
THEMATIC PROGRAMS 

May 26, 2018  
Program in Probability and Its Applications Symposium on Numerical Stochastics in Finance  April
19, 1999

MONDAY, APRIL 19, 1999


8:309:30  REGISTRATION at Fields Reception Desk 
9:3010:45  Phelim Boyle (University of Waterloo) "Introduction to Modern Finance" 
10:4511:00  Coffee Break 
11:0012:00  Pierre L'Ecuyer(Université de Montréal) "Monte Carlo and QuasiMonte Carlo Methods" 
12:001:30  Lunch 
1:302:30  Dietmar Leisen (Stanford University) "ContinuousTime Finance and Its Approximations" 
2:302:45  Coffee Break 
2:453:45  Philip Protter (Purdue University) "Numerical Methods for Stochastic Differential Equations arising in Finance" 
4:005:00  Panel discussion: "Directions in Research" 
TUESDAY APRIL 20, 1999


9:4510:45  Terry Lyons (Imperial College, London) "Mathematical problems in numerical stochastic analysis" 
10:4511:00  Coffee Break 
11:0012:00  Philip Protter (Purdue University) "Some recent results concerning numerical methods for stochastic differential equations" 
12:001:30  Lunch 
1:302:30  Prof. J.B. Walsh (University of British Columbia) "Stochastic Partial Differential Equations" 
2:303:00  Coffee Break 
3:004:00  Jessica Gaines(University of Edinburgh) "Discretisation methods for numerical solution of SDE's and SPDE'S" 
4:005:30  Reception 
WEDNESDAY APRIL 21, 1999


9:4510:45  Dan Crisan (University of Cambridge) "Numerical methods for solving the stochastic filtering problem" 
10:4511:00  Coffee Break 
11:0012:00  Pierre Del Moral (Université Paul Sabatier) "Genetic/particle algorithms and their application to integration of functionals in high dimensions" 
12:001:30  Lunch 
1:302:30  Laurent Miclo (Université de Toulouse) "Timecontinuous interacting particle approximations of FeynmanKac formulae" 
2:303:00  Coffee Break 
3:004:00  Alice Guionnet (Université de Paris Sud) "Particle systems approximations of nonlinear differential equations I" 
THURSDAY APRIL 22, 1999


9:4510:45  Pierre Del Moral (Université Paul Sabatier) "Branching and Interacting Particle Systems Approximations of FeynmanKac Formulae with Applications to Non Linear Filtering" 
10:4511:00  Coffee Break 
11:0012:00  Alice Guionnet (Université de Paris Sud) "Particle systems approximations of nonlinear differential equations II " 
12:001:30  Lunch 
1:302:30  Dan Crisan (University of Cambridge) "Optimal filtering on binary trees" 
2:303:00  Coffee Break 
3:004:00  Frederi Viens (University of North Texas) "Simulating the fast dynamo problem for stochastic magnetohydrodynamics via discretized FeynmanKac formulae" 
FRIDAY APRIL 23, 1999


9:4510:45  Jessica Gaines(University of Edinburgh) "Optimal convergence rates of discretisation methods for parabolic SPDE's" 
10:4511:00  Coffee Break 
11:0012:00  Prof. J.B. Walsh (University of British Columbia) "Brownian motion and convergence rates of binomial tree methods" 
12:001:30  Lunch 
1:302:30  Terry Lyons (Imperial College, London) "Rough paths and variable steps in the numerical analysis of fractional and classical stochastic processes" 
2:303:00  Coffee Break 