Participants List
Speaker Abstracts

The aim of this workshop is to gather leading theoreticians, practitioners, and other banking professionals to discuss open problems in Interest Rates and Currency Models, Risk Management, and Derivative Pricing. In addition, we are planning to have two panel discussions on the two latest important applications in financial engineering, Credit Risk and the Interplay of Finance and Insurance. These panel discussions are to take stock of the industry's development in the past decade as well as to debate the likely trends into the next century.

Confirmed speakers:

• Michel Crouhy (CIBC),
• Mark Davis (Mitsubishi Bank),
• Freddy Delbaen (ETH, Zurich),
• Ron Dembo (Algorithmics Incorporated)
• Darrel Duffie (Stanford),
• Daniel Dufresne (University of Melbourne)
• Robert Elliot University of Alberta
• Paul Embrechts (ETH, Zurich),
• Hans Föllmer (Humboldt Universität - Berlin)
• Helyette Geman (Univ. Paris IX Dauphine and ESSEC)
• David Heath (Cornell University),
• John Hull (University of Toronto),
• Ioannis Karatzas (Columbia University),
• Alexander Levin (Bank of Montreal)
• Andrew Lo (MIT),
• L.C.G. Rogers (University of Bath),
• Stephen Ross (MIT),
• Steve Shreve (Carnegie Mellon University),
• Stuart Turnbull (CIBC),

Contributed Talks

• T. Bielecki (Northeastern Illinois University)
• H. Shirakawa (Tokyo Institute of Technology)
• L. Overbeck (Deutsche Bank AG)
• B. Höjgaard (Aalborg University)

Other highlights will include a poster session on January 27, 1999 with prizes for best graduate student poster and postdoctoral fellow poster; commerical displays, reception, and more.

Preliminary Schedule

Other events during this period,connected with the workshop, include:

• the Kolmogorov Lecture, by Professor Hans Föllmer (Humboldt Universität), on January 26, 1999
• A Topics Course in Stochastic Analysis and the Mathematics of Finance in the Winter term of 1999.
  This course will be taught in four sections by the following:
  

  R.J. Elliott (Hidden Markov Estimation and Financial Modelling - January),

  R. Norvaisa (p-variation and its Applications - February),

  D.M. Salopek (Finance and Insurance - March), and

  T. Lyons (Ito Functionals and Applications - April).