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 Wednesday Thursday Friday
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

NAME	DEPARTMENT	AFFILIATION
Scot Adams	Institute for Mathematics and its Applications	University of Minnesota
Greg Anderson	School of Mathematics	University of Minnesota
Douglas Arnold	Institute for Mathematics and its Applications	University of Minnesota
Donald Aronson	Institute for Mathematics and its Applications	University of Minnesota
Gerard Awanou	Institute for Mathematics and its Applications	University of Minnesota
Hee-Jeong Baek	Department of Mathematics	Seoul National University
Karen Ball	Institute for Mathematics and its Applications	University of Minnesota
Antar Bandyopadhyay	Institute for Mathematics and its Applications	University of Minnesota
Peter Bank	Department of Mathematics	Humboldt-Universität
Luca Benzoni		University of Minnesota
Maury Bramson	School of Mathematics	University of Minnesota
Olga Brezhneva	Institute for Mathematics and its Applications	University of Minnesota
Colette Calmelet	Department of Physics and Mathematics	Tennessee State University
Rene Carmona	Operations Research and Financial Engineering	Princeton University
James Carson		RisQuant Energy
Pin Chung	Investment and Risk Management	Chung ALM
Gregory Ciresi	Department of Mathematics	New York University
Pierre Collin-Dufresne	Graduate School of Industrial Administration	Carnegie Mellon University
Peter Cotton		Morgan Stanley
Ron Dembo		Algorithmics Incorporated
Greg Duffee		University of California, Berkeley
Philip Dybvig	School of Business	Washington University
Hans Foellmer	Institut für Mathematik	Humboldt-Universität
Jean-Pierre Fouque	Department of Mathematics	North Carolina State University
Peter Fraenkel	Quantitative Programming	Morgan Stanley
Shmuel Friedland	Department of Mathematics, Statistics, and Computer Science	University of Illinois at Chicago
Tim Garoni	Institute for Mathematics and its Applications	University of Minnesota
Paul Glasserman	Business School	Columbia University
Anne Gundel	Institute for Mathematics	Humboldt-Universität
Chuan-Hsiang Han	Institute for Mathematics and its Applications	University of Minnesota
David Heath	Department of Mathematical Sciences	Carnegie Mellon University
Ulrich Horst	Institut für Mathematik	Humboldt-Universität
Julien Hugonnier	Department of Mathematical Finance	HEC Montreal
Naresh Jain	School of Mathematics	University of Minnesota
Karel Janecek	Department of Mathematical Sciences	Carnegie Mellon University
Lili Ju	Institute for Mathematics and its Applications	University of Minnesota
Yakov Kanter		Morgan Stanley
Mohammad Khan	Department of Mathematics	Kent State University
Hye-Ryoung Kim		Seoul National University
Igor Kojanov	Carlson School of Management	University of Minnesota
Dmitry Kramkov	Center for Computational Finance	Carnegie Mellon University
Thomas Kurtz	Department of Mathematics	University of Wisconsin-Madison
Joseph Langsam		Morgan Stanley
Bernard Lapeyre	CERMICS	École Nationale des Ponts-et-Chaussées
Jeong Lee	Department of Mathematics	Seoul National University
Guang-Tsai Lei	Physiology and Biophysics	Mayo Clinic
Michael Ludkovski	Department of Operations Research and Financial Engineering	Princeton University
Richard McGehee	School of Mathematics	University of Minnesota
Oana Mocioalca	Department of Mathematics	Purdue University
Gary Nan Tie	Investment Department	The St. Paul Companies
Amir Niknejad	Department of Mathematics	University of Illinois at Chicago
George Papanicolaou	Department of Mathematics	Stanford University
Lea Popovic	Institute for Mathematics and its Applications	University of Minnesota
Curtis Randall		SciComp Inc.
Grzegorz Rempala	Department of Mathematics	University of Louisville
Luis Roman	Department of Mathematical Sciences	Worcester Polytechnic Institute
Mathias Rousset	Lab. statistique et probabilités	Université de Toulouse III (Paul Sabatier)
Fadil Santosa	Institute for Mathematics and its Applications	University of Minnesota
Arnd Scheel	School of Mathematics	University of Minnesota
Louis Scott		Morgan Stanley
Sashirekha Shanmugavelu	Department of Computer Engineering	University of Minnesota
Steven Shreve	Department of Mathematical Sciences	Carnegie Mellon University
Mihai Sirbu	Department of Mathematical Sciences	Carnegie Mellon University
Srdjan Stojanovic	Department of Mathematical Sciences	University of Cincinnati
Hui Wang	Division of Applied Mathematics	Brown University
Xiaodi Wang	Department of Mathematics	Western Connecticut State University
Lin Xu	Department of Fixed Income	Morgan Stanley
Yuhong Yang	Department of Statistics	Iowa State University
Ofer Zeitouni	School of Mathematics	University of Minnesota
Yong Zeng	Department of Mathematics & Statistics	University of Missouri
Jun Zhao	Institute of Mathematics and its Application	University of Minnesota