October 17-18, 2002, Princeton University
About
This workshop is part of the Oxford-Princeton collaborationand is designed for an informal exchange of ideas between the Mathematical Finance Group at Oxford and the Financial Engineering group at Princeton.
Organizers
- Rene Carmona
- Sam Howison
- Ronnie Sircar
Speakers
- Rene Carmona (Princeton)
- John Chadam (Pittsburgh)
- Damir Filipovic (Princeton)
- Pat Hagan (Bear Stearns)
- Vicky Henderson (Oxford)
- Sam Howison (Oxford)
- Terry Lyons (Oxford)
- John Mulvey (Princeton)
- Ronnie Sircar (Princeton)
| Time | Speaker or Event | Topic or Detail |
|---|---|---|
| 11am–12pm | René Carmona | Trading Energy Derivatives |
| 12pm–1pm | Terry Lyons | |
| 1pm–2:30pm | Lunch & Problem Session | |
| 2:30pm–3:30pm | Sam Howison | Perturbation Methods in Finance |
| 3:30pm–4:30pm | John Chadam | The Early Exercise Boundary for American Put Options: New Analytical and Numerical Approximations |
| 4:30pm–5:30pm | Ronnie Sircar | Stochastic Volatility Corrections for some Exotic Options |
| 5:30–6:30pm | Student Presentations |
| Time | Speaker or Event | Topic or Detail |
|---|---|---|
| 10am–11am | Damir Filipovic | Affine Processes |
| 11am–12pm | Pat Hagan | Managing Smile Risk |
| 12pm–1:30pm | Lunch | |
| 1:30–2:30pm | John Mulvey | Decentralized Optimization of Global Financial Companies |
| 2:30pm–3:30pm | Vicky Henderson | Analytical Comparisons of Option Prices in Stochastic Volatility Models |