THEMATIC PROGRAMS

October 31, 2014

Program in Probability and Its Applications

Probability In Finance Workshop
Tuesday, January 26 to Saturday, January 30, 1999

SCHEDULE

To Preview Speaker Abstracts: Click Here



TUESDAY, JANUARY 26, 1999
8:00-9:00 REGISTRATION at Royal Ontario Museum Entrance
9:00-9:15 Welcome Remarks
9:15-10:15 Andrew W. Lo (MIT)
When is Time Continuous?
10:15-10:45 Coffee Break
10:45-11:45 Ioannis Karatzas (Columbia University)
Dynamic Measures of Market-Risk
11:45-1:00 Lunch
1:00-1:30 Contributed Talk: H. Shirakawa (Tokyo Institute of Technology)
Evaluation of Yield Spread for Credit Risk
1:30-2:00 Contributed Talk: T. Bielecki (Northeastern Illinois University)
Recent Results in Credit Risk Modeling: A Multiple Credit Ratings Case
2:00-3:00 L.C.G. Rogers (University of Bath, England)
Designing and Estimating Models of High-Frequency Data
3:00-3:30 Afternoon Tea/Coffee
Kolmogorov Lecture Series
3:30-4:30 Hans Foellmer (Humboldt Universitaet - Berlin)
Probabilistic Problems Arising From Finance
WEDNESDAY, JANUARY 27, 1999 [INTEREST RATE]
9:00-10:00 Robert Elliott (University of Alberta)
Affine Bond Processes and Stochastic Flows
10:00-10:30 Coffee Break
10:30-11:30 David C. Heath (Cornell University / CMU)
Futures-Based Term Structure Models
11:30-1:00 Lunch
1:00-2:00 M. Davis (Tokyo-Mitsubishi International, London)
Valuation of Convertible Bonds
2:00-3:00 Darell Duffie (Stanford University)
Correlated Default Timing and Valuation
3:00-4:30 Free Time at the ROM / Collaboration Time
Monthly Financial Seminar Series Lecture
4:30-5:30 Stephen Ross (MIT)
Topics in Finance
6:00-7:30 POSTER SESSION AND RECEPTION AT THE FIELDS INSTITUTE
(222 College Street, 2nd Floor, Toronto, Ontario)
THURSDAY, JANUARY 28, 1999 [CREDIT AND LIQUIDITY]
9:00-10:00 Michel Crouhy (CIBC)
A Comparative Analysis of Credit Risk Models and Thoughts for Future Research
10:00-10:30 Coffee Break
10:30-11:30 Alexander Levin and Alexander Tchernitser (Bank of Montreal)
Multifactor Stochastic Variance Value-at-Risk Model
11:30-1:00 Lunch
1:00-2:00 Ron Dembo (Algorithmics Inc.)
Liquidity And The True Simulation of Dynamic Portfolio Risk
2:00-3:00 Stuart Turnbull (CIBC)
The Intersection of Market and Credit Risk
3:00-3:30 Afternoon Tea/Coffee
3:30-4:30 Panel Discussion
4:30-7:30 RECEPTION AT ALGORITHMICS INC.
FRIDAY, JANUARY 29, 1999 [DERIVATIVES]
9:00-10:00 Steven E. Shreve (Carnegie Mellon University)
Pricing and Hedging Dangerous Exotic Options
10:00-10:30 Coffee Break
10:30-11:30 Helyette Geman (University of Paris Dauphine and ESSEC)
Stochastic Time Changes and Asset Price Modeling
11:30-1:00 Lunch
1:00-1:30 Contributed Talk: L. Overbeck (Deutsche Bank AG)
Credit Portfolio Risk Management Based on Coherent Risk Measure
1:30-2:00 Contributed Talk: B. Hoejgaard (Aalborg University)
Optimal Risk Control and Dividend Distribution Policies For Insurance Corporations
2:00-3:00 Freddy Delbaen (ETH, Zurich)
Bessel Processes and Passport Options
3:00-3:30 Afternoon Tea/Coffee
3:30-4:30 John Hull (University of Toronto)
Calculating Value at Risk
6:00-9:30 BANQUET
(Oakam House, 63 Gould Street, Toronto)
$50.00 per person. Payment by Visa, Mastercard, Cheque or Cash
during Workshop Registration on January 26, from 8:00 am - 3:00 pm
SATURDAY, JANUARY 30, 1999 [CATASTROPHIC RISK]
9:00-10:00 Paul Embrechts (ETH, Zurich)
What Financial Risk Managers Can Learn From Actuaries
10:00-10:30 Coffee Break
10:30-11:30 Daniel Dufresne (University of Melbourne)
Laguerre Series for Asian Options
11:30-1:00 Lunch
1:00-2:30 Panel Discussion
2:30- Afternoon Tea and End of Conference