April 18, 2014

Program in Probability and Its Applications

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


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"