TUESDAY, JANUARY 26, 1999
8:00-9:00	REGISTRATION at Royal Ontario Museum Entrance
9:00-9:15	Welcome Remarks
9:15-10:15	Andrew W. Lo (MIT) When is Time Continuous?
10:15-10:45	Coffee Break
10:45-11:45	Ioannis Karatzas (Columbia University) Dynamic Measures of Market-Risk
11:45-1:00	Lunch
1:00-1:30	Contributed Talk: H. Shirakawa (Tokyo Institute of Technology) Evaluation of Yield Spread for Credit Risk
1:30-2:00	Contributed Talk: T. Bielecki (Northeastern Illinois University) Recent Results in Credit Risk Modeling: A Multiple Credit Ratings Case
2:00-3:00	L.C.G. Rogers (University of Bath, England) Designing and Estimating Models of High-Frequency Data
3:00-3:30	Afternoon Tea/Coffee
Kolmogorov Lecture Series
3:30-4:30	Hans Foellmer (Humboldt Universitaet - Berlin) Probabilistic Problems Arising From Finance
WEDNESDAY, JANUARY 27, 1999 [INTEREST RATE]
9:00-10:00	Robert Elliott (University of Alberta) Affine Bond Processes and Stochastic Flows
10:00-10:30	Coffee Break
10:30-11:30	David C. Heath (Cornell University / CMU) Futures-Based Term Structure Models
11:30-1:00	Lunch
1:00-2:00	M. Davis (Tokyo-Mitsubishi International, London) Valuation of Convertible Bonds
2:00-3:00	Darell Duffie (Stanford University) Correlated Default Timing and Valuation
3:00-4:30	Free Time at the ROM / Collaboration Time
Monthly Financial Seminar Series Lecture
4:30-5:30	Stephen Ross (MIT) Topics in Finance
6:00-7:30	POSTER SESSION AND RECEPTION AT THE FIELDS INSTITUTE (222 College Street, 2nd Floor, Toronto, Ontario)
THURSDAY, JANUARY 28, 1999 [CREDIT AND LIQUIDITY]
9:00-10:00	Michel Crouhy (CIBC) A Comparative Analysis of Credit Risk Models and Thoughts for Future Research
10:00-10:30	Coffee Break
10:30-11:30	Alexander Levin and Alexander Tchernitser (Bank of Montreal) Multifactor Stochastic Variance Value-at-Risk Model
11:30-1:00	Lunch
1:00-2:00	Ron Dembo (Algorithmics Inc.) Liquidity And The True Simulation of Dynamic Portfolio Risk
2:00-3:00	Stuart Turnbull (CIBC) The Intersection of Market and Credit Risk
3:00-3:30	Afternoon Tea/Coffee
3:30-4:30	Panel Discussion
4:30-7:30	RECEPTION AT ALGORITHMICS INC.
FRIDAY, JANUARY 29, 1999 [DERIVATIVES]
9:00-10:00	Steven E. Shreve (Carnegie Mellon University) Pricing and Hedging Dangerous Exotic Options
10:00-10:30	Coffee Break
10:30-11:30	Helyette Geman (University of Paris Dauphine and ESSEC) Stochastic Time Changes and Asset Price Modeling
11:30-1:00	Lunch
1:00-1:30	Contributed Talk: L. Overbeck (Deutsche Bank AG) Credit Portfolio Risk Management Based on Coherent Risk Measure
1:30-2:00	Contributed Talk: B. Hoejgaard (Aalborg University) Optimal Risk Control and Dividend Distribution Policies For Insurance Corporations
2:00-3:00	Freddy Delbaen (ETH, Zurich) Bessel Processes and Passport Options
3:00-3:30	Afternoon Tea/Coffee
3:30-4:30	John Hull (University of Toronto) Calculating Value at Risk
6:00-9:30	BANQUET (Oakam House, 63 Gould Street, Toronto) $50.00 per person. Payment by Visa, Mastercard, Cheque or Cash during Workshop Registration on January 26, from 8:00 am - 3:00 pm
SATURDAY, JANUARY 30, 1999 [CATASTROPHIC RISK]
9:00-10:00	Paul Embrechts (ETH, Zurich) What Financial Risk Managers Can Learn From Actuaries
10:00-10:30	Coffee Break
10:30-11:30	Daniel Dufresne (University of Melbourne) Laguerre Series for Asian Options
11:30-1:00	Lunch
1:00-2:30	Panel Discussion
2:30-	Afternoon Tea and End of Conference

THEMATIC PROGRAMS

Probability In Finance Workshop Tuesday, January 26 to Saturday, January 30, 1999

SCHEDULE

To Preview Speaker Abstracts: Click Here

Probability In Finance Workshop
Tuesday, January 26 to Saturday, January 30, 1999