Program

Friday November 11, 2005
8:15am - 8:45am   Breakfast
8:45am - 9:00am  Welcome/Opening Remarks

9:00am - 9:45am   David Lando (Princeton) "Decomposing Swap Spreads"
9:45am - 10:30am Nicolas Victoir (JPMorgan Chase) "Multiname Credit Models".

10:30am - 11:00pm Coffee / Tea

11:00am - 11:45am Bruno Dupire (Bloomberg) "A Free Boundary Approach to Volatility Derivatives"
11:45am - 12:30pm David Hobson (Princeton) "Optimal Timing for an Asset Sale in an Incomplete Market"

12:30pm - 1:30pm Lunch

1:30pm - 2:15pm     Yacine Ait-Sahalia (Princeton) "Volatility Estimators for Discretely Sampled Lévy Processes "
2:15pm - 3:00pm     Jianqing Fan (Princeton) "Modelling Multivariate Volatilities via Conditionally Uncorrelated Components"

3:00pm - 3:30pm Coffee / Tea

3:30pm - 4:15pm    Michael Monoyios (Oxford) "Robust Optimal Hedging Under Parameter Uncertainty"
4:15pm - 5:00pm    Christoph Reisinger (Oxford) "Hierarchical Approximation to Multi-Factor Models"


Saturday November 12, 2005

8:30am - 9:00 am Breakfast

9:00am - 9:45am     Alex d'Aspremont (Princeton) "A Market Test for the Positivity of Arrow-Debreu Prices"
9:45am - 10:30am   Patrick Cheridito (Princeton) "Dynamic monetary risk measures"

10:30am - 11:00am Coffee / Tea

11:00am - 11:45am Peter Carr (Bloomberg) "Options on Maxima, Drawdown, Trading Gains, and Local Time"
11:45am - 12:30pm Terry Lyons (Oxford) "Recombination and Higher Order Methods for solving subelliptic PDE's."

12:30pm - 1:30pm Lunch

1:30pm - 2:05pm Mike Giles (Oxford) "Fast Calculation of Greeks by Monte Carlo using adjoint methods"
2:05pm - 2:40pm  Liuren Wu (CUNY) "Modeling Financial Security Returns Using Levy Processes"
2:40pm - 3:15pm  Savas Dayanik (Princeton) "Adaptive Poisson Disorder Problem"
 

Venue

Registration (Registration is now closed)

Registration is required! To register for the workshop:
• Send an email to Rene Carmona at rcarmona@princeton.edu and  cc Zoya Kramer kramer@princeton.edu
The workshop is funded by:
• Princeton University
• Department of Operations Research & Financial Engineering
• Bendheim Center for Finance

For Further Information Contact