January 19, 2017

Program in Probability and Its Applications

Symposium on Numerical Stochastics in Finance --
Monday April 19, 1999

Abstracts of Talks


Organizing Committee

T. Lyons (Imperial College)
T. Salisbury (York University)

A large part of modern financial theory is based on probabilistic models. Increasingly, sophisticated numerical techniques are being developed for the solution of concrete problems involving these models. This one-day symposium will survey current work in this area, and will attempt to focus attention on emerging topics of research.


  • Phelim P. Boyle (University of Waterloo)
  • Pierre L'Ecuyer (Université de Montréal)
  • Dietmar Leisen (Stanford University)
  • Philip Protter (Purdue University)

The symposium will conclude with a panel discussion on directions for research.

The Symposium focuses specifically on numerical problems arising in Finance. The general topic of numerical techniques in Probability theory is addressed in a workshop that immediately follows the Symposium:
Workshop on Numerical Methods and Stochastics, Tuesday, April 20 to Friday, April 23