Bank of New York
3.40 pm – 4:00 pm Tea
Session 4 – Financial Mathematics and Risk Management
Chair: Professor Sergei Levendorskii
4:00 pm – 4:40 pm American-Style Derivatives under Proportional Transaction
Costs
Speaker: Professor Tomasz Zastawniak,
University of York
4:40 pm – 5:20 pm The British Put-Call Symmetry
Speaker: Professor Goran Peskir,
University of Manchester
5:20 pm – 6:00 pm Modelling Frameworks for the Post-Credit-Crunch
Environment
Speaker: Professor William Shaw,
King’s College London
6:00 pm Conference adjourns
6:30 pm Conference dinner, upon invitation
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