THEMATIC PROGRAMS

September 19, 2014

Numerical and Computational Challenges in Science and Engineering

Week on Computational Challenges in Mathematical Finance
February 25 - March 1, 2002

This week starts off with a two day short course on PDE methods for path dependent options , followed by a three day workshop on Computational Methods and Applications in Finance.

February 27 - March 1, 2002
Workshop on Computational Methods and Applications in Finance

Workshop Organizers:
Thomas Coleman (Cornell) coleman@cs.cornell.edu
Tom Hurd (McMaster) hurdt@mcmaster.ca
Peter Forsyth (Waterloo) paforsyt@elora.uwaterloo .ca
Ken Vetzal (Waterloo) kvetzal@watarts.uwaterloo.ca

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

Wednesday February 27

Session Chair: Ken Vetzal (Waterloo)

9:00-9:45

 

Leif Andersen (General Re Securities) landerse@genre.com
"Primal/dual simulation of high-dimensional American options"
(joint with M. Broadie)

9:45-10:30

 

Philip Protter (Cornell) protter@orie.cornell.edu
"The Longstaff-Schwartz algorithm for pricing American options actually works"

10:30-11:00

Break

11:00-11:45

Adam Kolkiewicz (Waterloo) wakolkiewicz@setosa.uwaterloo.ca
"Pricing American style contracts on multiple assets using simulations"

11:45-1:30

Lunch
Session Chair: Peter Forsyth(Waterloo)

1:30-2:15

Paul Glasserman (Columbia) pg20@columbia.edu
"Cap and Swaption Approximations in LIBOR Market Models with Jumps"

2:15-3:00

Petter Wiberg (University of Toronto) wiberg@cs.toronto.edu
"Dimension reduction in the computation of value-at-risk"

3:00-3:30

Break
3:30-4:15 Claudio Albanese (MathPoint and University of Toronto)
albanese@math.toronto.edu
"Jumps, stochastic volatility and the method of lines"
Thursday February 28
Session Chair: Thomas Coleman (Cornell)

9:00-9:45

 

Juergen Topper (Andersen, Germany)
juergen.topper@de.arthurandersen.com
"Worst-case pricing of multi-asset options"

9:45-10:30

 

David Pooley (Waterloo) dmpooley@elora.uwaterloo.ca
"Convergence of numerical methods for uncertain
volatility models"

10:30-11:00

Break

11:00-11:45


William F. Shadwick (The Finance Development Centre Limited, London)shadwick@dial.pipex.com
"Business/modelling issues in Option Pricing"

11:45-1:30

Lunch
Session Chair: Jason Breckenridge (RBC Financial Group)

1:30-2:15

Yong Wang (RBC Financial Group, Toronto) yong.wang@royalbank.com
"Risk decomposition"

2:15-3:00

Dan Rosen (Algorithmics) drosen@algorithmics.com
"Advanced methods for pricing and managing loan portfolios"

3:00-3:30

Break
3:30-4:15 Stanislav Uryasev (University of Florida) uryasev@ise.ufl.edu
"Risk management using conditional Value-at-Risk"
4:15-6:30 Reception
Friday March 1
Session Chair: Ken Jackson (Toronto)

9:00-9:45

 

Robert Almgren (University of Toronto) almgren@math.toronto.edu
"Optimal execution with nonlinear cost functions and trading-enhanced risk"

9:45-10:30

 

Yuying Li (Cornell) yuying@cs.cornell.edu
(joint with T. Coleman, C. Patron)
"Discrete Hedging Using Piecewise Linear Risk Minimization"

10:30-11:00

Break

11:00-11:45

Peter Carr (Courant Institute, NYU) pcarr@nyc.rr.com
"Derivatives, Duality, and Time Reversal"

11:45-1:30

Lunch
Session Chair: Tom Hurd (McMaster)

1:30-2:15

Alexander Eydeland (Mirant Corporation)
alexander.eydeland@mirant.com
"Computational challenges in energy derivatives"

2:15-3:00

Tony Ware (University of Calgary) ware@math.ucalgary.ca
"Partial differential equation techniques for nergy contracts"

3:00-3:30

Break
3:30-4:15 Matt Davison (Western Ontario) mdavison@julian.uwo.ca
"Pricing swing options: numerical approaches"

 


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)

For additional accommodation resources, please see the Fields Housing page