Tuesday, July 14

Mathematical Problems Arising in Financial Risk Management

10:30 AM-12:30 PM
Room: Sidney Smith 1088

Due to the increased pressure of regulators world-wide and growing competitive business needs, financial institutions and corporate investors have increased their focus on measuring and managing financial risks. This has resulted in enormous opportunities for applied mathematicians both in academia and industry. In this session, the speakers will present some interesting problems that have invaluable practical applications for risk measurement and management of large and complex portfolios, pricing and hedging, and financial simulation.

Organizers: Ron Dembo and Dan Rosen
Algorithmics Inc., Toronto, Canada
10:30 A Review of the Mathematics of Risk Measurement
Luis Seco, RiskLab, University of Toronto, Canada
11:00 Portfolio Compression and Projection Pursuit Regression
Stathis Tompaidis, University of Texas, Austin and Austin Power Analytics LLC
11:30 Monte Carlo, Quasi-Monte Carlo and Stratified Sampling Methods in Risk Simulations
Alex Kreinin, Leonid Merkulovitch, Algorithmics, Inc., Toronto, Canada; Dan Rosen, Organizer; and Michael Zerbs, Algorithmics Inc., Toronto, Canada
12:00 Application of Duality in Portfolio Replication for the Estimation of Implied Risk Neutral Probabilities
Ron Dembo and Dan Rosen, Organizers; and David Saunders, RiskLab, University of Toronto, Canada

Program Program Overview Program-at-a-Glance Program Updates Speaker Index Registration Hotel Transportation

LMH, 3/17/98, MMD, 5/27/98