Tuesday, July 14
MS20
Mathematical Problems Arising in Financial Risk Management
10:30 AM-12:30 PM
Room: Sidney Smith 1088
Due to the increased pressure of regulators world-wide and growing competitive business needs, financial institutions and corporate investors have increased their focus on measuring and managing financial risks. This has resulted in enormous opportunities for applied mathematicians both in academia and industry. In this session, the speakers will present some interesting problems that have invaluable practical applications for risk measurement and management of large and complex portfolios, pricing and hedging, and financial simulation.
Organizers: Ron Dembo and Dan Rosen
Algorithmics Inc., Toronto, Canada
- 10:30 A Review of the Mathematics of Risk Measurement
- Luis Seco, RiskLab, University of Toronto, Canada
- 11:00 Portfolio Compression and Projection Pursuit Regression
- Stathis Tompaidis, University of Texas, Austin and Austin Power Analytics LLC
- 11:30 Monte Carlo, Quasi-Monte Carlo and Stratified Sampling Methods in Risk Simulations
- Alex Kreinin, Leonid Merkulovitch, Algorithmics, Inc., Toronto, Canada; Dan Rosen, Organizer; and Michael Zerbs, Algorithmics Inc., Toronto, Canada
- 12:00 Application of Duality in Portfolio Replication for the Estimation of Implied Risk Neutral Probabilities
- Ron Dembo and Dan Rosen, Organizers; and David Saunders, RiskLab, University of Toronto, Canada
LMH, 3/17/98, MMD, 5/27/98