Financial Mathematics: Risk Management, Modeling and Numerical Methods - IPAM

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

08:30-09:00
Registration
09:00-09:15
Eitan Tadmor (UCLA / University of Maryland)
Introduction
09:15-09:30
Roberto Peccei (University of California, Los Angeles (UCLA))
Welcome
09:30-10:45
René Carmona (Princeton University)
The Mechanics of Fixed Income Securities: A Crash Course
10:45-11:15
Break
11:15-12:15
René Carmona (Princeton University)
Statistics of Interest Rate Data

Afternoon Session

12:15-14:15
Lunch (on your own)
14:15-15:30
Albert Shiryaev (Steklov Mathematical Institute)
Essentials of Stochastic Finance I
15:30-16:00
Break
16:00-17:15
Albert Shiryaev (Steklov Mathematical Institute)
Essentials of Stochastic Finance II
17:15-17:30
Break
17:30
Wine/Cheese Reception (Hosted by IPAM)

Monday, January 8, 2001

Morning Session

08:30-09:00
Registration
09:00-09:15
Eitan Tadmor (UCLA / University of Maryland)
Introduction
09:15-10:00
Paul Embrechts (ETH, Zurich)
Fine Tuning Integrated Risk Management Methodology
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 (USC))
Utility Maximization with Random Endowment or Transaction Costs

Afternoon Session

12:00-14:00
Lunch (on your own)
14:00-15:00
Jerome Detemple (Boston U)
A Monte-Carlo Method for Optimal Portfolios
15:00-15:45
Paul Glasserman (Columbia University)
The Term Structure of Simple Forward Rates with Jump Risk
15:45-16:15
Break
16:15-17:00
Art Owen (Stanford University)
Numerical Methods for Portfolios and American Options
17:00
Dinner (Hosted by IPAM)

Tuesday, January 9, 2001

Morning Session

09:00-09:45
Benoit Mandelbrot (Yale University)
Extreme Changes in Financial Prices: The Multifractal Model
09:45-10:15
Break
10:15-11:15
Steven Shreve (Carnegie Mellon University)
A Unifying Model for Credit Derivatives
11:15-12:00
Eduardo Schwartz (University of California, Los Angeles (UCLA))
Valuing American Options By Simulation: A Simple Least-Squares Approach

Afternoon Session

12:00-14:00
Lunch (on your own)
14:00-15:00
John Moody (University of California at Berkeley)
Minimizing Downside Risk via Reinforcement Learning
15:00-15:45
René Carmona (Princeton University)
Particle Filtering and Applications in Finance
15:45-16:15
Break
16:15-17:00
Michael Brennan (UCLA)
Dynamic Asset Allocation under Inflation

Wednesday, January 10, 2001

Morning Session

09:00-09:45
Ronald Dembo (Algorithmics)
The Measurement and Management of Enterprise Risk
09:45-10:15
Break
10:15-11:15
Marek Musiela (Paribas, London)
Pricing of Derivatives Written on Non-Traded Assets
11:15-12:00
Thaleia Zariphopoulou (University of Texas at Austin)
Valuation of Unhedgeable Risk

Afternoon Session

12:00-14:00
Lunch (on your own)
14:00-15:00
Albert Shiryaev (Steklov Mathematical Institute)
A New Modification of the Russian Option: Considerations Under a Possibility of a Default
15:00-16:00
Steven Kou (Columbia University)
Option Pricing Under a Double Exponential Jump Diffusion Model
16:00
Shuttle bus to Santa Monica Pier will return at 9pm

Thursday, January 11, 2001

Morning Session

09:00-09:45
Ronald Lagnado (MKI Rish)
Estimating Credit Exposure and Economic Capital with Monte Carlo Simulation
09:45-10:15
Break
10:15-11:15
David Heath (Carnegie Mellon University)
Risk Management Using Coherent Measures of Risk
11:15-12:00
Eric Reiner (UBS)
Convolution Methods for Path-Dependent Options

Afternoon Session

12:00-14:00
Lunch (on your own)
14:00-15:00
Ioannis Karatzas (Columbia University)
Consumption/Portfolio Optimization with Habit-Formation
15:00-15:45
George Papanicolaou (Stanford University)
Portfolio Optimization and Stochastic Volatility
15:45-16:15
Break
16:15-17:00
Darrell Duffie (Stanford University)
Valuation in Dynamic Bargaining Markets
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