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

Spring 2004

IMA Workshop 8:

Model Implementation, Algorithms and Software Issues

May 3-7, 2004

Organizers:

and

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

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 N. Arnold	Institute for Mathematics and its Applications	University of Minnesota
Donald G. 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 (BK21)
Karen Ball		University of Minnesota
Antar Bandyopadhyay		University of Minnesota
Peter Bank	Department of Mathematics	Humboldt University of Berlin
Luca Benzoni	Carlson Finance Department	University of Minnesota
Maury Bramson	Department of Mathematics	University of Minnesota
Olga Brezhneva		University of Minnesota
Colette Calmelet	Department of Physics and Mathematics	Tennessee State University
Rene Carmona	Operations Research and Financial Engineering	Princeton University
James B. Carson		RisQuant Energy
Pin Johnny Chung	Investment & Risk Management	Chung ALM
Gregory Ciresi	Department of Mathematics	Courant Institute, New York University
Pierre Collin-Dufresne		Carnegie Mellon University
Peter Cotton		Morgan Stanley
Ron Dembo		Algorithmics Inc.
Greg Duffee	Haas School of Business	University of California - Berkeley
Philip H. Dybvig	Olin School of Business	Washington University
Hans Foellmer	Institut fur Mathematik	Humboldt Universitat zu Berlin
Jean-Pierre Fouque	Department of Mathematics	North Carolina State University
Peter Fraenkel	Quantitative Programming	Morgan Stanley & Co.
Shmuel Friedland	Department of Mathematics	University of Illinois - Chicago
Tim Garoni	Institute for Mathematics and its Applications	University of Minnesota
Paul Glasserman	Graduate School of Business	Columbia University
Anne Gundel	Institu fuer Mathematik	Humboldt University Berlin
Chuan-Hsiang Han	Ford Company	University of Minnesota
David C. Heath	Department of Mathematical Sciences	Carnegie Mellon University
Ulrich Horst	Institut für Mathematik	Humboldt Universität zu Berlin
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		University of Minnesota
Yakov Kanter		Morgan Stanley
Mohammad Kazim Khan	Department of Mathematics	Kent State University
Hye-Ryoung Kim		Seoul National University (BK21)
Igor Kojanov	Carlson School of Management	University of Minnesota
Dmitry Kramkov	Center for Computational Finance	Carnegie Mellon University
Thomas G. Kurtz	Department of Mathematics and Statistics	University of Wisconsin
Joseph A. Langsam		Morgan Stanley
Bernard Lapeyre	CERMICS	Ecole Nationale des Ponts et Chaussées
Jeong Hyun Lee	Department of Mathematics	Seoul National University (SRCCS)
Guang-Tsai Lei	Physiology and Bio-Physics	Mayo Clinic
Michael Ludkovski	Department of Operations Research & Financial Engineering	Princeton University
Richard P. McGehee	School of Mathematics	University of Minnesota
Oana Mocioalca	Department of Mathematics	Purdue University
Gary Nan Tie		The St. Paul Companies
Amir Niknejad	Department of Mathematics	University of Illinois - Chicago
George C. Papanicolaou	Department of Mathematics	Stanford University
Lea Popovic	Institute for Mathematics and its Applications	University of Minnesota
Curtis Randall		SciComp Inc.
Greg Rempala	Department of Mathematics	University of Louisville
Luis Jose Roman	Department of Mathematical Sciences	Worcester Polytechnic Institute
Mathias Rousset	Lab. statistique et probabilités	Universite Paul Sabatier
Fadil Santosa	Institute for Mathematics and its Applications	University of Minnesota
Arnd Scheel	Institute for Mathematics and its Applications	University of Minnesota
Louis Scott		Morgan Stanley & Co.
Sashirekha Shanmugavelu	Department of Computer Engineering	University of Minnesota
Steven E. Shreve	Department of Mathematical Science	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 Fix Income	Morgan Stanley & Co.
Yuhong Yang	Department of Statistics	Iowa State University
Ofer Zeitouni	School of Mathematics	University of Minnesota
Yong Zeng	Department of Mathematics and Statistics	University of Missouri - Kansas City
Jun Zhao		University of Minnesota

Photo Gallery       Material from Talks       Abstracts

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