The Annual Symposium 2008

Thirty Years of Option Excellence

Sponsors

Fortis Bank, NYSE Liffe, Saen Options (now All Options) and AtomPro Structured Products.

Presentations

Carol Alexander

‘Model free hedge ratios and scale invariant models’

Carol Alexander is Professor of Risk Management and Director of Research at the ICMA Centre. She has published around 100 papers, articles and books on mathematics and financial risk management, including a series of four textbooks on Market Risk Analysis (Wiley, 2008).

Michael Dempster

‘Automated hierarchical trading systems based on computational learning’

Michael Dempster is Professor Emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Author of over 100 published research articles, his recent books include Stochastic Programming, Derivative Securities (with S. R. Pliska), Risk Management: Value at Risk and Beyond and Quantitative Fund Management. He is currently Managing Director of Cambridge Systems Associates Limited, a financial consultancy and software company.

Jaques Pézier

‘Evaluating alternative investments and optimising structured products using rational preference criteria’

Jacques Pézier has been an academic, consultant and investment banker, successively. His positions have included Executive Director Mitsubishi Finance in charge of risk management, research and product development; Director with BZW; and General Inspector at Credit Agricole Lazard Financial Products Bank. He has now returned to academia at the ICMA Centre.

Henriette Prast

‘How finance can help the homo emotionomicus’

Henriette Prast is Rabo-Netspar Professor of Personal Financial Planning at Tilburg University and Member of the Scientific Council for Government Policy. She holds a master’s in Economics from the Vrije Universiteit Amsterdam and a PhD from the University of Amsterdam. Henriette specialises in behavioural economics. She has a column in the Financieele Dagblad and Wilmott Magazine. She is on the non-executive board of the Dutch State Lottery, on the advisory board of the Dutch Society of Actuaries and a member of the board of Nibud institute for budgetary education.