Monday, July 13

MS1
Computational Finance

10:30 AM-1:00 PM
Room: Sidney Smith 1069

Computational finance is an area that spans a broad range of topics and applications, including pricing theory, risk management and commodity trading. A large number of tools from applied mathematics have found application in this new area. The speakers will discuss some of these tools and their applications.

10:30 Pricing and Hedging Swing Options in the Energy Markets

Stathis Tompaidis, University of Texas, Austin

11:00 Bayesian Value at Risk: Calibration and Simulation

Alexander Levin, Bank of Montreal, Canada; and Claudio Albanese, Organizer

11:30 Coherent Measures of Diversification Risk

Li Liu, Algorithmics Inc., Toronto, Canada

12:00 An Alternative Approach for Pricing Continuous Cash Flows

Peter Carr, Morgan Stanley, New York

12:30 Pricing and Hedging with Stochastic Implied Volatility

Claudio Albanese, Organizer; Peter Carr, Morgan Stanley, New York; Dilip Madan, University of Maryland and Morgan Stanley, New York; and Olga Yashkir, University of Toronto and Department of Treasury Analytics, Bank of Montreal