Statistical and Applied Mathematical Sciences Institute
19 T. W. Alexander Drive
P.O. Box 14006
Research Triangle Park, NC 27709-4006
Tel: 919.685.9350 FAX: 919.685.9360
[email protected]

 

2005 Program on
Financial Mathematics, Statistics and Econometrics


Kickoff Tutorials & Workshops
September 18-21, 2005

 

GENERAL INFORMATION

The Opening Workshop for the SAMSI program on Financial Mathematics, Statistics and Econometrics will be held Monday-Wednesday, September 19-21, 2005, at the Radisson Hotel RTP in Research Triangle Park, NC.  It will be preceded, on Sunday, September 18, by tutorials on financial mathematics and econometrics by Ronnie Sircar (Princeton) and Bas Werker (Tilburg).

 

The goal of the opening workshop is to initiate discussion focused on identifying avenues of areas of research in financial mathematics, statistics and econometrics, including models of risk and uncertainty, extreme events; equity, credit, and energy markets; computational and practitioners issues, portfolio optimization.  A prominent theme throughout both the workshop and program will be the necessity of exploiting the natural synergy between areas of financial mathematics, statistics and econometrics.

 

Programmatic perspectives and necessary research directions will be provided by 18 invited speakers and moderators who will focus and initiate discussion between the invited speakers and attendees.  To stimulate engagement of all participants, attendees are encouraged to participate in the discussions during the sessions, breaks, and periods of time devoted to the constitution of working groups.  This will provide additional perspectives regarding symbiotic research directions to be pursued within the program.

 

 

SCIENTIFIC COMMITTEE

 

Ole Barndorff-Nielsen (Aarhus), Rene Carmona (Princeton), Darrell Duffie (Stanford), Nicole El Karoui (Ecole Polytechnique), Jean-Pierre Fouque (co-chair, NCSU), Eric Ghysels (co-chair, UNC), Lars Hansen (UChicago), Robert Jarrow (Cornell), and Thaleia Zariphopoulou (UTx-Austin).

 

REGISTRATION

The workshop is open to applied mathematicians, statisticians, economists, and related fields, with interest in or research focus on financial mathematics, statistics and econometrics.  Young researchers (graduate students, postdocs, and faculty in the early stages of their careers) and members of underrepresented groups are especially encouraged to apply.

Registration information, including requests for financial support, should be submitted as soon as possible. ON-LINE REGISTRATION IS REQUIRED.  The registration deadline is AUGUST 18, 2005.  In order to ensure your registration is correct, we ask that you:

Please make reservations at the Radisson as soon as possible. The SAMSI room block for the Radisson is effective until August 27, 2005.  After this date, there is no guarantee a room will be available.  If you have a change in plans, individual room reservations must be cancelled 72 hours prior to arrival. Check-in is at 3:00 PM; check-out is 12:00 noon.

As it is difficult to control the temperature in the large conference rooms, we suggest you bring a light jacket or sweater with you.

ON-LINE REGISTRATION FORM

 

 

 TENTATIVE SCHEDULE

Sunday, September 18, 2005

Radisson Hotel RTP, Room H (3rd Floor)

 

8:15-9:00 AM

Registration and Continental Breakfast

 
9:00-5:00 PM

Tutorials 

9:00-10:30 

   		 Financial Mathematics 
Ronnie Sircar, Princeton University
10:30-11:00 Coffee Break

11:00-12:30

Financial Mathematics continued
12:30-1:30 Lunch
1:30-3:00

Financial Econometrics

Bas Werker, Tilburg University

 
3:00-3:30 Coffee Break
3:30-5:00

Financial Econometrics continued

 
6:30-8:30 PM

Poster Session and Reception at SAMSI (+)

Continuous shuttle service for the Poster Session will be provided by Carolina Livery. The first shuttle will depart from the Radisson at 6:25pm and the last shuttle will leave SAMSI at 8:35pm. Poster Presenters: A shuttle will leave at 5:15pm to bring you to SAMSI for set-up. 

(+) SAMSI will provide poster presentation boards. The board dimensions are 4 ft. wide by 3 ft. high. They are tri-fold with each side being 1 ft. wide and the center 2 ft. wide. Please make sure your poster fits the board. Posters may not be taped to the walls or blackboards.  

 

Monday, September 19, 2005

Radisson Hotel RTP, Room H (3rd floor)

 

8:30-9:00 AM

Registration and Continental Breakfast

 
9:00-9:15 AM

Introduction and Welcome

Jim Berger, SAMSI

Jean-Pierre Fouque, North Carolina State University

Eric Ghysels, University of North Carolina

 
9:15-10:15 AM

Inaugural Lecture

Robert Engle, New York University

2004 Nobel Laureate

 
10:15-10:45 AM Coffee Break
10:45-12:15 PM

SESSION 1:  Model Uncertainty

Organizers:  Eric Ghysels and Lars Hansen

 

  • Lars Peter Hansen, University of Chicago

  • Jennifer Juergens, Arizona State University

 

Moderator:  Eric Renault, University of North Carolina

 

12:15-1:45 PM Lunch
1:45-4:00 PM

SESSION 2:  Statistics and Finance

Organizer:  Ruey Tsay

  • T.L. Lai, Stanford University

  • Alan Bester University of Chicago

  • Antje Berndt, Cornell University

Moderators:  Daren Cline, Texas A&M University

                    Zongwu Cai, University of North Carolina-Charlotte

 

4:00-4:30 PM Coffee Break
4:00-5:45 PM

Panel Discussion:  Models of Risk and Uncertainty:  What is the Future?

Organizer:  Eric Ghysels

  • Ole Barndorff-Nielsen, Aarhus University

  • Robert Engle, New York University

  • Lars Hansen, University of Chicago

  • Ruey Tsay, University of Chicago

Moderator:  George Tauchen, Duke University

 

 

 

Tuesday, September 20, 2005

Radisson Hotel RTP, Room H (3rd floor)

 

8:00-8:30 AM

Registration and Continental Breakfast

 
8:30-10:45 AM

SESSION 3:  Extreme Events

Organizers and Moderators:  

Eric Renault, University of North Carolina

Richard Smith, University of North Carolina

George Tauchen, Duke University

  • Neil Shephard, Oxford University

  • Rama Cont, Ecole Polytechnique

  • Lan Zhang, Carnegie Mellon University

 

10:45-11:15 AM

Coffee Break

 
11:15-12:15 PM

SESSION 4:  Energy Markets

  • Rene Carmona, Princeton University

Moderator:  Glen Snider, Progress Energy (Raleigh, NC)

 

12:15-2:00 PM

Lunch

 
2:00-3:30 PM

SESSION 5:  Derivatives

  • Marco Avellaneda, New York University

  • Thaleia Zariphopoulou, University of Texas-Austin

Moderators:  Nicole Elkaroui, Ecole Polytechnique

                    Ronnie Sircar, Princeton University

 
3:30-4:00 PM Coffee Break
4:00-5:30 PM

SESSION 6:  Credit Risk

  • Robert Jarrow, Cornell University

  • Vadim Linetsky, Northwestern University

Moderators:  Monique Jeanblanc, University of Evry

                    Jean-Pierre Fouque, North Carolina State University

 

 

Wednesday, September 21, 2005

Radisson Hotel RTP, Room H (3rd floor)

 

8:00-8:30 AM

Continental Breakfast

 
8:30-10:00 AM

SESSION 7:  Computational Issues

  • Blake LeBaron, Brandeis University

  • Stathis Tompaidis, University of Texas-Austin

Moderator:  Ron Gallant, Duke University

 

10:00-10:30 AM

Coffee Break

 
10:30-12:00 PM

SESSION 8:  Practioners Session

  • Adrian Banner, INTECH

  • Yakov Kanter, Morgan Stanley

Moderator:  Peter Cotton, Morgan Stanley

 
12:00-1:30 PM Lunch

 

1:30-3:00 PM

SESSION 9:  Portfolio Optimization

  • Aytac Ilhan, Oxford University

  • Ron Kaniel, Duke University

Moderator:  Thaleia Zariphopoulou, University of Texas-Austin

 

3:00-3:30 PM

Coffee Break

 

3:30-5:30 PM

Discussion and constitution of working groups

 

 

 

 

Local Information (Hotels, etc.)

 

 

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