Department of Mathematics
University College London (UCL)
African Institute of Financial Markets and Risk Management (AIFMRM)
University of Cape Town
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2023
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Informed Martingale Optimal Transport (keynote speaker), FAMiLLY Workshop, Department of Mathematical Science, The University of Liverpool (December 2023).
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The Carbon Equivalence Principle for Financial Markets – How to Account for Banks’ Input to CO2 Emissions, TMU Marunouchi Quantitative Finance Seminar, Tokyo Metropolitan University, Tokyo, Japan (December 2023).
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Filtered Arcade Martingale: An Alternative Approach to Martingale Optimal Transport?, Department of Mathematics, Ritsumeikan University, Kusatsu, Japan (November 2023).
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The Carbon Equivalence Principle for Financial Markets, Climate Risk Stochastic Modelling in Financial Mathematics and Economics, ISM-UCL-UCSB Workshop, ISM, Tokyo, Japan (November 2023).
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Mathematical Climate Finance: The Cost of Carbon Flows, QuantMinds International, InterContinental O2, London, U.K. (November 2023).
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Arcade Processes for Informed Martingale Interpolation and Transport, Talks in Financial and Insurance Mathematics, Department of Mathematics, ETH Zurich, Switzerland (November 2023).
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The Financial Impact of Carbon Emissions on Power Utilities Under Climate Scenarios, Department of Statistics and Actuarial Science, Stellenbosch University, Stellenbosch, South Africa (Oct. 2023).
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Carbon Equivalence Principle (CEP) and CO2e Valuation Adjustment, AIFMRM-Riskworx Workshop & Masterclass, Johannesburg, South Africa (October 2023).
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Arcade Processes for Informed Martingale Interpolating Transport, 7th International Conference Mathematics in Finance, Berg-en-Dal Rest Camp, Kruger National Park, South Africa (July 2023).
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Scenarios: What For And What Next?, ISDA-Deloitte Climate Risk Scenario Analysis Workshop, Deloitte, London, U.K. (June 2023).
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The Carbon Equivalence Principle in Action, The 2nd Quantitative Finance Conference Spring Edition, World Business Strategies (WBS), London, U.K. (May 2023).
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Academia & Industry Collaborate on Research in Mathematical Climate Finance, Maths for Climate Complex Climate Challenges Workshop, Fields Institute’s Mathematics for Climate Change (MfCC) Network & Waterloo Institute for Complexity and Innovation (WICI), University of Waterloo, Waterloo, Ontario, Canada (May 2023).
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Arcade Processes, Workshop on Stochastics, Numerics and Risk (UCL-Osaka Strategic Partners), Graduate School of Engineering Science, Osaka University, Osaka Japan (February 2023).
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2022
Green Hedge Business: Minimisation of Carbon Emissions Costs and Design of Carbon-Linked Instruments, PSTAT Seminar, Department Statistics and Applied Probability, University of California, Santa Barbara, USA (October 2022).
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Quantile Processes for Risk Analysis in Finance and Insurance, Mathematical Finance Seminar, Department of Mathematics and Statistics, Texas Tech University, Lubbock, USA (October 2022).
Mathematics for Climate Change, Workshop on the Mathematics for Climate Change, The Fields Institute for Research in Mathematical Sciences, Toronto, Canada (October 2022).
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Arcade Processes and Strong Stochastic Interpolation, SIAM Conference on Mathematics of Data Science, San Diego, USA (September 2022).
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Quantile Processes for Risk Analysis in Finance and Insurance, Quantitative Finance Seminar, The Fields Institute for Research in Mathematical Sciences, Toronto, Canada (September 2022).
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Impact of Finance on Climate Change, Fields-CFI Workshop on the Impacts of Climate Change on Economics, Finance, and Insurance, The Fields Institute for Research in Mathematical Sciences, Toronto, Canada (September 2022).
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The Carbon Equivalence Principle, 3rd IMA Conference on Mathematics of Finance and Climate Change Risk, Liverpool, U. K. (June 2022).
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Transparency Principle for Carbon Emissions Drives Sustainable Finance, AIFMRM-QuantSA Research Seminar, University of Cape Town, South Africa (March 2022).
Inspiring Exchange with the Industry, Innovation and Enterprise Seminar, Mathematics & Physical Sciences, University College London (UCL), London, U. K. (March 2022).
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2021
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Alternative Interest Rate Benchmarks, World Business Strategies (WBS) 4th Interest Rate Reform Conference, London, U. K. (October 2021, webinar).
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Quantile Diffusions and Applications, AIFMRM Research Webinar, University of Cape Town, South Africa (August 2021).
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Term Risk in Interest Rate Markets, SIAM Financial Mathematics & Engineering Virtual Conference (June 2021)
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Genuine Term Rates Remain Elusive, QuantMinds in Focus Virtual Conference (May 2021)
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New Risk-Free-Rates Are No Benchmark Replacement For Genuine Term Rates, World Business Strategies (WBS) 3rd Interest Rate Reform Conference, London, U.K. (February 2021)
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2020
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Quantile Diffusions, Mathematics & Finance Conference, Research in Options, IMPA, Rio de Janeiro, Brazil, and Khalifa University, Abu Dhabi, UAE (December 2020)
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Overnight Risk-Free Rates Are Risky, QuantMinds International, Hamburg, Germany (November 2020).
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Term Rates and Overnight Rate Benchmarks: a Roll-Over Risk Approach, Global Markets GRA Webinar, Bank of America, London, U. K. (April 2020)
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Refinancing Based on Overnight Interest Rate Benchmarks, Marunouchi Quantitative Finance Webinar, Tokyo Metropolitan University, Tokyo, Japan (March 2020)
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Term Rates vs Overnight RFRs: Mind the Risk!, Interest Rate Reform Conference (A Quant Perspective), World Business Strategies (WBS), London, U. K. (March 2020)
Term Risk, UBS, London, U. K. (February 2020)
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2019
Term Risk, Research in Options 2019 Conference, IMPA, Rio de Janeiro, Brazil (December 2019)
Overnight and Term Interest Rate Benchmarks: a Dynamic Roll-Over Risk Approach, London Mathematical Finance Seminar, Cass Business School, City University, London, U.K. (October 2019)
Refinancing Risk, International Congress on Industrial and Applied Mathematics (ICIAM), Valencia, Spain (July 2019)
Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive Time Periods, Seminar in Applied Mathematics and Statistics, Department of Mathematical Sciences, University of Copenhagen, Denmark (May 2019)
Information Flows, Randomised Markov Bridges, and Climate Change, Actuarial Mathematics & Statistics Seminar, Heriot-Watt University, Edinburgh, U.K. (May 2019)
Multiple Barrier-Crossings of a Mean-Reverting Diffusion in Consecutive Time Periods and Applications, AIFMRM Research Seminar, University of Cape Town, South Africa (April 2019)
Interest Rate Term Structures with Roll-Over Risk, SFRA Colloquium and Workshop, ICMS, Edinburgh, U.K. (February 2019)
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2018
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Stochastic Modelling in Financial & Insurance Mathematics, Meeting on Applications of Mathematical Modelling to Security Issues, UCL, London, U. K. (November 2018)
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Research in Financial Mathematics: Heatwaves, Inflation, Multi-Curve Interest Rate Systems, and Initial Margins, EMAp Research Seminar, School of Applied Mathematics, Fundação Getulio Vargas, Rio de Janeiro, Brazil (August 2018)
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Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods,
STM2018 International Workshop on Spatial and Temporal Modeling from Statistical, Machine Learning and Engineering perspectives, Institute of Statistical Mathematics, Tokyo, Japan (February 2018)
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2017
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Markov-Modulated Information Flows, 6th International Conference Mathematics in Finance, Kruger National Park, South Africa (August 2017)
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Across-Curve Pricing, Seminar of the Graduate School of International Corporate Strategy, Hitotsubashi University, Tokyo, Japan (April 2017)
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Switching Information Flows, Osaka-UCL Workshop on Stochastics, Numerics and Risk, Centre for Mathematical Modeling and Data Science, Osaka University, Osaka, Japan (March 2017)
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2016
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Stochastic Spread Models and Applications in Finance, CFE 2016 Congress, Sevilla, Spain (December 2016)
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Estimation of Future Initial Margins, Financial Market Infrastructure Supervision, Bank of England, London, UK (November 2016)
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Estimation of Future Initial Margins, Emerging Issues in Quantitative Finance and Risk Management Under Changing Regulator Environments, Applied Probability Workshop, Royal Statistical Society, London, UK (October 2016)
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Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework, Research Seminar, Bank of Japan, Tokyo, Japan (August 2016)
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Modelling Spreads: an Application to Inflation-linked Pricing, Japanese Association of Financial Econometrics and Engineering, 2016 Conference, Tokyo, Japan (August 2016)
Inventory Management in Customised Liquidity Pools, Workshop on Stochastic Processes and Financial and Insurance Mathematics, Department of Mathematics, Ritsumeikan University, Kusatsu, Japan (August 2016)
Securitisation of Climate Risk, First Global Carbon Project Workshop on Urban Intelligence, National Institute for Environmental Studies, Tsukuba, Japan (July 2016)
Multi-Curve Discounting, Spatial and Temporal Modelling 2016 Workshop, Institute of Statistical Mathematics, Tokyo, Japan (July 2016)
Real-Time Risk Management with Adjoint Algorithmic Differentiation, ACQuFRR Workshop on Challenges in Mathematical Finance, University of Cape Town, South Afirca (July 2016)
Dynamic Initial Margining, Research Meeting, Johannesburg Stock Exchange, Johannesburg, South Africa (June 2016)
Catching up with Emerging Markets, One-Day Masterclass on Quantitative Finance and Risk Research, Rand Merchant Bank, Johannesburg, South Africa (June 2016)
Estimation of Future Initial Margins, ACQuFRR Seminar, University of Cape Town, Cape Town, South Africa (April 2016)
Quantitative Finance Lectures, One-Day Workshop, Avior Capital Markets, Cape Town, South Africa (March 2016)
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Rational Multi-Curve Models with Counterparty Risk Valuation Adjustments, Joint International Research Open, University of Liverpool, Liverpool, UK (March 2016)
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2015
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Multi-Curve Interest Rate Modelling and Valuation Adjustments, Department of Mathematics Seminar, Brunel University, Uxbridge, UK (October 2015)
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Randomised Markov Bridges and Applications in Finance, Decision Mathematics Seminar, Toulouse School of Economics, Toulouse, France (June 2015)
Dark Pool Trading, Quant Seminar, Avior Capital Markets, Cape Town, South Africa (March 2015)
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Debt, Mathematics in the World of Finance Weekend Conference, Mathematics Society, King’s College London, London, UK (February 2015)
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2014
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Randomised Markov Bridges and Stochastic Interpolation, Talks in Financial and Insurance Mathematics, Department of Mathematics, ETH Zurich, Switzerland (October 2014)
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Filtering with Randomised Markov Bridges, Thematic Semester on Information in Finance and Insurance, Institute Henri Poincare, Paris, France (October 2014)
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments, London-Paris Bachelier Workshop, Fédération Française de Banque, Paris, France (September 2014)
Rational Multi-Curve Models and Counterparty-Risk Valuation Adjustments (plenary talk), Fifth International Conference on Mathematics in Finance, Skukuza, Kruger National Park, South Africa (August 2014)
Heat Kernel Framework for Asset Pricing in Finite Time, Bachelier Finance Society 8th World Congress, Brussels, Belgium (June 2014)
Markovian Framework for Consistent Asset Pricing and Multi-Curve Interest Rate Modelling, Department of Mathematics, University of Evry Val-d'Essonne, France (January 2014)
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2013
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Asset Pricing under the Real Probability Measure and Multi-Curve Interest Rate Modelling, International Conference on “Stochastic Processes and their Statistics in Finance”, Okinawa, Japan (October 2013)
Computerised Trading (plenary talk), Strathmore International Mathematics Conference 2013, Nairobi, Kenya (August 2013)
Heat Kernel Framework for Asset Pricing in Finite Time, Risk Management and Insurance Seminar, Georgia State University, Atlanta, USA (April 2013)
Heat Kernel Framework for Asset Pricing in Finite Time, Conference on Current Topics in Mathematical Finance, Vienna University of Economics and Business, Austria (April 2013)
Consistent Asset Pricing and Risk Management, South African Reserve Bank, Pretoria, Republic of South Africa (March 2013)
Heat Kernel Framework for Asset Pricing in Finite Time, Global Markets, Rand Merchant Bank, Johannesburg, Republic of South Africa (March 2013)
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2012
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Finite-time pricing kernel models, Research Seminars “Stochastische Analysis und Stochastik der Finanzmaerkte”, Quantitative Finance Laboratory Berlin, Germany (July 2012)
Asset Pricing: Utility Theory and Pricing Kernel Models, African Institute for Mathematical Sciences, Cape Town, Republic of South Africa (February 2012)
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2011
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Interest Rate Models with Stochastic Mixtures, Department of Mathematics, Ritsumeikan University, Kusatsu, Japan (November 2011)
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Equilibrium Pricing in Continuous Time with Base Preferences and Endowments, Fourth International Conference of Mathematics in Finance, Kruger National Park, Republic of South Africa (August 2011)
Randomised Mixture Models for Pricing Kernels, Actuarial Science and Mathematical Finance Seminar, Fields Institute, Toronto, Canada (July 2011)
Lévy Random Bridges and their Applications to Finance and Insurance, Actuarial and Financial Mathematics Seminar, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, UK (March 2011)
Lévy Random Bridges (keynote speaker), The Fifth Bachelier Colloquium, Metabief, France (January 2011)
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2010
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Filtering Models for Asset Pricing, Financial and Insurance Mathematics Seminar, Department of Mathematics, ETH Zürich, Switzerland (November 2010)
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Credit Risk, Market Sentiment and Randomly-Timed Default, Bachelier Finance Society, 6th World Congress, Toronto, Canada (June 2010)
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Heat Kernels for Information-Sensitive Pricing Kernels, Workshop on Financial Derivatives and Risk Management, Fields Institute, Toronto, Canada (May 2010)
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Information-based Asset Pricing: Cash Flows, Market Filtrations, and Pricing Kernels, Bank of Japan, Tokyo, Japan (March 2010)
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Market Sentiment and the Probability of Default, Department of Mathematics, Graduate School of Science, Hiroshima University, Japan (February 2010)
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An Alternative to Stochastic Volatility Models, Graduate School of Engineering Science, Osaka University, Japan (2010)
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The complete list comprises ca. 110 invited talks at national/international meetings since August 2005.