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THEMATIC PROGRAMS |
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Program in Probability and Its Applications Symposium on Numerical Stochastics in Finance -- April
19, 1999
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MONDAY, APRIL 19, 1999
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| 8:30-9:30 | REGISTRATION at Fields Reception Desk |
| 9:30-10:45 | Phelim Boyle (University of Waterloo) "Introduction to Modern Finance" |
| 10:45-11:00 | Coffee Break |
| 11:00-12:00 | Pierre L'Ecuyer(Université de Montréal) "Monte Carlo and Quasi-Monte Carlo Methods" |
| 12:00-1:30 | Lunch |
| 1:30-2:30 | Dietmar Leisen (Stanford University) "Continuous-Time Finance and Its Approximations" |
| 2:30-2:45 | Coffee Break |
| 2:45-3:45 | Philip Protter (Purdue University) "Numerical Methods for Stochastic Differential Equations arising in Finance" |
| 4:00-5:00 | Panel discussion: "Directions in Research" |
Workshop on Numerical Methods and Stochastics
Tuesday April 20 - Friday April 23, 1999
SCHEDULE
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TUESDAY APRIL 20, 1999
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| 9:45-10:45 | Terry Lyons (Imperial College, London) "Mathematical problems in numerical stochastic analysis" |
| 10:45-11:00 | Coffee Break |
| 11:00-12:00 | Philip Protter (Purdue University) "Some recent results concerning numerical methods for stochastic differential equations" |
| 12:00-1:30 | Lunch |
| 1:30-2:30 | Prof. J.B. Walsh (University of British Columbia) "Stochastic Partial Differential Equations" |
| 2:30-3:00 | Coffee Break |
| 3:00-4:00 | Jessica Gaines(University of Edinburgh) "Discretisation methods for numerical solution of SDE's and SPDE'S" |
| 4:00-5:30 | Reception |
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WEDNESDAY APRIL 21, 1999
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| 9:45-10:45 | Dan Crisan (University of Cambridge) "Numerical methods for solving the stochastic filtering problem" |
| 10:45-11:00 | Coffee Break |
| 11:00-12:00 | Pierre Del Moral (Université Paul Sabatier) "Genetic/particle algorithms and their application to integration of functionals in high dimensions" |
| 12:00-1:30 | Lunch |
| 1:30-2:30 | Laurent Miclo (Université de Toulouse) "Time-continuous interacting particle approximations of Feynman-Kac formulae" |
| 2:30-3:00 | Coffee Break |
| 3:00-4:00 | Alice Guionnet (Université de Paris Sud) "Particle systems approximations of non-linear differential equations I" |
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THURSDAY APRIL 22, 1999
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| 9:45-10:45 | Pierre Del Moral (Université Paul Sabatier) "Branching and Interacting Particle Systems Approximations of Feynman-Kac Formulae with Applications to Non Linear Filtering" |
| 10:45-11:00 | Coffee Break |
| 11:00-12:00 | Alice Guionnet (Université de Paris Sud) "Particle systems approximations of non-linear differential equations II " |
| 12:00-1:30 | Lunch |
| 1:30-2:30 | Dan Crisan (University of Cambridge) "Optimal filtering on binary trees" |
| 2:30-3:00 | Coffee Break |
| 3:00-4:00 | Frederi Viens (University of North Texas) "Simulating the fast dynamo problem for stochastic magneto-hydrodynamics via discretized Feynman-Kac formulae" |
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FRIDAY APRIL 23, 1999
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| 9:45-10:45 | Jessica Gaines(University of Edinburgh) "Optimal convergence rates of discretisation methods for parabolic SPDE's" |
| 10:45-11:00 | Coffee Break |
| 11:00-12:00 | Prof. J.B. Walsh (University of British Columbia) "Brownian motion and convergence rates of binomial tree methods" |
| 12:00-1:30 | Lunch |
| 1:30-2:30 | Terry Lyons (Imperial College, London) "Rough paths and variable steps in the numerical analysis of fractional and classical stochastic processes" |
| 2:30-3:00 | Coffee Break |