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Program in Probability and Its Applications
Workshop on Probability in Finance
Tuesday January 26, 1999 -- Saturday January 30, 1999
Organizing Committee
C. Albanese (University of Toronto), D. Dawson (Fields Institute),
H. Föllmer (Humboldt Universität), P.E. Greenwood (University
of British Columbia), T. Kurtz (University of Wisconsin), T.
Lyons (Imperial College), D. Salopek (York University).
The aim of this workshop is to gather leading theoreticians, practitioners,
and other banking professionals to discuss open problems in Interest
Rates and Currency Models, Risk Management, and Derivative Pricing.
In addition, we are planning to have two panel discussions on the two
latest important applications in financial engineering, Credit Risk
and the Interplay of Finance and Insurance. These panel discussions
are to take stock of the industry's development in the past decade as
well as to debate the likely trends into the next century.
Confirmed speakers:
- Michel Crouhy (CIBC),
- Mark Davis (Mitsubishi Bank),
- Freddy Delbaen (ETH, Zurich),
- Ron Dembo (Algorithmics Incorporated)
- Darrel Duffie (Stanford),
- Daniel Dufresne (University of Melbourne)
- Robert Elliot University of Alberta
- Paul Embrechts (ETH, Zurich),
- Hans Föllmer (Humboldt Universität - Berlin)
- Helyette Geman (Univ. Paris IX Dauphine and ESSEC)
- David Heath (Cornell University),
- John Hull (University of Toronto),
- Ioannis Karatzas (Columbia University),
- Alexander Levin (Bank of Montreal)
- Andrew Lo (MIT),
- L.C.G. Rogers (University of Bath),
- Stephen Ross (MIT),
- Steve Shreve (Carnegie Mellon University),
- Stuart Turnbull (CIBC),
Contributed Talks
- T. Bielecki (Northeastern Illinois University)
- H. Shirakawa (Tokyo Institute of Technology)
- L. Overbeck (Deutsche Bank AG)
- B. Höjgaard (Aalborg University)
Other highlights will include a poster session on January 27, 1999
with prizes for best graduate student poster and postdoctoral fellow
poster; commerical displays, reception, and more.
Other events during this period,connected with the workshop, include:
- the Kolmogorov Lecture, by Professor Hans Föllmer (Humboldt
Universität), on January 26, 1999
- A Topics Course in Stochastic Analysis and the Mathematics of Finance
in the Winter term of 1999.
This course will be taught in four sections by the following:
- R.J. Elliott (Hidden Markov Estimation and Financial Modelling
- January),
- R. Norvaisa (p-variation and its Applications - February),
- D.M. Salopek (Finance and Insurance - March), and
- T. Lyons (Ito Functionals and Applications - April).
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