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INTRODUCTION TO COMPUTATIONAL
FINANCE
Monday, July 31
7500 Wean Hall
| 8:15 - 8:45 |
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Continental Breakfast |
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| 8:45 - 9:00 |
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Welcome |
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| 9:00 - 9:45 |
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Steven Shreve |
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"Stochastic Calculus Models for Finance" |
| 9:45 - 10:30 |
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Michael F. Gallmeyer |
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"The Capital Asset Pricing Model and Other
Cross-Sectional Pricing Models" |
| 10:30 - 11:00 |
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Break |
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| 11:00 - 11:45 |
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David Heath |
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"Modelling the Evolution of the Term
Structure of Interest Rates" |
| 1:30 - 2:15 |
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Sanjay Srivastava |
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"Risk Management in Practice" |
| 2:15 - 3:00 |
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Roy Nicolaides |
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"Putting the Computational into Finance" |
| 3:00 - 3:30 |
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Break |
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|
| 3:30 - 4:15 |
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John Lehoczky |
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"Monte Carlo Methodology for Option Pricing" |
CONFERENCE PROGRAM
Tuesday, August 1
7500 Wean Hall
| 8:30 - 9:00 |
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Continental Breakfast |
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| 9:00 - 9:20 |
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Welcome |
David Heath, Director of the Center for Computational Finance
Mark Kamlet, Provost of Carnegie Mellon University |
| 9:20 - 10:10 |
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Paul Glasserman |
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"The Term Structure of Simple Forward
Rates with Jump Risk" |
| Break |
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| 10:40 - 11:30 |
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Helyette Geman |
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"The Bermuda Triangle: Electricity, Weather and
Insurance Derivatives" |
| 11:30 - 12:20 |
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Lane Hughston |
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"Interest Rates and Information Geometry" |
| 2:00 - 3:00 |
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Contributed talks |
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| 3:40 - 5:00 |
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Contributed talks |
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Wednesday, August 2
7500 Wean Hall
| 8:30 - 9:00 |
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Continental Breakfast |
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|
| 9:00 - 9:50 |
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Mark Broadie |
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"Low Discrepancy Lattices for Pricing
Multi-Dimensional American Options" |
| Break |
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|
| 10:30 - 11:20 |
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Albert Shiryaev |
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"On the Real-Valued Cumulant Process, Exponential
Maringales, and Esscher's Change of Measures" |
| 11:30 - 12:20 |
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H. Mete Soner |
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"Super-Replication and Dynamic Programming" |
| 2:00 - 3:00 |
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Contributed talks |
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|
| Break |
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|
| 3:40 - 5:00 |
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Contributed talks |
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Thursday, August 3
7500 Wean Hall
| 8:30 - 9:00 |
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Continental Breakfast |
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|
| 9:00 - 9:50 |
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Dilip Madan |
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"The Fine Structure of Asset Returns:
An Empirical Investigation" |
| Break |
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|
| 10:30 - 11:20 |
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Ulrich Haussmann |
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"Adaptive Portfolio Selection Based on Historical Prices" |
| 11:30 - 12:20 |
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Marek Musiela |
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"At-the-money Volatility and
Volatility Related Expectations Hypothesis" |
Excursion to Falling Water and Fort Ligonier.
Busses depart at 1:00. Lunch will be provided on the bus. |
Friday, August 4
7500 Wean Hall
| 8:30 - 9:00 |
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Continental Breakfast |
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| 9:00 - 9:50 |
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Paul Embrechts |
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"Modeling Dependence in Integrated Risk Management" |
| Break |
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| 10:30 - 11:20 |
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Walter Schachermayer |
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"Duality Methods for Optimal Investment in
Incomplete Markets" |
| 11:30 - 12:20 |
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George Constantinides |
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"Bounds on Derivative Prices with Transaction Costs:
A Review and New Results" |
| 2:00 - 3:00 |
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Contributed talks |
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|
| Break |
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|
| 3:40 - 5:00 |
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Contributed talks |
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|
| 7:30 |
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Banquet |
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Saturday, August 5
7500 Wean Hall
| 8:30 - 9:00 |
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Continental Breakfast |
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|
| 9:00 - 9:50 |
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Ken Singleton |
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"Modeling Sovereign Credit Spreads:
A Case Study of Russian Debt" |
| Break |
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|
| 10:30 - 11:20 |
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Freddy Delbaen |
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"When is the Kramkov optional decomposition
predictable?" |
| End of Meeting |
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