Workshop on Computational Methods in Finance
Description
Topics
- portfolio optimization and control
- optimal execution
- derivatives and credit risk
- risk measurement
- numerical analysis
Invited Speakers (talk titles and abstracts) |
|
| Liming Feng (Illinois) Peter Forsyth (Waterloo) Lorenzo Garlappi (UBC) Jim Gatheral (Merrill Lynch) Kay Giesecke (Stanford) Mike Giles (Oxford) Garud Iyengar (Columbia) Petter Kolm (NYU) Ralf Korn (TU Kaiserslautern) |
Ciamac Moallemi (Columbia) Kumar Muthuraman (UT Austin) Phillip Protter (Cornell) Chris Rogers (Cambridge) Birgit Rudloff (Princeton) Georgios Skoulakis (Maryland) Jeremy Staum (Northwestern) Nizar Touzi (Ecole Polytechnique) |
Schedule
| 08:50 to 09:00 |
Welcome and Introductions
|
| 09:00 to 09:45 |
Ralf Korn, Technische Universität Kaiserslautern |
| 09:45 to 10:30 |
Kumar Muthuraman, University of Texas at Austin |
| 10:30 to 11:00 |
Coffee Break
|
| 11:00 to 11:45 |
Numerical Simulation of Free Boundary via Integral Equations
John Chadam, (University of Pittsburgh) |
| 11:45 to 12:30 |
Georgios Skoulakis, Lorenzo Garlappi, University of British Columbia |
| 12:30 to 14:00 |
Lunch Break
|
| 14:00 to 15:00 |
Afternoon discussion
|
| 15:00 to 15:30 |
Afternoon Break
|
| 15:30 to 16:15 |
Jeremy Staum, Northwestern University |
| 16:15 to 17:00 |
Birgit Rudloff |
| 17:00 to 18:00 |
Reception
|
| 09:00 to 09:45 |
Ciamac Moallemi, Columbia Business School |
| 09:45 to 10:30 |
Jim Gatheral, Baruch College - The City of University of New York |
| 10:30 to 11:00 |
Coffee Break
|
| 11:00 to 11:45 |
Petter Kolm, New York University |
| 11:45 to 12:30 |
Chris Rogers, University of Nevada, Reno |
| 12:30 to 14:00 |
Lunch Break
|
| 14:00 to 15:00 |
Afternoon Discussion
Mike Giles, University of Oxford |
| 15:00 to 15:30 |
Afternoon Break
|
| 15:30 to 16:15 |
Kay Giesecke, Infima Technologies and Stanford University |
| 16:15 to 17:00 |
Liming Feng, University of Illinois |
| 18:00 to 20:00 |
Workshop Banquet at Joe Badali's - cash bar 156 Front St. West $45
|
| 09:00 to 09:45 |
Mike Giles, University of Oxford |
| 09:45 to 10:30 |
Peter Forsyth, University of Waterloo |
| 10:30 to 11:00 |
Coffee Break
|
| 11:00 to 11:45 |
Nizar Touzi, Ecole Polytechnique |
| 11:45 to 12:30 |
Philip Protter, Columbia Business School |
