July 21, 2024

Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010

March 22 - 24, 2010
Workshop on Computational Methods in Finance

Scientific Committee: Mark Broadie (co-chair), Paul Glasserman (co-chair), David Saunders, Stathis Tompaidis

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  • 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)

Workshop Schedule

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
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


Confirmed Participants as of March 26, 2010

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

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