Logo

Mathematical Sciences Research Institute

Home » Workshop » Schedule

Schedule, Notes/Handouts & Videos

Conference on Randomized Algorithms in Finance March 30, 2001 - April 01, 2001

Show All Collapse
Mar 30, 2001
Friday
09:00 AM - 10:30 AM
  Applications of the Monte Carlo method in finance
Phelim Boyle (University of Waterloo)
10:30 AM - 01:30 PM
  Extreme value statistics in finance
Claudia Kluppelberg (TU M√ľnchen)
01:30 PM - 03:30 PM
  Solving American option and portfolio choice problems using the Least Squares Monte Carlo (LSM) Algorithm
Francis Longstaff
03:30 PM - 04:30 PM
  Markov Chain Monte Carlo methods
Alistair Sinclair (University of California, Berkeley)
Mar 31, 2001
Saturday
09:00 AM - 10:30 AM
  Arbitrage pricing of equity basket options
Marco Avellaneda
10:30 AM - 11:30 AM
  Modeling complex insurance contracts
Domingo Tavella (University of California, Berkeley)
11:30 AM - 02:30 PM
  Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Pedro Santa Clara
02:30 PM - 04:00 PM
  Risk premium and pricing of derivatives in complete markets
Jin-Chuan Duan
04:00 PM - 05:00 PM
  Wavelet-based PDE and fast Monte Carlo valuation of complex derivatives
Michael Dempster
Apr 01, 2001
Sunday
09:00 AM - 10:30 AM
  Early stopping in financial simulations
Jeremy Staum
10:30 AM - 11:30 AM
  The challenges of simulating portfolio credit risk
Didier Vermeiren
11:30 AM - 12:30 PM
  Numerical solution of stochastic differential equations with applications in finance
Eckhard Platen