Model Implementation, Algorithms and Software Issues

May 03 - 07, 2004

Probability and Statistics in Complex Systems: Genomics, Networks, and Financial Engineering

Content

Overview

Organizers:

Joseph Langsam
George Papanicolaou	Stanford University

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

Schedule

Monday, May 03, 2004

8:30 am - 9:15 am	Coffee and Registration	Keller 3-176
9:15 am - 9:30 am	Welcome and Introduction Scot Adams (University of Minnesota, Twin Cities), Douglas Arnold (University of Minnesota, Twin Cities), Joseph Langsam, George Papanicolaou (Stanford University)	Keller 3-180
9:30 am - 10:20 am	Changing Dynamics in the Securities Market Joseph Langsam	Keller 3-180
10:20 am - 10:30 am	Discussion	Keller 3-180
10:30 am - 11:00 am	Coffee Break	Keller 3-176
11:00 am - 11:50 am	A Two-Person Game for Pricing Convertible Bonds Steven Shreve (Carnegie-Mellon University)	Keller 3-180
11:50 am - 12:00 pm	Discussion	Keller 3-180
12:00 pm - 1:30 pm	Lunch
1:30 pm - 2:20 pm	Mandatory or Voluntary Retirement Philip Dybvig (Washington University)	Keller 3-180
2:20 pm - 2:30 pm	Discussion	Keller 3-180
2:30 pm - 3:00 pm	Coffee Break	Keller 3-176
3:00 pm - 3:30 pm	Second Chances	Keller 3-180
3:30 pm - 3:40 pm	Group Photo
3:40 pm - 5:00 pm	IMA Tea and more (with POSTER SESSION)	Lind 400

Tuesday, May 04, 2004

9:00 am - 9:30 am	Coffee	Keller 3-176
9:30 am - 10:20 am	Variance Reduction for MC Methods to Evaluate Option Prices Under Multi-Factor Stochastic Volatility Models Jean-Pierre Fouque (North Carolina State University)	Keller 3-180
10:20 am - 10:30 am	Discussion	Keller 3-180
10:30 am - 11:00 am	Coffee Break	Keller 3-176
11:00 am - 11:50 am	A General Equilibrium Model of the Term Structure of Interest Rates Under Regime-Switching Risk Yong Zeng (University of Missouri)	Keller 3-180
11:50 am - 12:00 pm	Discussion	Keller 3-180
12:00 pm - 1:30 pm	Lunch
1:30 pm - 2:20 pm	Efficient Option Valuation Using (Non-Recombining) Trees David Heath (Carnegie-Mellon University)	Keller 3-180
2:20 pm - 2:30 pm	Discussion	Keller 3-180
2:30 pm - 3:00 pm	Coffee Break	Keller 3-176
3:00 pm - 3:30 pm	Second Chances	Keller 3-180
3:30 pm - 4:00 pm	Walk along the Mississippi (weather permitting)

Wednesday, May 05, 2004

9:00 am - 9:30 am	Coffee	Keller 3-176
9:30 am - 10:20 am	Risk Measurement; Risk Architecture and the Bank of the Future Ron Dembo (Algorithmics Incorporated)	Keller 3-180
10:20 am - 10:30 am	Discussion	Keller 3-180
10:30 am - 11:00 am	Coffee Break	Keller 3-176
11:00 am - 11:50 am	Monte Carlo Pricing of American Options: Overview and New Results Paul Glasserman	Keller 3-180
11:50 am - 12:00 pm	Discussion	Keller 3-180
12:00 pm - 1:30 pm	Lunch
1:30 pm - 2:20 pm	Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility Pierre Collin-Dufresne (Carnegie-Mellon University)	Keller 3-180
2:20 pm - 2:30 pm	Discussion	Keller 3-180
2:30 pm - 3:00 pm	Coffee Break	Keller 3-180
3:00 pm - 3:30 pm	Second Chances	Keller 3-180

Thursday, May 06, 2004

9:00 am - 9:30 am	Coffee	Keller 3-176
9:30 am - 10:20 am	Software Synthesis - Pricing Without Programming Curtis Randall (SciComp Inc.)	Keller 3-180
10:20 am - 10:30 am	Discussion	Keller 3-180
10:30 am - 11:00 am	Coffee Break	Keller 3-176
11:00 am - 11:50 am	Estimation of Dynamic Term Structure Models Greg Duffee (University of California, Berkeley)	Keller 3-180
11:50 am - 12:00 pm	Discussion	Keller 3-180
12:00 pm - 1:30 pm	Lunch
1:30 pm - 2:20 pm	Risk-Tolerance Wealth Processes and Sensitivity Analysis of Utility Based Prices Dmitry Kramkov (Carnegie-Mellon University)	Keller 3-180
2:20 pm - 2:30 pm	Discussion	Keller 3-180
2:20 pm - 2:30 pm	Discussion	Keller 3-180
2:30 pm - 3:00 pm	Coffee Break	Keller 3-176
3:00 pm - 3:30 pm	Second Chances	Keller 3-180
6:00 pm - 8:00 pm	Workshop Dinner

Friday, May 07, 2004

9:00 am - 9:10 am	Coffee	Keller 3-176
9:10 am - 10:00 am	Pricing Options Under Stochastic Volatility: Complete Solution Srdjan Stojanovic (University of Cincinnati)	Keller 3-180
10:00 am - 10:10 am	Discussion	Keller 3-180
10:10 am - 10:20 am	Coffee Break	Keller 3-176
10:20 am - 11:10 am	Stochastic Volatility and Jumps: Risk Management and Hedging Strategies Louis Scott (Morgan Stanley)	Keller 3-180
11:10 am - 11:20 am	Discussion	Keller 3-180
11:20 am - 11:30 am	Coffee Break	Keller 3-176
11:30 am - 11:50 am	Second Chances	Keller 3-180
11:50 am - 12:00 pm	Concluding Remarks by Organizers Joseph Langsam	Keller 3-180
12:00 pm	End of Workshop

Participants

Name	Department	Affiliation
Scot Adams	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
Greg Anderson	School of Mathematics	University of Minnesota, Twin Cities
Douglas Arnold	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
Donald Aronson	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
Gerard Awanou	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
Hee-Jeong Baek	Department of Mathematics	Seoul National University
Karen Ball	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
Antar Bandyopadhyay	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
Peter Bank	Department of Mathematics	Humboldt-Universität
Luca Benzoni		University of Minnesota, Twin Cities
Maury Bramson	School of Mathematics	University of Minnesota, Twin Cities
Olga Brezhneva	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
Colette Calmelet	Department of Physics and Mathematics	Tennessee State University
Rene Carmona	Department of 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, Chicago
Tim Garoni	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
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, Twin Cities
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, Twin Cities
Karel Janecek	Department of Mathematical Sciences	Carnegie-Mellon University
Lili Ju	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
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, Twin Cities
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, Twin Cities
Oana Mocioalca	Department of Mathematics	Purdue University
Gary Nan Tie		The St. Paul Companies
Amir Niknejad	Department of Mathematics	University of Illinois, Chicago
George Papanicolaou	Department of Mathematics	Stanford University
Lea Popovic	Institute for Mathematics and its Applications	University of Minnesota, Twin Cities
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, Twin Cities
Arnd Scheel	School of Mathematics	University of Minnesota, Twin Cities
Louis Scott		Morgan Stanley
Sashirekha Shanmugavelu	Department of Computer Engineering	University of Minnesota, Twin Cities
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, Twin Cities
Yong Zeng	Department of Mathematics & Statistics	University of Missouri
Jun Zhao	Institute of Mathematics and its Application	University of Minnesota, Twin Cities