Workshop

Chairmanship and organizing committee: Conference Chairs Jesper Andreasen (Bank of America) Myron Scholes (Stanford University) Domingo Tavella (HypoVereinsbank) Organizing Committee Carl Chiarella (UTS, Australia) Michael Dempster (Cambridge UK) Emanuel Derman (Columbia) Darrell Duffie (Stanford) David Eisenbud (MSRI) Jim Gatheral (Merril Lynch/Courant) Paul Glasserman (Columbia) Robert Jarrow (Cornell) Alexander Lipton (Citadel investments) Francis Longstaff (UCLA) Philipp Schoenbucher (ETH, Zuerich) Eduardo Schwartz (UCLA) Objectives The objective of this event is to mark the first decade of Computational Finance as a discipline in its own right. The event will take place in London, which offers the advantage of a central location and a substantial local audience. The first Computational Finance Conference was a one-day event that took place at Stanford University in 1996 and was chaired by Darrel Duffie and Domingo Tavella. The 1996 event attracted over 150 delegates from around the world and marked the start of a new discipline, which quickly shaped itself into a distinct field within Financial Engineering. Ten years later, Computational Finance has led to fundamental changes in the way quantitative financial problems are tackled. During the last decade, Computational Finance has benefited from the continued development of computer technology, from the increased level of sophistication of the work force, and from the emergence of a significant number of high-quality graduate programs around the world. Most importantly, Computational Finance has solidified its paradigm as a new field of professional activity and research. The Computational Finance World Congress will bring together some of the most significant contributors to this field, and will provide a forum for discussing outstanding challenges and recent breakthroughs. The Computational Finance World Congress will be configured as a one-day event on a Monday, to facilitate attendance of experts from around the world. Primary sponsor and organizer The primary sponsor of the event is the Mathematical Sciences Research Institute (MSRI) at Berkeley, California. MSRI is a highly recognized institution whose mission is to foster mathematical research. MSRI attracts some of the world’s brightest minds in applied and theoretical mathematics and enjoys a stellar reputation. The current director of MSRI, Prof. David Eisenbud, is on the Organizing Committee of the event. MSRI will manage registrations and the on-site implementation of the event. Associate sponsors Associate sponsors are being sought from investment banks and financial institutions. Sponsoring financial firms will contribute $30,000 toward the event expense, or may contribute toward paying for specific costs of the event, such as food, rental expense, or dissemination of information. Information dissemination Dissemination of information about the event will take place through MSRI own databases, Wilmott’s web site and, if sponsorship is agreed to, through IAFE’s membership information. Sponsoring organizations benefit from the high level of exposure to a very relevant segment of the finance community. The event will have its own web site, designed, set up, and operated by MSRI. Sponsoring organizations will have their names listed on the event web site and may have links to their own web sites through the official web site of the event. Size and attendance The event will offer approximately 20 sessions, consisting of a mix of invited and competitive papers. Some distinguished speakers have already agreed to participate. Anticipated attendance to the event is between 100 and 150 delegates. Publication of papers It is anticipated that papers will be published in special issues of Wilmott Magazine dedicated to Computational Finance, insuring broad distribution worldwide.