Program in Probability and Its Applications
Symposium on Numerical Stochastics in Finance --
Monday April 19, 1999
Organizing Committee
T. Lyons (Imperial College)
T. Salisbury (York University)
A large part of modern financial theory is based on probabilistic models.
Increasingly, sophisticated numerical techniques are being developed
for the solution of concrete problems involving these models. This one-day
symposium will survey current work in this area, and will attempt to
focus attention on emerging topics of research.
Speakers
- Phelim P. Boyle (University of Waterloo)
- Pierre L'Ecuyer (Université de Montréal)
- Dietmar Leisen (Stanford University)
- Philip Protter (Purdue University)
The symposium will conclude with a panel discussion on directions for
research.
The Symposium focuses specifically on numerical problems arising in
Finance.
The general topic of numerical techniques in Probability theory is addressed
in a workshop that immediately follows the Symposium:
Workshop on Numerical Methods and Stochastics,
Tuesday, April 20 to Friday, April 23
