November 11-12, 2005, Princeton University
Organizers
- Rene Carmona
Speakers
- David Lando (Princeton University)
- Nicolas Victoir (JPMorgan Chase)
- Bruno Dupire (Bloomberg)
- David Hobson (Princeton University)
- Yacine Ait-Sahalia (Princeton University)
- Jianqing Fan (Princeton University)
- Michael Monoyios (Oxford University)
- Christoph Reisinger (Oxford University)
- Alex d'Aspremont (Princeton University)
- Patrick Cheridito (Princeton University)
- Peter Carr (Bloomberg)
- Terry Lyons (Oxford University)
- Mike Giles (Oxford University)
- Liuren Wu (CUNY)
- Savas Dayanik (Princeton University)
Sponsors
- Operations Research & Financial Engineering
- Bendheim Center for Finance
| Time | Speaker or Event | Topic or Detail |
|---|---|---|
| 8:15am - 8:45am | Registration and Breakfast | |
| 8:45am - 9:00am | Welcome and Opening Remarks | |
| 9:00am - 9:45am | David Lando (Princeton) | Decomposing Swap Spreads |
| 9:45am - 10:30am | Nicolas Victoir (JPMorgan Chase) | Multiname Credit Models |
| 10:30am - 11:00am | Coffee and Tea | |
| 11:00am - 11:45am | Bruno Dupire (Bloomberg) | A Free Boundary Approach to Volatility Derivatives |
| 11:45am - 12:30pm | David Hobson (Princeton) | Optimal Timing for an Asset Sale in an Incomplete Market |
| 12:30pm - 1:30pm | Lunch | |
| 1:30pm - 2:15pm | Yacine Ait-Sahalia (Princeton) | Volatility Estimators for Discretely Sampled Lévy Processes |
| 2:15pm - 3:00pm | Jianqing Fan (Princeton) | Modelling Multivariate Volatilities via Conditionally Uncorrelated Components |
| 3:00pm - 3:30pm | Coffee and Tea | |
| 3:30pm - 4:15pm | Michael Monoyios (Oxford) | Robust Optimal Hedging Under Parameter Uncertainty |
| 4:15pm - 5:00pm | Christoph Reisinger (Oxford) | Hierarchical Approximation to Multi-Factor Models |
| Time | Speaker or Event | Topic or Detail |
|---|---|---|
| 8:30am - 9:00am | Breakfast | |
| 9:00am - 9:45am | Alex d'Aspremont (Princeton) | A Market Test for the Positivity of Arrow-Debreu Prices |
| 9:45am - 10:30am | Patrick Cheridito (Princeton) | Dynamic monetary risk measures |
| 10:30am - 11:00am | Coffee and Tea | |
| 11:00am - 11:45am | Peter Carr (Bloomberg) | Options on Maxima, Drawdown, Trading Gains, and Local Time |
| 11:45am - 12:30pm | Terry Lyons (Oxford) | Recombination and Higher Order Methods for solving subelliptic PDE's |
| 12:30pm - 1:30pm | Lunch | |
| 1:30pm - 2:05pm | Mike Giles (Oxford) | Fast Calculation of Greeks by Monte Carlo using adjoint methods |
| 2:05pm - 2:40pm | Liuren Wu (CUNY) | Modeling Financial Security Returns Using Levy Processes |
| 2:40pm - 3:15pm | Savas Dayanik (Princeton) | Adaptive Poisson Disorder Problem |