<A HREF="http://finmath.com/">FinMath.com @ Chicago</A>
<A HREF="http://www.ipam.ucla.edu/programs/fm2001/">2001 Winter Program on
Financial Mathematics @ UCLA, Los Angeles</A>
FINANCIAL MATHEMATICS:
RISK MANAGEMENT, MODELING and NUMERICAL METHODS
IPAM Winter 2001 Program
Organizing Committee
Jaksa Cvitanic (University of Southern California),
Mark Broadie (Columbia University)
Program period: Jan. 3 - Jan. 12, 2001
This conference on Financial Mathematics: Risk Management, Modeling and
Numerical Methods will present recent advances in the field, including
mathematical modeling, model estimation, calibration and numerical
implementation for quantitative and computational risk management;
theoretical and empirical studies of credit risk, catastrophic and
re-insurance risks, Value-at-Risk and other measures of risk; derivatives
pricing in energy markets, emerging markets, and so on.
The program will take place at the Institute for Pure and Applied Mathematics
(IPAM), a new NSF mathematical sciences research institute located on the
UCLA campus. Mathematicians, statisticians, computer scientists, and
financial economists —from academia and from industry—are all invited to
attend.
Tutorial Lectures: Jan. 3 - Jan. 5
Professor Albert Shiryaev (Steklov Mathematical Institute and Moscow State
University):
Essentials of Stochastic Finance
Professor Marco Avellaneda (Courant Institute, NYU):
Risk Management and Hedging Derivative Securities
Confirmed speakers: Jan. 8 - Jan. 12
Benoit Mandelbrot, Opening Lecture (Yale University)
On "Risk Management and Measures of Risk"
Sid Browne (Goldman, Sachs & Co.)
Ron Dembo (Algorithmics Incorporated)
David Heath (Carnegie Mellon University)
Ioannis Karatzas (Columbia University)
Ron Lagnado (MKIRisk)
Stanley Pliska (University of Chicago at Illinois)
Thaleia Zariphopoulou (University of Texas at Austin & Univ. of Wisconsin,
Madison)
On "Modeling and Statistical Issues"
Rene Carmona (Princeton University)
Darrell Duffie (Stanford University)
Paul Embrechts (ETH, Zurich)
Steve Kou (Columbia University)
Andrew Lo (MIT)
Marek Musiela (BNP Paribas, London)
George Papanicolau (Stanford University)
Albert Shiryaev (Institute Steklov Mathematical and Moscow State University):
Steve Shreve (Carnegie Mellon University)
On "Numerical Methods"
Marco Avellaneda (Courant Institute, NYU)
Mark Broadie (Columbia University)
Peter Carr (Bank of America Securities, New York)
Jerome Detemple (Boston University)
Paul Glasserman (Columbia University)
Art Owen (Stanford University)
Eric Reiner (UBS Warburg Dillon Read)
Eduardo Schwartz (UCLA)
Scientific Content
The main aims of the conference are to bring together academics and
practitioners who are at the forefront of this exciting area, in order to
reflect on current problems of interest and envision future directions; to
enable graduate students and newcomers to the area to learn about challenging
open problems, relevant to the applied and theoretical advancement of the
field; and to discuss informally the issues of dissemination of knowledge,
and of teaching in this increasingly popular field, to students at all
levels, from undergraduate to doctoral programs.
Funding
Limited funding for participants at all levels is available, especially for
advanced graduate students and researchers in the early stages of their
career who want to attend the full program. Applications to attend the full
program are available at www.ipam.ucla.edu.
· The program is partially supported by the USC Center for Applied
Mathematical Sciences (CAMS)
Contact
Institute for Pure and Applied Mathematics (IPAM)
e-mail: [log in to unmask] web: www.ipam.ucla.edu
http://www.ipam.ucla.edu/programs/fm2001/
<A HREF="http://www.ipam.ucla.edu/programs/fm2001/">2001 Winter Program on
Financial Mathematics @ UCLA, Los Angeles</A>
Alexander Adamchuk
<A HREF="http://finmath.com/">FinMath.com @ Chicago</A>
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|