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THEMATIC PROGRAMS |
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Thematic Program
on Quantitative Finance: Foundations and Applications January -
June, 2010
Scientific Committee: Mark Broadie (co-chair), Paul Glasserman (co-chair),
David Saunders, Stathis Tompaidis |
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) |
Monday March 22 | |
8:50 - 9:00 | Welcome and Introduction Workshop Organizers and Fields Director Ed Bierstone |
9:00 - 9:45 | Ralf Korn (TU Kaiserslautern) Recent advances in option pricing via binomial trees |
9:45 - 10:30 | Kumar Muthuraman (UT Austin) Moving boundary approaches for solving free-boundary problems |
10:30 - 11:00 | Coffee Break |
11:00 - 11:45 | John Chadam, (University of Pittsburgh) Numerical Simulation of Free Boundary via Integral Equations |
11:45 - 12:30 | Georgios Skoulakis & Lorenzo Garlappi Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method |
12:30 - 2:00 | Lunch Break |
2:00 - 3:00 | Afternoon discussion: Topics and Moderators tba |
3:00 - 3:30 | Coffee Break |
3:30 - 4:15 | Jeremy Staum (Northwestern) Déjà Vu All Over Again: Efficiency when Financial Simulations are Repeated |
4:15 - 5:00 | Birgit Rudloff (Princeton) Hedging and Risk Measurement under Transaction Costs |
5:00 - 6:00 | Reception- cash bar Fields Atrium |
Tuesday March 23 | |
9:00 - 9:45 | Ciamac Moallemi (Columbia) A multiclass queueing model of limit order book dynamics |
9:45 - 10:30 | Jim Gatheral (Merrill Lynch) Optimal order execution |
10:30 - 11:00 | Coffee Break |
11:00 - 11:45 | Petter Kolm (NYU) Algorithmic Trading: A Buy-Side Perspective |
11:45 - 12:30 | Chris Rogers (Cambridge) Convex regression and optimal stopping |
12:30 - 2:00 | Lunch Break |
2:00 - 3:00 | Afternoon discussion Mike Giles |
3:00 - 3:30 | Coffee Break |
3:30 - 4:15 | Kay Giesecke (Stanford) Asymptotically Optimal Importance Sampling For Dynamic Portfolio Credit Risk |
4:15 - 5:00 | Liming Feng (Illinois) Hilbert transform approach to options valuation |
6:00 | Workshop
Banquet at Joe Badali's - cash bar 156 Front St. West $45 |
Wednesday March 24 | |
9:00 - 9:45 | Mike Giles (Oxford) Progress with multilevel Monte Carlo methods |
9:45 - 10:30 | Peter Forsyth (Waterloo) Analysis of A Penalty Method for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB) |
10:30 - 11:00 | Coffee Break |
11:00 - 11:45 | Nizar Touzi (Ecole Polytechnique) A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs |
11:45 - 12:30 | Philip Protter (Cornell) Absolutely Continuous Compensators |
Full Name | University/Affiliation |
Alexandru-Gajura, Elena | McMaster University |
Assa, Hirbod | Université de Montréal |
Bayraktar, Erhan | University of Michigan |
Broadie, Mark | Columbia University |
Byelkina, Svitlana | Bank of Montreal |
Campolieti, Joe | Wilfrid Laurier University |
Capra, Mihaela | TD Bank |
Chadam, John | University of Pittsburgh |
Chellathurai, Thamayanthi | Canadian Imperial Bank of Commerce |
Chernyk, Donna | Springer Science + Business Media, LLC |
Dang, Duy Minh | University of Toronto |
Draviam, Thangaraj | |
Eberlein, Ernst | University of Freiburg |
Fahim, Arash | Ecole Polytechnique |
Fajardo, José | IBMEC |
Fayyad, Wael | McMaster University |
Feng, Liming | University of Illinois at Urbana-Champaign |
Ferrando, Sebastian | Ryerson University |
Forsyth, Peter | University of Waterloo |
Garlappi, Lorenzo | University of British Columbia |
Gatheral, Jim | Merrill Lynch & Co. Inc |
Gebbie, Tim | University of Witwatersrand |
Giesecke, Kay | Stanford University |
Giles, Mike | Oxford University |
Glasserman, Paul | Columbia University |
Grasselli, Matheus | McMaster University |
Ha, Eugene | Fields Institute |
Halevy, Itamar | |
Han, Meng | University of Toronto |
Heider, Pascal | Univerisity of Ulm |
Huang, Junming | University of Pittsburgh |
Hurd, Tom | McMaster University |
Hyndman, Cody | Concordia University |
Iyengar, Garud | Columbia University |
Jaimungal, Sebastian | University of Toronto |
Jun, Doobae | Sungkyunkwan University |
Kan, Kin Hung (Felix) | University of Western Ontario |
Kang, Wanmo | KAIST |
Kapchinsky, Michael | Toronto Dominion Bank |
Kim, Kyoung-kuk | Columbia Business School |
Knezevic, Nino | TD Bank |
Kolm, Petter | New York University |
Korn, Ralf | Universität Kaiserslautern |
Kreinin, Alexander | Algorithmics Incorporated |
Ku, Hyejin | York University |
Kua, Andrew | TD Bank |
Kuznetsov, Alexey | York University |
Lakhany, Asif | Algorithmics Incorporated |
Lee, Kiseop | University of Louisville |
Leung, Louis | University of Toronto |
Levin, Alex | RBC |
Li, Sebastian | University of Toronto |
Ludkovski, Mike | UC Santa Barbara |
Lukas, Mike | BMO |
Ma, Xiaofang | BMO |
Marada, Tomas | Vrije Universiteit Amsterdam |
Menard, Jocelyne | TD Bank |
Moallemi, Ciamac | Columbia University |
Morales, Manual | Université de Montréal |
Moreno, Santiago | Humboldt University Berlin |
Muhina, Irina | Manulife |
Müller, Stefanie | University of Kaiserslautern |
Muthuraman, Kumar | The University of Texas at Austin |
Niu, Shilei | University of Waterloo |
Ntantamis, Christos | Aarhus University |
Pal, Janos | Bank of Montreal |
Peng, Xianhua | Columbia University |
Pirvu, Traian | McMaster University |
Protter, Philip E. | Cornell University |
Rogers, Chris | University of Cambridge |
Romanyuk, Yuliya | Bank of Canada |
Rudloff, Birgit | Princeton University |
Salisbury, Thomas | York University |
Saunders, David | University of Waterloo |
Seydel, Ruediger | University of Cologne |
Shakourifar, Mohammad | University of Toronto |
Silla, Sebastiano | Polytechnic University of Marche |
Staum, Jeremy | Northwestern University |
Surkov, Vladimir | University of Western Ontario |
Tanaka, Keiichi | Tokyo Metropolitan University |
Tompaidis, Stathis | University of Texas at Austin |
Tourin, Agnes | |
Touzi, Nizar | Ecole Polytechnique |
Tsui, Lung Kwan | University of Pittsburgh |
Vaz, Anthony | Manulife Financial |
Vinogradov, Vladimir | Ohio University |
Walker, Michael | University of Toronto |
Wilcox, Diane | University of Witwatersrand |
Xing, Hao | Boston University |
Yi, Chuang | Bank of Montreal |
Zheng, Harry | Imperial College |
Zhou, Zhuowei | McMaster University |