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THEMATIC PROGRAMS |
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December 23, 2024 | ||||||||||||||||||||||||
Numerical and Computational Challenges in Science and EngineeringWeek on Computational Challenges in Mathematical Finance
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.
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Morning Session to be held at The Fields Institute at 222 College Street West | |
8: 30 am - 9:00 am | Registration and Coffee |
9:00 am - 10:30 am | Morning Session |
10:30 am - 10:45 am | Coffee Break |
10:45 am - 12:00 pm | Morning Session Continued |
12:00 pm - 1:00 pm | Lunch at The Fields Institute |
Afternoon Session to be held at the Koffler Institute at 215 Huron Street, Room 208 | |
1:00 pm - 3:00 pm | Afternoon Session |
3:00 pm - 3:15 pm | Afternoon Tea |
3:15 pm - 4:15 pm | Afternoon Session Continued |
An overview of the topics covered includes:
Day 1
Morning
* Introduction, comparison of PDE, Monte Carlo, Lattice methods
* Basic discretization methods
* Stability
* Causes of oscillations in Delta and Gamma
* Positive coefficent discretizations
* Smoothing discontinuous payoffs (projection, averaging)
* American options: the penalty method
* Implicit vs. explicit handling of the American constraint
* Timestep selection
* Discretely observed barriers
* Discrete non-proportional dividends
Afternoon (Matlab Sessions)
* Non-uniform grids, convergence tests
* Fully implicit vs. Crank-Nicolson
* American options: use of the Penalty method
* Variable timesteps
* Discrete Dividends
* Discontinuous Payoffs
Day 2
Morning
* Nonlinearities: uncertain volatility, transaction costs
* Convergence to the viscosity solution
* Finite volume vs. forward/backward differencing
* Path dependent options: the augmented state variable approach
* Examples: Asian options, Shouts, Parisian barriers
* Software issues: a general framework
* Implementation on high-performance architectures
* Introduction to multi-factor option pricing
Afternoon (Matlab Sessions)
* Barrier options
* Fully implicit methods for uncertain volatility models
* Asian options: interpolation effects, comparison with forward shooting
grid
* Parisian options
Fee: $400 -- includes lunch and and refreshments for both days.
Space in this course is limited to 25, please register early.
Please note that this course
is now full.
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