Monday, July 13

Computational Finance

This minisymposium is sponsored by Canadian Applied and Industrial Mathematics Society/Société Canadienne de Mathématiques Appliquées et Industrielles

10:30 AM-1:00 PM
Room: Sidney Smith 1069

Computational finance is an area that spans a broad range of topics and applications, including pricing theory, risk management and commodity trading. A large number of tools from applied mathematics have found application in this new area. The speakers will discuss some of these tools and their applications.

Organizer: Claudio Albanese
University of Toronto, Canada and Morgan Stanley, New York
10:30 Pricing and Hedging Swing Options in the Energy Markets
Stathis Tompaidis, University of Texas, Austin
11:00 Bayesian Value at Risk: Calibration and Simulation
Alexander Levin, Bank of Montreal, Canada; and Claudio Albanese, Organizer
11:30 Coherent Measures of Diversification Risk
Li Liu, Algorithmics Inc., Toronto, Canada
12:00 An Alternative Approach for Pricing Continuous Cash Flows
Peter Carr, Morgan Stanley, New York
12:30 Pricing and Hedging with Stochastic Implied Volatility
Claudio Albanese, Organizer; Peter Carr, Morgan Stanley, New York; Dilip Madan, University of Maryland and Morgan Stanley, New York; and Olga Yashkir, University of Toronto and Department of Treasury Analytics, Bank of Montreal
Program Program Overview Program-at-a-Glance Program Updates Speaker Index Registration Hotel Transportation

LMH Created: 3/17/98, MMD Updated: 6/22/98