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Past seminars


The Oxford Financial Research Centre boasts a world-class seminar programme. For those interested, we set out below details of all the Inter-Departmental Seminars held between September 1997 and June 2005. 



Trinity Term 2005




Daniel Kahneman, Princeton

The Psychology of Behavioral Finance


Jaksa Cvitanic, University of Southern California

Estimation of volatility values from discretely observed diffusion data


Kees Oosterlee, Delft University


Evaluation of European and American options under de Variance Gamma process with grid stretching and accurate discretization


Steven Shreve, Carnegie Mellon


Modelling Credit Spread, Implied Volatility, and Optimal Capital Structure with Endogenous Default and Jump Risk


Steve Kou, Columbia University

A Two-Person Game for Pricing Convertible Bonds

Emanuela Sciubba

University of Cambridge


Disagreeing Forever: Survival and Belief Heterogeneity in Incomplete Markets

Gikas Hardouvelis

Eurobank/University of Piraeus


The Yield as a Symmetric Predictor of Output and Inflation

Gabrielle Demange

Paris-Jourdan Sciences Economiques


Sharing Aggregate Risks Under Moral Hazard

Ulrich Hege

HEC School of Management


What is the magic in equity deals? Theory and evidence on the means of payment in asset sales

Bernard Cornet

University of Paris

Arbitrage and price revelation with asymmetric information and incomplete markets





Hilary Term 2005


Jean-Charles Rochet

Institute D’Economie Industrielle, Toulouse


Dynamic Security Design

Céline Rochon

Universite de Cergy-Pontoise


Devaluation without common knowledge

Dimitri Vayanos

London School of Economics


A Search-Based Theory On-the-Run Phenomemon

Nobu Kiyotaki

London School of Economics


Adjusting to Capital Liberalization

Michael Haliassos

Göethe University

Equity Culture and the Distribution of Wealth


Antoine Faure-Grimaud

London School of Economics


The Ownership of Ratings


Michael Weisbach

University of Illinois

Why are buyouts leveraged? The financial structure of private equity funds




Michaelmas Term 2004


Professor C D Aliprantis

Purdue University


Some Applications of Riesz Spaces to Economics, Finance and Econometrics


Professor Hamid Sabourian

Cambridge University


Herd Behaviour in financial models with sequential trades

Professor Francesca Cornelli

London Business School


Investor sentiment and Pre-Issue Markets

Professor Michel Habib

Université Montpellier II


The role of Knowhow Acquisition in the Formation and Duration of Joint Ventures


Professor Harald Hau



Macroeconomic Order Flows: explaining equity and exchange rate returns


Rafael Repullo


Policies for Banking Crises: A Theoretical Framework


Alvaro Cartea

Birkbeck College, University of London

Pricing in Electricity markets: a Mean Reverting Jump Diffusion Model with Seasonality


Marco Pagano

University of Napoli, Italy


Optimal Auditing Standards




Trinity Term 2004


Hyun-Song Shin

London School of Economics


Endogenous Disclosures and the Post Earnings Announcement Drift


Antoon Kolen

University of Maastricht


Robust Portfolio Selection

Hamid Sabourian

University of Cambridge


Herding in efficient markets with monotonic signals


Aneel Keswani

Cass Business School


Determinants of mutual fund performance persistence:  a cross sector analysis


Professor Ailsa Röell

Princeton University


Executive pay, earnings manipulation and shareholder litigation


Robert G Tompkins


Estimating Default Probabilities Using the Unconditional Disturbances Approach 





Michaelmas Term 2003


Raman Uppal            

London Business School

Ambiguity aversion and the puzzle of own-company stock in pension plans


Mike Burkhart 

Stockholm School of Economics

In-kind Finance: A theory of trade credit


Luca Deidda


University of London

On the existence of equilibria in competitive markets with adverse selection and price-setting sellers


Thomas Mariotti

London School of Economics

Strategic liquidity supply and security design


Todd Kaplan

University of Exeter


Why banks should keep secrets

Theo Vermaelen



The many facets of privately negotiated stock repurchases

Arnoud Boot

Universiteit van Amsterdam


Go public or stay private: A theory of entrepreneurial choice




Trinity Term 2003


Gael Giraud


The Limit-price Exchange Process

Harald Hau



The Role of Transaction Costs for Financial Volatility.  Evidence from the Paris Bourse


Matti Suominen 



Capital Structure and Industry Equilibrium

Wayne Ferson

Boston College


Evaluating Fixed Income Fund Performance with Stochastic Discount Factors 


Chester Spatt Carnegie-Mellon University Pittsburgh


Equilibrium Asset Pricing Under Heterogeneous Information




Hilary Term 2003


Amil Dasgupta

London School of Economics


Coordination, Learning, and Delay

Carmen Ansotegui

ESADE Business School 


Integration of European Stocks Markets after Euro

Mark Salmon

Cass Business School 


Do Hedge Funds provide downside protection?

Elu von Thadden 

University of Lausanne 

A Contracting Approach to Debt Structure and Corporate Bankruptcy


Enrico Perotti 

University of Amsterdam


Entrepreneurs and New Ideas

David Webb 

London School of Economics

Principal Agent Problems with Prospect Theory Preferences: An Application to Executive Stock Option


Enrique Sentana 

CEMFI, Madrid 

How does the Future Change our Past Views of the Present?





Michaelmas Term 2002


David Hobson University of Bath


Robust hedging of derivatives

Christian Laux London School of Economics 

Incentives in Internal Capital Markets.  Capital Constraints, Competition and Investment Opportunities


Henry Wynn University of Warwick 


Algebraic statistics: the use of computer algebra in statistical modelling

Mark Salmon  Cass Business School 


Do Hedge Funds provide Downside Protection

Stephen Taylor Lancaster  University


From risk-neutral to real-world densities

Frank Gerhard 

University of Oxford


A factor model of realized covariation

Lucio Sarno Warwick Business School


Exchange Rates & Fundamentals: Evidence on the Economic Value of Predictability