Financial Mathematics: Risk Management, Modeling and Numerical Methods

January 3 - 12, 2001

Schedule and Presentations

Pictures

Organizing Committee:

Mark Broadie (Columbia University)
Jaksa Cvitanic (University of Southern California)

Introduction

This conference on Financial Mathematics: Risk Management, Modeling and Numerical Methods will present recent advances in the field, including mathematical modeling, model estimation, calibration and numerical implementation for quantitative and computational risk management; theoretical and empirical studies of credit risk, catastrophic and re-insurance risks, Value-at-Risk and other measures of risk; derivatives pricing in energy markets, emerging markets, and so on.

The main aims of the conference are to bring together academics and practitioners who are at the forefront of this exciting area, in order to reflect on current problems of interest and envision future directions; to enable graduate students and newcomers to the area to learn about challenging open problems, relevant to the applied and theoretical advancement of the field; and to discuss informally the issues of dissemination of knowledge, and of teaching in this increasingly popular field, to students at all levels, from undergraduate to doctoral programs.

Speakers

Keynote Lecture
   Benoit Mandelbrot (Yale University)

On "Risk Management and Measures of Risk"
   Ronald Dembo (Algorithmics)
   David Heath (Carnegie Mellon University)
   Ioannis Karatzas (Columbia University)
   Ronald Lagnado (MKI Rish)
   Stanley Pliska (University of Chicago)
   Thaleia Zariphopoulou (University of Texas)

On "Modeling and Statistical Issues"
   Michael Brennan (UCLA)
   René Carmona (Princeton University)
   Darrell Duffie (Stanford University)
   Paul Embrechts (ETH, Zurich)
   Steven Kou (Columbia University)
   Marek Musiela (Paribas, London)
   Steven Shreve (Carnegie Mellon University)

On "Numerical Methods"
   Peter Carr (Bank of America)
   Jerome Detemple (Boston U)
   Paul Glasserman (Columbia University)
   Art Owen (Stanford University)
   Eric Reiner (UBS)
   Eduardo Schwartz (UCLA)

Contact Us:

Institute for Pure and Applied Mathematics (IPAM)
Attn: FM2001
460 Portola Plaza
Los Angeles CA 90095-7121
Phone: 310 825-4755
Fax: 310 825-4756
Email: ipam@ucla.edu
Website: http://www.ipam.ucla.edu/programs/fm2001/