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THEMATIC PROGRAMS |
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| December 23, 2024 |
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Thematic Program
on Quantitative Finance: Foundations and Applications January -
June, 2010
Scientific Committee: Mark Broadie (co-chair), Paul Glasserman (co-chair),
David Saunders, Stathis Tompaidis |
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Invited Speakers (talk titles and abstracts) |
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| Liming Feng (Illinois) Peter Forsyth (Waterloo) Lorenzo Garlappi (UBC) Jim Gatheral (Merrill Lynch) Kay Giesecke (Stanford) Mike Giles (Oxford) Garud Iyengar (Columbia) Petter Kolm (NYU) Ralf Korn (TU Kaiserslautern) |
Ciamac Moallemi (Columbia) Kumar Muthuraman (UT Austin) Phillip Protter (Cornell) Chris Rogers (Cambridge) Birgit Rudloff (Princeton) Georgios Skoulakis (Maryland) Jeremy Staum (Northwestern) Nizar Touzi (Ecole Polytechnique) |
Workshop Schedule
| Monday March 22 | |
| 8:50 - 9:00 | Welcome and Introduction Workshop Organizers and Fields Director Ed Bierstone |
| 9:00 - 9:45 | Ralf Korn (TU Kaiserslautern) Recent advances in option pricing via binomial trees |
| 9:45 - 10:30 | Kumar Muthuraman (UT Austin) Moving boundary approaches for solving free-boundary problems |
| 10:30 - 11:00 | Coffee Break |
| 11:00 - 11:45 | John Chadam, (University of Pittsburgh) Numerical Simulation of Free Boundary via Integral Equations |
| 11:45 - 12:30 | Georgios Skoulakis & Lorenzo Garlappi Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method |
| 12:30 - 2:00 | Lunch Break |
| 2:00 - 3:00 | Afternoon discussion: Topics and Moderators tba |
| 3:00 - 3:30 | Coffee Break |
| 3:30 - 4:15 | Jeremy Staum (Northwestern) Déjà Vu All Over Again: Efficiency when Financial Simulations are Repeated |
| 4:15 - 5:00 | Birgit Rudloff (Princeton) Hedging and Risk Measurement under Transaction Costs |
| 5:00 - 6:00 | Reception- cash bar Fields Atrium |
| Tuesday March 23 | |
| 9:00 - 9:45 | Ciamac Moallemi (Columbia) A multiclass queueing model of limit order book dynamics |
| 9:45 - 10:30 | Jim Gatheral (Merrill Lynch) Optimal order execution |
| 10:30 - 11:00 | Coffee Break |
| 11:00 - 11:45 | Petter Kolm (NYU) Algorithmic Trading: A Buy-Side Perspective |
| 11:45 - 12:30 | Chris Rogers (Cambridge) Convex regression and optimal stopping |
| 12:30 - 2:00 | Lunch Break |
| 2:00 - 3:00 | Afternoon discussion Mike Giles |
| 3:00 - 3:30 | Coffee Break |
| 3:30 - 4:15 | Kay Giesecke (Stanford) Asymptotically Optimal Importance Sampling For Dynamic Portfolio Credit Risk |
| 4:15 - 5:00 | Liming Feng (Illinois) Hilbert transform approach to options valuation |
| 6:00 | Workshop
Banquet at Joe Badali's - cash bar 156 Front St. West $45 |
| Wednesday March 24 | |
| 9:00 - 9:45 | Mike Giles (Oxford) Progress with multilevel Monte Carlo methods |
| 9:45 - 10:30 | Peter Forsyth (Waterloo) Analysis of A Penalty Method for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB) |
| 10:30 - 11:00 | Coffee Break |
| 11:00 - 11:45 | Nizar Touzi (Ecole Polytechnique) A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs |
| 11:45 - 12:30 | Philip Protter (Cornell) Absolutely Continuous Compensators |
Confirmed Participants as of March
26, 2010
| Full Name | University/Affiliation |
| Alexandru-Gajura, Elena | McMaster University |
| Assa, Hirbod | Université de Montréal |
| Bayraktar, Erhan | University of Michigan |
| Broadie, Mark | Columbia University |
| Byelkina, Svitlana | Bank of Montreal |
| Campolieti, Joe | Wilfrid Laurier University |
| Capra, Mihaela | TD Bank |
| Chadam, John | University of Pittsburgh |
| Chellathurai, Thamayanthi | Canadian Imperial Bank of Commerce |
| Chernyk, Donna | Springer Science + Business Media, LLC |
| Dang, Duy Minh | University of Toronto |
| Draviam, Thangaraj | |
| Eberlein, Ernst | University of Freiburg |
| Fahim, Arash | Ecole Polytechnique |
| Fajardo, José | IBMEC |
| Fayyad, Wael | McMaster University |
| Feng, Liming | University of Illinois at Urbana-Champaign |
| Ferrando, Sebastian | Ryerson University |
| Forsyth, Peter | University of Waterloo |
| Garlappi, Lorenzo | University of British Columbia |
| Gatheral, Jim | Merrill Lynch & Co. Inc |
| Gebbie, Tim | University of Witwatersrand |
| Giesecke, Kay | Stanford University |
| Giles, Mike | Oxford University |
| Glasserman, Paul | Columbia University |
| Grasselli, Matheus | McMaster University |
| Ha, Eugene | Fields Institute |
| Halevy, Itamar | |
| Han, Meng | University of Toronto |
| Heider, Pascal | Univerisity of Ulm |
| Huang, Junming | University of Pittsburgh |
| Hurd, Tom | McMaster University |
| Hyndman, Cody | Concordia University |
| Iyengar, Garud | Columbia University |
| Jaimungal, Sebastian | University of Toronto |
| Jun, Doobae | Sungkyunkwan University |
| Kan, Kin Hung (Felix) | University of Western Ontario |
| Kang, Wanmo | KAIST |
| Kapchinsky, Michael | Toronto Dominion Bank |
| Kim, Kyoung-kuk | Columbia Business School |
| Knezevic, Nino | TD Bank |
| Kolm, Petter | New York University |
| Korn, Ralf | Universität Kaiserslautern |
| Kreinin, Alexander | Algorithmics Incorporated |
| Ku, Hyejin | York University |
| Kua, Andrew | TD Bank |
| Kuznetsov, Alexey | York University |
| Lakhany, Asif | Algorithmics Incorporated |
| Lee, Kiseop | University of Louisville |
| Leung, Louis | University of Toronto |
| Levin, Alex | RBC |
| Li, Sebastian | University of Toronto |
| Ludkovski, Mike | UC Santa Barbara |
| Lukas, Mike | BMO |
| Ma, Xiaofang | BMO |
| Marada, Tomas | Vrije Universiteit Amsterdam |
| Menard, Jocelyne | TD Bank |
| Moallemi, Ciamac | Columbia University |
| Morales, Manual | Université de Montréal |
| Moreno, Santiago | Humboldt University Berlin |
| Muhina, Irina | Manulife |
| Müller, Stefanie | University of Kaiserslautern |
| Muthuraman, Kumar | The University of Texas at Austin |
| Niu, Shilei | University of Waterloo |
| Ntantamis, Christos | Aarhus University |
| Pal, Janos | Bank of Montreal |
| Peng, Xianhua | Columbia University |
| Pirvu, Traian | McMaster University |
| Protter, Philip E. | Cornell University |
| Rogers, Chris | University of Cambridge |
| Romanyuk, Yuliya | Bank of Canada |
| Rudloff, Birgit | Princeton University |
| Salisbury, Thomas | York University |
| Saunders, David | University of Waterloo |
| Seydel, Ruediger | University of Cologne |
| Shakourifar, Mohammad | University of Toronto |
| Silla, Sebastiano | Polytechnic University of Marche |
| Staum, Jeremy | Northwestern University |
| Surkov, Vladimir | University of Western Ontario |
| Tanaka, Keiichi | Tokyo Metropolitan University |
| Tompaidis, Stathis | University of Texas at Austin |
| Tourin, Agnes | |
| Touzi, Nizar | Ecole Polytechnique |
| Tsui, Lung Kwan | University of Pittsburgh |
| Vaz, Anthony | Manulife Financial |
| Vinogradov, Vladimir | Ohio University |
| Walker, Michael | University of Toronto |
| Wilcox, Diane | University of Witwatersrand |
| Xing, Hao | Boston University |
| Yi, Chuang | Bank of Montreal |
| Zheng, Harry | Imperial College |
| Zhou, Zhuowei | McMaster University |
Apply to the Program:
All scientific events are open to the mathematical sciences community. Visitors who are interested in office space or funding are requested to apply by filling out the application form. Additional support is available (pending NSF funding) to support junior US visitors to this program. Fields scientific programs are devoted to research in the mathematical sciences, and enhanced graduate and post-doctoral training opportunities. Part of the mandate of the Institute is to broaden and enlarge the community, and to encourage the participation of women and members of visible minority groups in our scientific programs. For additional information contact thematic(PUT_AT_SIGN_HERE)fields.utoronto.ca
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