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Organizers:
and
George
C. Papanicolaou
Robert
Grimmett Professor in Mathematics
Mathematics Department
Stanford University
papanico@math.stanford.edu
http://georgep.stanford.edu
Another aspect of the program in Quantitative Finance and Econometrics is the implementation of models as numerical algorithms and the building of software applications. Financial models for asset pricing need to be versatile in terms of data input, fault tolerant and fast. These stringent requirements often challenge researchers and developers of financial software. The development of software requires, therefore, an understanding of the capabilities of businesstype computers, how data is accessed and how mathematical models are implemented at the level of algorithms. By inviting some of the leading practitioners in the area of financial algorithms and software companies, we hope to showcase the stateoftheart in financial engineering.
Mathematical Areas of Relevance:




MONDAY,
MAY 3 All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 


8:30  Coffee and Registration  Reception Room EE/CS 3176 

9:15  Douglas N. Arnold, Scot Adams, and Organizers  Welcome and Introduction  
9:30  Joseph
Langsam Morgan Stanley 

10:20  

10:30  Coffee Break  Reception Room EE/CS 3176  
11:00  Steven
E. Shreve Carnegie Mellon University 

11:50  

12:00  Lunch
Break 

1:30  Philip
H. Dybvig Washington University 
Mandatory or Voluntary Retirement Slides: pdf 

2:20  

2:30  Coffee Break  Reception Room EE/CS 3176  
3:00  SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, reframe their main points, look toward future directions.  
3:30  
3:40  IMA
Tea and more (with POSTER SESSION)


TUESDAY,
MAY 4 All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 

9:00  Coffee  Reception Room EE/CS 3176  
9:30  JeanPierre
Fouque North Carolina State University 
Slides: pdf 

10:20  

10:30  Coffee Break  Reception Room EE/CS 3176  
11:00  Yong
Zeng University of Missouri at Kansas City 
A General Equilibrium Model of the Term Structure of Interest Rates Under RegimeSwitching Risk 

11:50  

12:00  Lunch
Break 

1:30  David
C. Heath Carnegie Mellon University 

2:20  

2:30  Coffee Break  Reception Room EE/CS 3176  
3:00  SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, reframe their main points, look toward future directions.  
3:30  walk along the Mississippi, weather permitting  
WEDNESDAY,
MAY 5 All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 

9:00  Coffee  Reception Room EE/CS 3176  
9:30  Ron
S. Dembo Algorithmics Incorporated 
Risk Measurement; Risk Architecture and the Bank of the Future 

10:20  

10:30  Coffee Break  Reception Room EE/CS 3176  
11:00  Paul
Glasserman Columbia University 
Monte Carlo Pricing of American Options: Overview and New Results 

11:50  

12:00  Lunch
Break 

1:30  Pierre
CollinDufresne University of California, Berkeley 

2:20  

2:30  Coffee Break  Reception Room EE/CS 3176  
3:00  SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, reframe their main points, look toward future directions.  
THURSDAY,
MAY 6
All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 

9:00  Coffee  Reception Room EE/CS 3176  
9:30  Curtis
Randall SciComp Inc. 
Software Synthesis  Pricing without Programming  
10:20  

10:30  Coffee Break  Reception Room EE/CS 3176  
11:00  Gregory
R. Duffee University of CaliforniaBerkeley 
Estimation of Dynamic Term Structure Models Slides:
duffee_ima_present.pdf 

11:50  

12:00  Lunch
Break 

1:30  Dmitry
Kramkov Carnegie Mellon University 
RiskTolerance Wealth Processes and Sensitivity Analysis of Utility Based Prices Slides: pdf 

2:20  

2:30  Coffee Break  Reception Room EE/CS 3176  
3:00  SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, reframe their main points, look toward future directions.  
6:00  Workshop Dinner  Mangia
Restaurant 1501 University Avenue 

FRIDAY,
MAY 7
NOTE THE ABBREVIATED SCHEDULE FOR FRIDAY; FIRST TALK AT 9:10 All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 

9:00  Coffee  Reception Room EE/CS 3176  
9:10  Srdjan
D. Stojanovic University of Cincinnati 
Pricing Options Under Stochastic Volatility: Complete Solution Paper: pdf 

10:00  

10:10  Coffee Break  Reception Room EE/CS 3176  
10:20  Louis
Scott Morgan Stanley & Co. 
Stochastic Volatility and Jumps: Risk Management and Hedging Strategies Slides: LOS_Slides_SVJ_2004.pdf 

11:10  
11:20  Coffee Break  Reception Room EE/CS 3176  
11:30  SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, reframe their main points, look toward future directions.  
11:50  

12:00 
NAME  DEPARTMENT  AFFILIATION 

Scot Adams  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Greg Anderson  School of Mathematics  University of Minnesota, Twin Cities 
Douglas Arnold  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Donald Aronson  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Gerard Awanou  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
HeeJeong Baek  Department of Mathematics  Seoul National University 
Karen Ball  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Antar Bandyopadhyay  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Peter Bank  Department of Mathematics  HumboldtUniversität 
Luca Benzoni  University of Minnesota, Twin Cities  
Maury Bramson  School of Mathematics  University of Minnesota, Twin Cities 
Olga Brezhneva  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Colette Calmelet  Department of Physics and Mathematics  Tennessee State University 
Rene Carmona  Operations Research and Financial Engineering  Princeton University 
James Carson  RisQuant Energy  
Pin Chung  Investment and Risk Management  Chung ALM 
Gregory Ciresi  Department of Mathematics  New York University 
Pierre CollinDufresne  Graduate School of Industrial Administration  Carnegie Mellon University 
Peter Cotton  Morgan Stanley  
Ron Dembo  Algorithmics Incorporated  
Greg Duffee  University of California, Berkeley  
Philip Dybvig  School of Business  Washington University 
Hans Foellmer  Institut für Mathematik  HumboldtUniversität 
JeanPierre Fouque  Department of Mathematics  North Carolina State University 
Peter Fraenkel  Quantitative Programming  Morgan Stanley 
Shmuel Friedland  Department of Mathematics, Statistics, and Computer Science  University of Illinois, Chicago 
Tim Garoni  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Paul Glasserman  Business School  Columbia University 
Anne Gundel  Institute for Mathematics  HumboldtUniversität 
ChuanHsiang Han  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
David Heath  Department of Mathematical Sciences  Carnegie Mellon University 
Ulrich Horst  Institut für Mathematik  HumboldtUniversität 
Julien Hugonnier  Department of Mathematical Finance  HEC Montreal 
Naresh Jain  School of Mathematics  University of Minnesota, Twin Cities 
Karel Janecek  Department of Mathematical Sciences  Carnegie Mellon University 
Lili Ju  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Yakov Kanter  Morgan Stanley  
Mohammad Khan  Department of Mathematics  Kent State University 
HyeRyoung Kim  Seoul National University  
Igor Kojanov  Carlson School of Management  University of Minnesota, Twin Cities 
Dmitry Kramkov  Center for Computational Finance  Carnegie Mellon University 
Thomas Kurtz  Department of Mathematics  University of Wisconsin, Madison 
Joseph Langsam  Morgan Stanley  
Bernard Lapeyre  CERMICS  École Nationale des PontsetChaussées 
Jeong Lee  Department of Mathematics  Seoul National University 
GuangTsai Lei  Physiology and Biophysics  Mayo Clinic 
Michael Ludkovski  Department of Operations Research and Financial Engineering  Princeton University 
Richard McGehee  School of Mathematics  University of Minnesota, Twin Cities 
Oana Mocioalca  Department of Mathematics  Purdue University 
Gary Nan Tie  Investment Department  The St. Paul Companies 
Amir Niknejad  Department of Mathematics  University of Illinois, Chicago 
George Papanicolaou  Department of Mathematics  Stanford University 
Lea Popovic  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Curtis Randall  SciComp Inc.  
Grzegorz Rempala  Department of Mathematics  University of Louisville 
Luis Roman  Department of Mathematical Sciences  Worcester Polytechnic Institute 
Mathias Rousset  Lab. statistique et probabilités  Université de Toulouse III (Paul Sabatier) 
Fadil Santosa  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Arnd Scheel  School of Mathematics  University of Minnesota, Twin Cities 
Louis Scott  Morgan Stanley  
Sashirekha Shanmugavelu  Department of Computer Engineering  University of Minnesota, Twin Cities 
Steven Shreve  Department of Mathematical Sciences  Carnegie Mellon University 
Mihai Sirbu  Department of Mathematical Sciences  Carnegie Mellon University 
Srdjan Stojanovic  Department of Mathematical Sciences  University of Cincinnati 
Hui Wang  Division of Applied Mathematics  Brown University 
Xiaodi Wang  Department of Mathematics  Western Connecticut State University 
Lin Xu  Department of Fixed Income  Morgan Stanley 
Yuhong Yang  Department of Statistics  Iowa State University 
Ofer Zeitouni  School of Mathematics  University of Minnesota, Twin Cities 
Yong Zeng  Department of Mathematics & Statistics  University of Missouri 
Jun Zhao  Institute of Mathematics and its Application  University of Minnesota, Twin Cities 
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