The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

HIGHER DERIVATIVE MODELS AND LIBOR MARKET MODEL IN QUANTUM FINANCE

Ph.DDOCTOR OF PHILOSOPH

Quantum Hypothesis Testing and Non-Equilibrium Statistical Mechanics

We extend the mathematical theory of quantum hypothesis testing to the general $W^*$-algebraic setting and explore its relation with recent developments in non-equilibrium quantum statistical mechanics. In particular, we relate the large deviation principle for the full counting statistics of entropy flow to quantum hypothesis testing of the arrow of time.Comment: 60 page

Model risk analysis for risk management and option pricing

Due to the growing complexity of products in financial markets, market participants rely more and more on quantitative models for trading and risk management decisions. This introduces a fairly new type of risk, namely, model risk. In the first part of this thesis we investigate the quantitative influence of model risk on risk management with a main focus on regulation issues. We present frameworks for measuring model risk and backtesting procedures for evaluating model quality. Furthermore, we apply these frameworks to derivatives portfolios. The second part of the thesis concerns interest rate derivatives pricing models. We compare Libor market and discrete string models and find them observationally equivalent. Furthermore, we investigate the factor dependence and estimation risk for a range of exotic derivatives priced with these models.

New Perspectives and Computational Challenges in High Dimensions

High-dimensional systems are frequent in mathematics and applied sciences, and the understanding of high-dimensional phenomena has become increasingly important. The mathematical subdisciplines most strongly related to such phenomena are functional analysis, convex geometry, and probability theory. In fact, a new area emerged, called asymptotic geometric analysis, which is at the very core of these disciplines and bears a number of deep connections to mathematical physics, numerical analysis, and theoretical computer science. The last two decades have seen a tremendous growth in this area. Far reaching results were obtained and various powerful techniques have been developed, which rather often have a probabilistic flavor. The purpose of this workshop was to explored these new perspectives, to reach out to other areas concerned with high-dimensional problems, and to bring together researchers having different angles on high-dimensional phenomena

Empirical Studies on the Pricing of Bonds and Interest Rate Derivatives.

Nowadays, both large financial and non-financial institutions use models for the term structure of interest rates for risk management and pricing purposes. This thesis focuses on these two important applications of term structure models. In the first part, the empirical performance of several term structure models for the pricing and risk management of bonds is investigated. The applications in this part focus on modelling international bond returns, the pricing of bonds that are subject to default risk, and the role of transaction costs of bonds in testing term structure models. The second part of the thesis focuses on the pricing and hedging of interest rate derivatives. This part includes an analysis of the relevant number of term structure factors for the pricing and hedging of interest rate derivatives, and an empirical comparison of the recently developed market models. Finally, the benefits of combining interest rate data and derivative price data for estimating and testing term structure models are analyzed.