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SUMMARY:Hunting down the Black Swan:  Correlation\, Contagion &amp\; Endog
 enous Risk in Financial  Markets - Professor Rama Cont (Imperial College L
 ondon)
DTSTART:20121127T170000Z
DTEND:20121127T180000Z
UID:TALK41678@talks.cam.ac.uk
CONTACT:HoD Secretary\, DPMMS
DESCRIPTION:Prices\, volatilities and correlation parameters often exhibit
  erratic behaviour and extreme fluctuations during market crises. The trad
 itional approach has been to either model these occurrences as "extreme" e
 vents or statistical outliers\, or entirely dismiss them as 'black swans'\
 , impossible to model quantitatively. We argue that many such 'black swans
 ' are in fact manifestations of endogenous market instabilities that arise
  as a result of feedback effects between price behaviour and the resulting
  supply/demand dynamics generated by market participants. We propose some 
 simple models which allow quantitative modelling of such endogenous risks 
 and present some applications to the Quant Crash of August 2007 and the Gr
 eat Deleveraging following the collapse of Lehman Brothers.\n\nRama Cont i
 s Professor of Mathematics and Chair in Mathematical Finance at Imperial C
 ollege London. The seminar is sponsored by Cantab Capital Partners.\n\nFol
 lowing the seminar there will be wine and canapes in the Central Core\, CM
 S.  \n \nPlease RSVP to: anne.lawrence@cantabcapital.com if you wish to at
 tend.
LOCATION:CMS\, MR2
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