Financial Mathematics: Risk Management, Modeling and Numerical Methods

January 3 - 12, 2001

Schedule

All times in this Schedule are Pacific Time (PT)

Wednesday, January 3, 2001

Morning Session
8:30 - 9:00 Registration
9:00 - 9:15
Eitan Tadmor (UCLA / University of Maryland)

Introduction

9:15 - 9:30
Roberto Peccei (UCLA)

Welcome

9:30 - 10:45
10:45 - 11:15 Break
11:15 - 12:15
René Carmona (Princeton University)

Statistics of Interest Rate Data
PDF Presentation
12:15 - 2:15 Lunch (on your own)

Afternoon Session
2:15 - 3:30
Albert Shiryaev (Steklov Mathematical Institute)

Essentials of Stochastic Finance I
PDF Presentation
3:30 - 4:00 Break
4:00 - 5:15
Albert Shiryaev (Steklov Mathematical Institute)

Essentials of Stochastic Finance II

5:15 - 5:30 Break
5:30 Wine/Cheese Reception (Hosted by IPAM)

Thursday, January 4, 2001

Morning Session
9:00 - 10:15
René Carmona (Princeton University)

Stochastic Models for Short Rate
PDF Presentation
10:15 - 10:45 Break
10:45 - 12:00
René Carmona (Princeton University)

A First Look at the HJM Models
PDF Presentation
12:00 - 2:00

To Be Announced
2:00 - 3:15
Albert Shiryaev (Steklov Mathematical Institute)

Essentials of Stochastic Finance III
PDF Presentation
3:15 - 3:45 Break
3:45 - 5:00
Albert Shiryaev (Steklov Mathematical Institute)

Essentials of Stochastic Finance IV


Friday, January 5, 2001

Morning Session
9:00 - 10:15
René Carmona (Princeton University)

Inifinite Dimensional Stochastic Analysis
PDF Presentation
10:15 - 10:45 Break
10:45 - 12:00
René Carmona (Princeton University)

Generalized HJM Models

12:00 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 3:15
Albert Shiryaev (Steklov Mathematical Institute)

Essentials of Stochastic Finance V
PDF Presentation
3:15 - 3:45 Break
3:45 - 5:00
Albert Shiryaev (Steklov Mathematical Institute)

Essentials of Stochastic Finance VI


Monday, January 8, 2001

Morning Session
8:30 - 9:00 Registration
9:00 - 9:15
Eitan Tadmor (UCLA / University of Maryland)

Introduction

9:15 - 10:00
10:00 - 10:30 Break
10:30 - 11:15
Mark Broadie (Columbia University)

Low Discrepancy Lattices for Pricing Multidimensional American Options

11:15 - 12:00
Jaksa Cvitanic (University of Southern California)

Utility Maximization with Random Endowment or Transaction Costs
PDF Presentation
12:00 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 3:00
3:00 - 3:45
3:45 - 4:15 Break
4:15 - 5:00
5:00 Dinner (Hosted by IPAM)

Tuesday, January 9, 2001

Morning Session
9:00 - 9:45
Benoit Mandelbrot (Yale University)

Extreme Changes in Financial Prices: The Multifractal Model

9:45 - 10:15 Break
10:15 - 11:15
Steven Shreve (Carnegie Mellon University)

A Unifying Model for Credit Derivatives

11:15 - 12:00
Eduardo Schwartz (UCLA)

Valuing American Options By Simulation: A Simple Least-Squares Approach

12:00 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 3:00
John Moody (Oregon Graduate Institute)

Minimizing Downside Risk via Reinforcement Learning

3:00 - 3:45
René Carmona (Princeton University)

Particle Filtering and Applications in Finance
PDF Presentation
3:45 - 4:15 Break
4:15 - 5:00
Michael Brennan (UCLA)

Dynamic Asset Allocation under Inflation


Wednesday, January 10, 2001

Morning Session
9:00 - 9:45
9:45 - 10:15 Break
10:15 - 11:15
11:15 - 12:00
Thaleia Zariphopoulou (University of Texas)

Valuation of Unhedgeable Risk

12:00 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 3:00
Albert Shiryaev (Steklov Mathematical Institute)

A New Modification of the Russian Option: Considerations Under a Possibility of a Default

3:00 - 4:00
4:00 Shuttle bus to Santa Monica Pier will return at 9pm

Thursday, January 11, 2001

Morning Session
9:00 - 9:45
Ronald Lagnado (MKI Rish)

Estimating Credit Exposure and Economic Capital with Monte Carlo Simulation
Presentation (PowerPoint File)
9:45 - 10:15 Break
10:15 - 11:15
David Heath (Carnegie Mellon University)

Risk Management Using Coherent Measures of Risk
Presentation (PowerPoint File)
11:15 - 12:00
12:00 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 3:00
Ioannis Karatzas (Columbia University)

Consumption/Portfolio Optimization with Habit-Formation

3:00 - 3:45
George Papanicolaou (Stanford University)

Portfolio Optimization and Stochastic Volatility

3:45 - 4:15 Break
4:15 - 5:00
Darrell Duffie (Stanford University)

Valuation in Dynamic Bargaining Markets


Friday, January 12, 2001

Morning Session
9:00 - 9:45
9:45 - 10:15 Break
10:15 - 11:15
Stanley Pliska (University of Chicago)

Risk Sensitive Asset Management: Some New Results

11:15 - 12:00
Peter Carr (Bank of America)

Options, Liquidity and Volume
PDF Presentation