1st Oxford-Princeton Workshop

October 17-18, 2002, Princeton University


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.


  • Rene Carmona
  • Sam Howison
  • Ronnie Sircar


  • 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)
Thursday, October 17, 2002
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


Friday, October 18, 2005
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