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Financial Mathematics

1st January 1995 to 30th June 1995

Organisers: MHA Davis (Imperial), SD Hodges (Warwick), I Karatzas (Columbia), LCG Rogers (Bath)

Programme Theme

The programme will comprise visits by many leading academics from the various subjects nowadays involved in the theory and practice of finance, and visits by interested practitioners.

There will be two full-scale meetings during the 6 months, the first (supported by the EC) at the beginning of January, designed to introduce themes from mathematical finance to those who have not previously specialised in it, and the second (supported by the Bank of England) in May-June, to present recent developments in the subject.

Besides this, there will be a practitioners' workshop at the end of March, and a range of one- or two-week special emphases on specific topics, where attention will be focused on specific problems. Running throughout the six months there will be seminar afternoons on Fridays, approximately once every fortnight.

But the most unusual and exciting feature of the programmes at the Newton Institute is that for a prolonged period, many of the world's top people in the subject will be gathered together and interacting, discussing and hopefully solving problems, holding seminars, and generally advancing understanding of the whole area.

Meetings and Special Emphasis

  • January 4--10 Introductory Meeting: Mathematical Finance: Stewart Hodges
  • February 8 LMS Spitalfields Day: Recent Developments in Financial Mathematics: Chris Rogers
  • March 6--10 Relations Between Finance and Insurance: Mark Davis, Paul Embrechts and Helyette Geman
  • March 12--24 Optimal Portfolios Special Emphasis: Ioannis Karatzas
  • March 25--31 Practitioners' Workshop: Sam Howison and Paul Wilmott
  • April 10--14 Numerical Methods Special Emphasis: Alain Bensoussan, Denis Talay and Agnes Sulem
  • May 1--5 Financial Econometrics and Stochastic Volatility: Andrew Harvey
  • May 8--13 World Wide Security Market Anomalies Special Emphasis: Bill Ziemba
  • May 15--20 World Wide Asset Allocation Special Emphasis: Bill Ziemba
  • May 21--June 3 Mathematics of Finance: Models, Theories and Computation: Michael Dempster
  • June 6--9 Market Imperfections and Differential Information: Stan Pliska and Pete Kyle
  • June 12--16 Term Structure of Interest Rates: Darrell Duffie

Professor Stan Pliska has been offered and has accepted a Prudential Distinguished Visiting Fellowship and will be in Cambridge for the whole programme.

Participation

The following are expected to participate in the programme:

K Aase, Y Ait-Sahalia, P Artzner, S Babbs, A Bensoussan, A Bick, T Bjork, P P Boyle, M Bray, M Brennan, H Buhlmann, A Cadenillas, T M Cover, M Crouhy, J Cvitanic, A Dassios, M Davis, F Delbaen, M Dempster, J Detemple, J-C Duan, D Duffie, D Dufresne, B Dumas, P Dybvig, E Eberlein, R J Elliott, P Embrechts, L P Foldes, H Follmer, H Geman, E Ghysels, G S Goodman, P Gottardi, C Gourieroux, F Hahn, A Harvey, D Heath, D G Hobson, S D Hodges, S D Howison, G Huberman, S Jacka, I Karatzas, T Kariya, D Kennedy, P E Kopp, R Korn, D Kramkov, P Kyle, P Lakner, D Lamberton, B Lapeyre, J P Lehoczky, D Lovatt, T Lyons, D B Madan, A Melino, A V Melnikov, M Musiela, A Neuberger, B Oksendal, W Perraudin, E Platen, S Pliska, S Rady, E Renault, H R Richardson, G Roberts, L C G Rogers, W Runggaldier, S E Satchell, W Schachermeyer, J Scheinkman, M Schweizer, L O Scott, M J P Selby, H Shirakawa, A Shiryaev, S Shreve, J Steeley, C Stricker, A Sulem, S M Sundaresan, E Tabakis, D Talay, M Taqqu, S J Taylor, J Vecer, T Vorst, N Webber, W Willinger, P Wilmott, W Zame, T Zariphopoulou, W T Ziemba.

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