HOME    »    PROGRAMS/ACTIVITIES    »    Annual Thematic Program
IMA Workshop 8
Model Implementation, Algorithms and Software Issues
May 3-7, 2004


Probability and Statistics in Complex Systems: Genomics, Networks, and Financial Engineering, September 1, 2003 - June 30, 2004

Organizers:

Joseph Langsam
Morgan Stanley
Joseph.Langsam@morganstanley.com

and

George C. Papanicolaou
Robert Grimmett Professor in Mathematics
Mathematics Department
Stanford University
papanico@math.stanford.edu
http://georgep.stanford.edu

Another aspect of the program in Quantitative Finance and Econometrics is the implementation of models as numerical algorithms and the building of software applications. Financial models for asset pricing need to be versatile in terms of data input, fault tolerant and fast. These stringent requirements often challenge researchers and developers of financial software. The development of software requires, therefore, an understanding of the capabilities of business-type computers, how data is accessed and how mathematical models are implemented at the level of algorithms. By inviting some of the leading practitioners in the area of financial algorithms and software companies, we hope to showcase the state-of-the-art in financial engineering.

Mathematical Areas of Relevance:

  • Numerical solution of HJB equations

  • Optimization

  • Monte Carlo Simulation

  • Random number generators

  • Numerical solution of SDEs

  • Numerical Linear Algebra

  • Stochastic Optimization
WORKSHOP SCHEDULE
Monday Tuesday
MONDAY, MAY 3
All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
8:30 Coffee and Registration

Reception Room EE/CS 3-176

9:15 Douglas N. Arnold, Scot Adams, and Organizers Welcome and Introduction
9:30 Joseph Langsam
Morgan Stanley

Changing Dynamics in the Securities Market

Slides:  html   pdf   ps   ppt

10:20
Discussion
10:30 Coffee Break Reception Room EE/CS 3-176
11:00 Steven E. Shreve
Carnegie Mellon University

A Two-Person Game for Pricing Convertible Bonds

Slides:   pdf    ps

11:50
Discussion
12:00
Lunch Break
1:30 Philip H. Dybvig
Washington University

Mandatory or Voluntary Retirement

Slides:   pdf

2:20
Discussion
2:30 Coffee Break Reception Room EE/CS 3-176
3:00 SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
3:30
Group Photo here
3:40

IMA Tea and more (with POSTER SESSION)
400 Lind Hall

Michael Ludkovski
Princeton University
Convenience Yield Model with Partial Observations and Exponential Utility
Mathias Rousset
Université Paul Sabatier
Sampling Prescribed Distributions with Interacting Particle Systems
Mihai Sîrbu
Carnegie Mellon University

Perpetual Convertible Bonds

Slides:   pdf

Yong Zeng
University of Missouri at Kansas City
A Class of Micro-Movement Models of Asset Price with Continuous-Time Bayesian Inference via Filtering
TUESDAY, MAY 4
All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
9:00 Coffee Reception Room EE/CS 3-176
9:30 Jean-Pierre Fouque
North Carolina State University

Variance Reduction for MC Methods to Evaluate Option Prices Under Multi-Factor Stochastic Volatility Models

Slides:   pdf

10:20
Discussion
10:30 Coffee Break Reception Room EE/CS 3-176
11:00 Yong Zeng
University of Missouri at Kansas City

A General Equilibrium Model of the Term Structure of Interest Rates Under Regime-Switching Risk

Slides:   pdf   ps
Paper:   pdf   ps

11:50
Discussion
12:00
Lunch Break
1:30 David C. Heath
Carnegie Mellon University

Efficient Option Valuation Using (Non-Recombining) Trees

Slides:   pdf
Paper:   pdf

2:20
Discussion
2:30 Coffee Break Reception Room EE/CS 3-176
3:00 SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
3:30 walk along the Mississippi, weather permitting
WEDNESDAY, MAY 5
All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
9:00 Coffee Reception Room EE/CS 3-176
9:30 Ron S. Dembo
Algorithmics Incorporated

Risk Measurement; Risk Architecture and the Bank of the Future

Slides:   html    pdf    ps    ppt

10:20
Discussion
10:30 Coffee Break Reception Room EE/CS 3-176
11:00 Paul Glasserman
Columbia University

Monte Carlo Pricing of American Options: Overview and New Results

Slides:   pdf
Paper:   pdf

11:50
Discussion
12:00
Lunch Break
1:30 Pierre Collin-Dufresne
University of California, Berkeley

Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

Slides:   pdf
Paper:
  pdf

2:20
Discussion
2:30 Coffee Break Reception Room EE/CS 3-176
3:00 SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
THURSDAY, MAY 6
All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
9:00 Coffee Reception Room EE/CS 3-176
9:30 Curtis Randall
SciComp Inc.
Software Synthesis - Pricing without Programming
10:20
Discussion
10:30 Coffee Break Reception Room EE/CS 3-176
11:00 Gregory R. Duffee
University of California-Berkeley

Estimation of Dynamic Term Structure Models

Slides: duffee_ima_present.pdf
Paper:   duffee_stanton.pdf

11:50
Discussion
12:00
Lunch Break
1:30 Dmitry Kramkov
Carnegie Mellon University

Risk-Tolerance Wealth Processes and Sensitivity Analysis of Utility Based Prices

Slides:   pdf

2:20
Discussion
2:30 Coffee Break Reception Room EE/CS 3-176
3:00 SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
6:00 Workshop Dinner Mangia Restaurant
1501 University Avenue
FRIDAY, MAY 7
NOTE THE ABBREVIATED SCHEDULE FOR FRIDAY; FIRST TALK AT 9:10
All talks are in Lecture Hall EE/CS 3-180 unless otherwise noted.
9:00 Coffee Reception Room EE/CS 3-176
9:10 Srdjan D. Stojanovic
University of Cincinnati

Pricing Options Under Stochastic Volatility: Complete Solution

Paper:   pdf

10:00
Discussion
10:10 Coffee Break Reception Room EE/CS 3-176
10:20 Louis Scott
Morgan Stanley & Co.

Stochastic Volatility and Jumps: Risk Management and Hedging Strategies

Slides: LOS_Slides_SVJ_2004.pdf

11:10
Discussion
11:20 Coffee Break Reception Room EE/CS 3-176
11:30 SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, re-frame their main points, look toward future directions.
11:50
Concluding Remarks by Organizers
12:00
End of Workshop

LIST OF CONFIRMED PARTICIPANTS
NAMEDEPARTMENTAFFILIATION
Scot AdamsInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Greg AndersonSchool of Mathematics University of Minnesota, Twin Cities
Douglas ArnoldInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Donald AronsonInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Gerard AwanouInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Hee-Jeong BaekDepartment of Mathematics Seoul National University
Karen BallInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Antar BandyopadhyayInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Peter BankDepartment of Mathematics Humboldt-Universität
Luca Benzoni University of Minnesota, Twin Cities
Maury BramsonSchool of Mathematics University of Minnesota, Twin Cities
Olga BrezhnevaInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Colette CalmeletDepartment of Physics and Mathematics Tennessee State University
Rene CarmonaOperations Research and Financial Engineering Princeton University
James Carson RisQuant Energy
Pin ChungInvestment and Risk Management Chung ALM
Gregory CiresiDepartment of Mathematics New York University
Pierre Collin-DufresneGraduate School of Industrial Administration Carnegie Mellon University
Peter Cotton Morgan Stanley
Ron Dembo Algorithmics Incorporated
Greg Duffee University of California, Berkeley
Philip DybvigSchool of Business Washington University
Hans FoellmerInstitut für Mathematik Humboldt-Universität
Jean-Pierre FouqueDepartment of Mathematics North Carolina State University
Peter FraenkelQuantitative Programming Morgan Stanley
Shmuel FriedlandDepartment of Mathematics, Statistics, and Computer Science University of Illinois, Chicago
Tim GaroniInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Paul GlassermanBusiness School Columbia University
Anne GundelInstitute for Mathematics Humboldt-Universität
Chuan-Hsiang HanInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
David HeathDepartment of Mathematical Sciences Carnegie Mellon University
Ulrich HorstInstitut für Mathematik Humboldt-Universität
Julien HugonnierDepartment of Mathematical Finance HEC Montreal
Naresh JainSchool of Mathematics University of Minnesota, Twin Cities
Karel JanecekDepartment of Mathematical Sciences Carnegie Mellon University
Lili JuInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Yakov Kanter Morgan Stanley
Mohammad KhanDepartment of Mathematics Kent State University
Hye-Ryoung Kim Seoul National University
Igor KojanovCarlson School of Management University of Minnesota, Twin Cities
Dmitry KramkovCenter for Computational Finance Carnegie Mellon University
Thomas KurtzDepartment of Mathematics University of Wisconsin, Madison
Joseph Langsam Morgan Stanley
Bernard LapeyreCERMICS École Nationale des Ponts-et-Chaussées
Jeong LeeDepartment of Mathematics Seoul National University
Guang-Tsai LeiPhysiology and Biophysics Mayo Clinic
Michael LudkovskiDepartment of Operations Research and Financial Engineering Princeton University
Richard McGeheeSchool of Mathematics University of Minnesota, Twin Cities
Oana MocioalcaDepartment of Mathematics Purdue University
Gary Nan TieInvestment Department The St. Paul Companies
Amir NiknejadDepartment of Mathematics University of Illinois, Chicago
George PapanicolaouDepartment of Mathematics Stanford University
Lea PopovicInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Curtis Randall SciComp Inc.
Grzegorz RempalaDepartment of Mathematics University of Louisville
Luis RomanDepartment of Mathematical Sciences Worcester Polytechnic Institute
Mathias RoussetLab. statistique et probabilités Université de Toulouse III (Paul Sabatier)
Fadil SantosaInstitute for Mathematics and its Applications University of Minnesota, Twin Cities
Arnd ScheelSchool of Mathematics University of Minnesota, Twin Cities
Louis Scott Morgan Stanley
Sashirekha ShanmugaveluDepartment of Computer Engineering University of Minnesota, Twin Cities
Steven ShreveDepartment of Mathematical Sciences Carnegie Mellon University
Mihai SirbuDepartment of Mathematical Sciences Carnegie Mellon University
Srdjan StojanovicDepartment of Mathematical Sciences University of Cincinnati
Hui WangDivision of Applied Mathematics Brown University
Xiaodi WangDepartment of Mathematics Western Connecticut State University
Lin XuDepartment of Fixed Income Morgan Stanley
Yuhong YangDepartment of Statistics Iowa State University
Ofer ZeitouniSchool of Mathematics University of Minnesota, Twin Cities
Yong ZengDepartment of Mathematics & Statistics University of Missouri
Jun ZhaoInstitute of Mathematics and its Application University of Minnesota, Twin Cities

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