Invited Presentations

Plenary Speakers

On the Information Content of Option Prices
Peter Carr, Bloomberg LP and Courant Institute, New York University

Asset Management Via Risk-sensitive Control in a Jump-diffusion Model
Mark Davis, Imperial College London, United Kingdom

Seasonal and Stochastic Features in Commodity Markets
Helyette Geman, Birkbeck University of London, United Kingdom and ESSEC Business School

Self-exciting Corporate Defaults: Contagion vs. Frailty
Kay Giesecke, Stanford University

Jump-Diffusions and Credit Modelling (Theoretical Models and Practical Implications)
Alexander Lipton, Merrill Lynch and Imperial College London, United Kingdom

Pricing and Hedging to Acceptable Levels of Risk
Dilip Madan, University of Maryland

Marek Musiela, BNP Paribas - CANCELLED

Advanced Variational Methods for Option Pricing
Olivier Pironneau, University Paul and Mary Curie, Paris VI, France

Games with Exhaustible Resources
Ronnie Sircar, Princeton University

Stochastic Target Problems with Controlled Loss
Nizar Touzi, Imperial College London, United Kingdom and Ecole Polytechnique, France

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