|Registration Deadline:||April 01, 2001 over 20 years ago|
|To apply for Funding you must register by:||December 30, 2000 over 20 years ago|
This conference is co-sponsored by the JOURNAL OF COMPUTATIONAL FINANCE. PLEASE NOTE: There is a registration fee of US$395 for this conference. This fee may be paid in advance by Visa or Mastercard or check, or at the door by check only. Randomized algorithms have been used in finance for many years; the most famous example being the Monte Carlo techniques that have been used in many contexts. This conference will focus on the latest advances, with talks by leading experts in academia and industry. There will be tutorials on Friday, March 30, and research talks on Saturday and Sunday (March 31 and April 1). The tutorials will be held at MSRI in Berkeley, and the research talks will be held in San Francisco. Participants could stay either in Berkeley or in San Francisco; transportation will be arranged as needed. Tutorials: Friday, March 30, will be devoted to four tutorials aimed at introducing the audience to important ideas in the field: 9:00 -10:30 am -- Phelim Boyle: "Applications of the Monte Carlo method in finance" 10:30am -12:00 noon -- Claudia Kluppelberg: "Extreme value statistics in finance" 1:30-3:00 pm -- Francis Longstaff: "Solving American option and portfolio choice problems using the Least Squares Monte Carlo (LSM) Algorithm" 3:30-5:00 pm -- Alistair Sinclair: "Markov Chain Monte Carlo methods" Research talks: The program for Saturday and Sunday, March 31 and April 1, will consist of cutting-edge talks on the latest advances in Extreme Value Theory, Auction Theory, High-Dimensionality Problems, and Numerical Solutions of Stochastic Differential Equations applied to a large array of financial problems, including Credit Derivatives, Risk Management, and Mortgage-backed Securities. The speakers will include:
- Marco Avellaneda, New York University
- Peter Carr, Bank of America Securities
- Michael Dempster, University of Cambridge
- Jin Duan, Hong Kong University of Science and Technology, and the University of Toronto
- Eckhard Platen, University of Technology, Sydney
- Pedro Santa-Clara, UCLA
- Domingo Tavella, Octanti Associates
- Didier Vermeiren, Octanti Associates
Location: The Friday tutorials will be held at the Mathematical Sciences Research Institute in Berkeley, California, on the University of California campus. The research talks on Saturday and Sunday will be held in the Hyatt Regency Embarcadero in San Francisco. Transportation between Berkeley and San Francisco will be arranged as needed so that participants can stay in hotels in either city. Fee: The registration fee is $395. There is partial financial support available, for the registration fee, travel, and lodging, for students and others without other sources of support; please apply as part of the on-line registration. Funded in part by the National Security Agency.Show less
To apply for funding, you must register by the funding application deadline displayed above.
Students, recent Ph.D.'s, women, and members of underrepresented minorities are particularly encouraged to apply. Funding awards are typically made 6 weeks before the workshop begins. Requests received after the funding deadline are considered only if additional funds become available.
MSRI does not hire an outside company to make hotel reservations for our workshop participants, or share the names and email addresses of our participants with an outside party. If you are contacted by a business that claims to represent MSRI and offers to book a hotel room for you, it is likely a scam. Please do not accept their services.
MSRI has preferred rates at the Hotel Shattuck Plaza, depending on room availability. Guests can call the hotel's main line at 510-845-7300 and ask for the MSRI- Mathematical Science Research Institute discount. To book online visit this page (the MSRI rate will automatically be applied).
MSRI has preferred rates at the Graduate Berkeley, depending on room availability. Reservations may be made by calling 510-845-8981. When making reservations, guests must request the MSRI preferred rate. Enter in the Promo Code MSRI123 (this code is not case sensitive).
MSRI has preferred rates at the Berkeley Lab Guest House, depending on room availability. Reservations may be made by calling 510-495-8000 or directly on their website. Select "Affiliated with the Space Sciences Lab, Lawrence Hall of Science or MSRI." When prompted for your UC Contact/Host, please list Chris Marshall (email@example.com).
MSRI has a preferred rates at Easton Hall and Gibbs Hall, depending on room availability. Guests can call the Reservations line at 510-204-0732 and ask for the MSRI- Mathematical Science Research Inst. rate. To book online visit this page, select "Request a Reservation" choose the dates you would like to stay and enter the code MSRI (this code is not case sensitive).
Additional lodging options may be found on our short term housing page.
Mar 30, 2001
Mar 31, 2001
Apr 01, 2001