Workshop

This conference is co-sponsored by the JOURNAL OF COMPUTATIONAL FINANCE. PLEASE NOTE: There is a registration fee of US$395 for this conference. This fee may be paid in advance by Visa or Mastercard or check, or at the door by check only. Randomized algorithms have been used in finance for many years; the most famous example being the Monte Carlo techniques that have been used in many contexts. This conference will focus on the latest advances, with talks by leading experts in academia and industry. There will be tutorials on Friday, March 30, and research talks on Saturday and Sunday (March 31 and April 1). The tutorials will be held at MSRI in Berkeley, and the research talks will be held in San Francisco. Participants could stay either in Berkeley or in San Francisco; transportation will be arranged as needed. Tutorials: Friday, March 30, will be devoted to four tutorials aimed at introducing the audience to important ideas in the field: 9:00 -10:30 am -- Phelim Boyle: "Applications of the Monte Carlo method in finance" 10:30am -12:00 noon -- Claudia Kluppelberg: "Extreme value statistics in finance" 1:30-3:00 pm -- Francis Longstaff: "Solving American option and portfolio choice problems using the Least Squares Monte Carlo (LSM) Algorithm" 3:30-5:00 pm -- Alistair Sinclair: "Markov Chain Monte Carlo methods" Research talks: The program for Saturday and Sunday, March 31 and April 1, will consist of cutting-edge talks on the latest advances in Extreme Value Theory, Auction Theory, High-Dimensionality Problems, and Numerical Solutions of Stochastic Differential Equations applied to a large array of financial problems, including Credit Derivatives, Risk Management, and Mortgage-backed Securities. The speakers will include: Marco Avellaneda, New York University Peter Carr, Bank of America Securities Michael Dempster, University of Cambridge Jin Duan, Hong Kong University of Science and Technology, and the University of Toronto Eckhard Platen, University of Technology, Sydney Pedro Santa-Clara, UCLA Domingo Tavella, Octanti Associates Didier Vermeiren, Octanti Associates Location: The Friday tutorials will be held at the Mathematical Sciences Research Institute in Berkeley, California, on the University of California campus. The research talks on Saturday and Sunday will be held in the Hyatt Regency Embarcadero in San Francisco. Transportation between Berkeley and San Francisco will be arranged as needed so that participants can stay in hotels in either city. Fee: The registration fee is $395. There is partial financial support available, for the registration fee, travel, and lodging, for students and others without other sources of support; please apply as part of the on-line registration. Funded in part by the National Security Agency.