THEMATIC PROGRAMS

Numerical and Computational Challenges in Science and Engineering

Week on Computational Challenges in Mathematical Finance
February 25 - March 1, 2002

This week starts off with a two day short course on PDE methods for path dependent options , followed by a three day workshop on Computational Methods and Applications in Finance.

February 27 - March 1, 2002
Workshop on Computational Methods and Applications in Finance

Workshop Organizers:
Thomas Coleman (Cornell) coleman@cs.cornell.edu
Tom Hurd (McMaster) hurdt@mcmaster.ca
Peter Forsyth (Waterloo) paforsyt@elora.uwaterloo .ca
Ken Vetzal (Waterloo) kvetzal@watarts.uwaterloo.ca

Sponsors:

This workshop is sponsored by the Fields Institute, NSERC, and RBC Financial Group.

Overview:
This workshop will focus on some recent advances in numerical algorithms in finance, together with applications to problems of interest to practitioners.

Schedule of Speakers

Wednesday February 27
Session Chair: Ken Vetzal (Waterloo)
9:00-9:45	Leif Andersen (General Re Securities) landerse@genre.com "Primal/dual simulation of high-dimensional American options" (joint with M. Broadie)
9:45-10:30	Philip Protter (Cornell) protter@orie.cornell.edu "The Longstaff-Schwartz algorithm for pricing American options actually works"
10:30-11:00	Break
11:00-11:45	Adam Kolkiewicz (Waterloo) wakolkiewicz@setosa.uwaterloo.ca "Pricing American style contracts on multiple assets using simulations"
11:45-1:30	Lunch
Session Chair: Peter Forsyth(Waterloo)
1:30-2:15	Paul Glasserman (Columbia) pg20@columbia.edu "Cap and Swaption Approximations in LIBOR Market Models with Jumps"
2:15-3:00	Petter Wiberg (University of Toronto) wiberg@cs.toronto.edu "Dimension reduction in the computation of value-at-risk"
3:00-3:30	Break
3:30-4:15	Claudio Albanese (MathPoint and University of Toronto) albanese@math.toronto.edu "Jumps, stochastic volatility and the method of lines"
Thursday February 28
Session Chair: Thomas Coleman (Cornell)
9:00-9:45	Juergen Topper (Andersen, Germany) juergen.topper@de.arthurandersen.com "Worst-case pricing of multi-asset options"
9:45-10:30	David Pooley (Waterloo) dmpooley@elora.uwaterloo.ca "Convergence of numerical methods for uncertain volatility models"
10:30-11:00	Break
11:00-11:45	William F. Shadwick (The Finance Development Centre Limited, London)shadwick@dial.pipex.com "Business/modelling issues in Option Pricing"
11:45-1:30	Lunch
Session Chair: Jason Breckenridge (RBC Financial Group)
1:30-2:15	Yong Wang (RBC Financial Group, Toronto) yong.wang@royalbank.com "Risk decomposition"
2:15-3:00	Dan Rosen (Algorithmics) drosen@algorithmics.com "Advanced methods for pricing and managing loan portfolios"
3:00-3:30	Break
3:30-4:15	Stanislav Uryasev (University of Florida) uryasev@ise.ufl.edu "Risk management using conditional Value-at-Risk"
4:15-6:30	Reception
Friday March 1
Session Chair: Ken Jackson (Toronto)
9:00-9:45	Robert Almgren (University of Toronto) almgren@math.toronto.edu "Optimal execution with nonlinear cost functions and trading-enhanced risk"
9:45-10:30	Yuying Li (Cornell) yuying@cs.cornell.edu (joint with T. Coleman, C. Patron) "Discrete Hedging Using Piecewise Linear Risk Minimization"
10:30-11:00	Break
11:00-11:45	Peter Carr (Courant Institute, NYU) pcarr@nyc.rr.com "Derivatives, Duality, and Time Reversal"
11:45-1:30	Lunch
Session Chair: Tom Hurd (McMaster)
1:30-2:15	Alexander Eydeland (Mirant Corporation) alexander.eydeland@mirant.com "Computational challenges in energy derivatives"
2:15-3:00	Tony Ware (University of Calgary) ware@math.ucalgary.ca "Partial differential equation techniques for nergy contracts"
3:00-3:30	Break
3:30-4:15	Matt Davison (Western Ontario) mdavison@julian.uwo.ca "Pricing swing options: numerical approaches"

 

Workshop Fee:
$150 including lunch and refreshments. Space limited to 100. Conference fees waived for employees of RBC Financial Group and subsidiaries.

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Accommodation:

A block of rooms for participants have been arranged the hotels listed below. Please request the Fields Institute rate when booking . Rooms must be reserved before January 22, 2002 to receive the Fields rate.

Days Inn 30 Carleton Street, Toronto, ON, M5B 2E9 Tel: 416 977-6655 Toll Free 1-800-367-9601 (8:30 am- 6pm) (approx. $99/night CDN)

Quality Hotel 280 Bloor Street West Toronto, ON, M5S 1V8 Tel: (416) 968-0010 Fax: (416) 968-7765 (approx. $125/night CDN)

For additional accommodation resources, please see the Fields Housing page