Workshop on Computational Methods and Applications in Finance

February 25 - March 1, 2002, The Fields Institute

Location: Fields Institute, Room 230

Description

Sponsors:

This workshop is sponsored by the Fields Institute, NSERC, and RBC Financial Group.

Overview:
This workshop will focus on some recent advances in numerical algorithms in finance, together with applications to problems of interest to practitioners.

Schedule of Speakers

Schedule

Wednesday, February 27th, 2002
09:00 to 09:45	"Primal/dual simulation of high-dimensional American options" Leif Andersen
09:45 to 10:30	"The Longstaff-Schwartz algorithm for pricing American options actually works" Philip Protter, Columbia Business School
10:30 to 11:00	Break
11:00 to 11:45	"Pricing American style contracts on multiple assets using simulations" Adam Kolkiewicz, University of Waterloo
11:45 to 13:30	Lunch
13:30 to 14:15	"Cap and Swaption Approximations in LIBOR Market Models with Jumps" Paul Glasserman, Columbia University
14:15 to 15:00	"Dimension reduction in the computation of value-at-risk" Petter Wiberg, Bank of Montreal
15:00 to 15:30	Break
15:30 to 16:15	"Jumps, stochastic volatility and the method of lines" Claudio Albanese, King's College London

Thursday, February 28th, 2002
09:00 to 09:45	"Worst-case pricing of multi-asset options" Jürgen Topper
09:45 to 10:30	"Convergence of numerical methods for uncertain volatility models" David Pooley, University of Waterloo
10:30 to 11:00	Break
11:00 to 11:45	"Business/modelling issues in Option Pricing" William F. Shadwick, Omega Analysis Limited
11:45 to 13:30	Lunch
13:30 to 14:15	"Risk decomposition" Yong Wang, Royal Bank of Canada
14:15 to 15:00	"Advanced methods for pricing and managing loan portfolios" Dan Rosen
15:00 to 15:30	Break
15:30 to 16:15	"Risk management using conditional Value-at-Risk" Stan Uryasev, University of Florida
16:15 to 18:30	Reception

Friday, March 1st, 2002
09:00 to 09:45	"Optimal execution with nonlinear cost functions and trading-enhanced risk" Rob Almgren, Princeton University
09:45 to 10:30	"Discrete Hedging Using Piecewise Linear Risk Minimization" Yuying Li, University of Waterloo
10:30 to 11:00	Break
11:00 to 11:45	"Derivatives, Duality, and Time Reversal" Peter Carr, Morgan Stanley and New York University
11:45 to 13:30	Lunch
13:30 to 14:15	"Computational challenges in energy derivatives" Alexander Eydeland
14:15 to 15:00	"Partial differential equation techniques for nergy contracts" Tony Ware, University of Calgary
15:00 to 15:30	Break
15:30 to 16:15	"Pricing swing options: numerical approaches" Matt Davison, Western University

Workshop Fee:
$150 including lunch and refreshments. Space limited to 100. Conference fees waived for employees of RBC Financial Group and subsidiaries.

Accommodation:

A block of rooms for participants have been arranged the hotels listed below. Please request the Fields Institute rate when booking . Rooms must be reserved before January 22, 2002 to receive the Fields rate.

Days Inn
30 Carleton Street,
Toronto, ON, M5B 2E9
Tel: 416 977-6655
Toll Free 1-800-367-9601 (8:30 am- 6pm)
(approx. $99/night CDN)

Quality Hotel
280 Bloor Street West
Toronto, ON, M5S 1V8
Tel: (416) 968-0010
Fax: (416) 968-7765
(approx. $125/night CDN)

Organizing Committee

Thomas Coleman - University of Waterloo

Peter Forsyth - University of Waterloo

Thomas Hurd - McMaster University and The Fields Institute

Ken Vetzal - University of Waterloo

Scheduled as part of

Thematic Year on Numerical and Computational Challenges in Science and Engineering

The Fields Institute for
Research in Mathematical Sciences

Workshop on Computational Methods and Applications in Finance

Description

Schedule

Organizing Committee

Scheduled as part of

People and Contacts

Calendar and Events