22nd-26th May 2001
Infinite dimensional models in mathematical finance
Organisers: Jo Kennedy, Roger Tribe, and Jerzy Zabczyk
As an introduction to the talks of the workshop, Rene Carmona will give four lectures on:
Interest rate Models: from parametric statistics to infinte dimensional stochastic analysis.
- Lecture 1: The Mechanics of the Fixed Income Markets
- Lecture 2: Analysis of the data, and first mathematical models.
- Lecture 3: Infinite Dimensional (Stochastic Analysis)
- Lecture 4: Back to the Interest Rate Models: the Generalized HJM Models
- Lectures 1/2 - Tuesday 3.00-4.00 and 4.30-5.30 in MI1
- Lectures 3/4 - Wednesday 3.00-4.00 and 4.30-5.30 in MI1
Main session of talks - all held in GLT1
Thursday 24th May 2001
- 2.30 - 3.30 Yuri Kabanov I
- 4.15 - 5.15 Damir Filipovic 1
- 5.30 - 6.30 Bent Christensen
Friday 25th May 2001
- 9.30 - 11.00 Rama Cont
- 11.30 - 12.30 Bernt Oksendall
- 1.30 - 2.20 Yuri Kabanov II
- 2.30 - 3.20 Damir Filipovic II
- 4.00 - 5.00 Chris Rogers (Departmental Colloquium) Monte Carlo valuation of American Options
Saturday 26th May 2001
- 9.30 - 10.30 Jerzy Zabczyk
- 11.00 - 12.00 Josef Teichamnn
- 12.00 - 12.30 Valdo Durlemann
- 1.30 - 2.30 Saul Jacka
- 2.45 - 3.45 Marek Musiela
Titles of Talks:
- Christensen: Infinite dimensional interest rate dynamics, stochastic volatility, yield curve calibration and finite dimensional manifolds.
- Cont: Term structure dynamics and parabolic SPDEs.
- Durlemann: Implied correlation and spread options.
- Filipovic: Consistency problems for Heath-Jarrow-Morton interest rate models.
- Jacka: No arbitrage for infinite dimensional term structure models
- Kabanov: T.B.A. (on models with jumps)
- Musiela: Pricing and risk management of derivatives written on non-traded assets.
- Oksendall: Optimal control of systems described by SPDEs and applications to optimal consumption and portfolio probelms with partial observation
- Teichmann: Interest rate models and infinite dimensional geometry - the classification result.
- Zabczyk: Variational inequalities and applications to optimal stopping.
Please contact Peta McAllister (email@example.com) if need help in finding accommodation.
The week is supported by LMS and we hope to be able to offer some support visiting academics for travel and accommodation. Please contact Peta for details.