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<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> %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%