THEMATIC PROGRAMS

October  1, 2014

Program in Probability and Its Applications

Symposium on Numerical Stochastics in Finance -- April 19, 1999
and
Workshop on Numerical Methods and Stochastics -- April 20 - 23, 1999


Symposium on Numerical Stochastics in Finance
Schedule

MONDAY, APRIL 19, 1999
8:30-9:30 REGISTRATION at Fields Reception Desk
9:30-10:45 Phelim Boyle (University of Waterloo)
"Introduction to Modern Finance"
10:45-11:00 Coffee Break
11:00-12:00 Pierre L'Ecuyer(Université de Montréal)
"Monte Carlo and Quasi-Monte Carlo Methods"
12:00-1:30 Lunch
1:30-2:30 Dietmar Leisen (Stanford University)
"Continuous-Time Finance and Its Approximations"
2:30-2:45 Coffee Break
2:45-3:45 Philip Protter (Purdue University)
"Numerical Methods for Stochastic Differential Equations arising in Finance"
4:00-5:00 Panel discussion: "Directions in Research"

Workshop on Numerical Methods and Stochastics

Tuesday April 20 - Friday April 23, 1999

SCHEDULE


TUESDAY APRIL 20, 1999
9:45-10:45 Terry Lyons (Imperial College, London)
"Mathematical problems in numerical stochastic analysis"
10:45-11:00 Coffee Break
11:00-12:00 Philip Protter (Purdue University)
"Some recent results concerning numerical methods for stochastic differential equations"
12:00-1:30 Lunch
1:30-2:30 Prof. J.B. Walsh (University of British Columbia)
"Stochastic Partial Differential Equations"
2:30-3:00 Coffee Break
3:00-4:00 Jessica Gaines(University of Edinburgh)
"Discretisation methods for numerical solution of SDE's and SPDE'S"
4:00-5:30 Reception
WEDNESDAY APRIL 21, 1999
9:45-10:45 Dan Crisan (University of Cambridge)
"Numerical methods for solving the stochastic filtering problem"
10:45-11:00 Coffee Break
11:00-12:00 Pierre Del Moral (Université Paul Sabatier)
"Genetic/particle algorithms and their application to integration of functionals in high dimensions"
12:00-1:30 Lunch
1:30-2:30 Laurent Miclo (Université de Toulouse)
"Time-continuous interacting particle approximations of Feynman-Kac formulae"
2:30-3:00 Coffee Break
3:00-4:00 Alice Guionnet (Université de Paris Sud)
"Particle systems approximations of non-linear differential equations I"
THURSDAY APRIL 22, 1999
9:45-10:45 Pierre Del Moral (Université Paul Sabatier)
"Branching and Interacting Particle Systems Approximations of Feynman-Kac Formulae with Applications to Non Linear Filtering"
10:45-11:00 Coffee Break
11:00-12:00 Alice Guionnet (Université de Paris Sud)
"Particle systems approximations of non-linear differential equations II "
12:00-1:30 Lunch
1:30-2:30 Dan Crisan (University of Cambridge)
"Optimal filtering on binary trees"
2:30-3:00 Coffee Break
3:00-4:00 Frederi Viens (University of North Texas)
"Simulating the fast dynamo problem for stochastic magneto-hydrodynamics via discretized Feynman-Kac formulae"
FRIDAY APRIL 23, 1999
9:45-10:45 Jessica Gaines(University of Edinburgh)
"Optimal convergence rates of discretisation methods for parabolic SPDE's"
10:45-11:00 Coffee Break
11:00-12:00 Prof. J.B. Walsh (University of British Columbia)
"Brownian motion and convergence rates of binomial tree methods"
12:00-1:30 Lunch
1:30-2:30 Terry Lyons (Imperial College, London)
"Rough paths and variable steps in the numerical analysis of fractional and classical stochastic processes"
2:30-3:00 Coffee Break