Challenges in Stochastic Computation
Closing Workshop, June 26-28th 2003

Thursday 26 June: Radisson Governor's Inn, room F-G (3rd floor)

8:00am: Continental Breakfast

8:15-8:45:  Registration Check-In

8:45am: Welcome and Introduction

9:00am-10:30am: Session 1 - Graphical Models A
Chair: Chris Hans, Duke University & SAMSI hans@isds.duke.edu

• MCMC for Bayesian data analysis
  Paulo Giudici, University of Pavia, giudici@unipv.it
  

• Graphical Gaussian model selection in a Bayesian framework
  Helene Massam, York University, massamh@mathstat.yorku.ca
  

10:30am-11:00am: Coffee break

11:00am-12:30pm: Session 2 - Graphical Models B
Chair: Carlos Carvalho, Duke University, carlos@isds.duke.edu

• MCMC and stochastic search approaches in Gaussian graphical models
  Beatrix Jones, SAMSI and Duke University, trix@samsi.info,trix@isds.duke.edu
  

• Compositional regressions, DAGs and fitting high-dimensional Gaussian graphical models
  Adrian Dobra, Duke University and SAMSI, adobra@isds.duke.edu
  

12:30pm-1:30pm: Lunch

1:30pm-3:00pm: Session 3
Chair: Chris Carter, Duke University & SAMSI chrisc@isds.duke.edu

• MCMC exact p-values and some applications
  Julian Besag, University of Washington, julian@stat.washington.edu
  

• Stochastic simulation methods for the number of components in a mixture
  Sujit Sahu, University of Southhamption, sks@maths.soton.ac.uk

3:00pm-3:30pm: Tea Break

3:30pm-5:00pm: Session 4 - Model Selection A
Chair: Joe Ibrahim, University of North Carolina, ibrahim@bios.unc.edu

• Mixtures of g-priors and variable selection
  Feng Liang, Duke University, feng@isds.duke.edu
  

• Marginal likelihoods and Bayes factors
  Rui Paulo, SAMSI, rui@samsi.info

Friday 27 June: Radisson Governor's Inn, room F-G (3rd floor)

8:00am: Continental Breakfast

8:30am-9:00am:  Registration Check-In

9:00am-10:30am: Session 5 - Model Selection B
Chair: Susie Bayarri, University of Valencia & Duke University, bayarri@vm.ci.uv.es

• Nonparametric regression variable selection
  Helen Zhang, North Carolina State University hzhang2@stat.ncsu.edu
  

• Model search
  Merlise Clyde, Duke University, merlise@isds.duke.edu

10:30am-11:00am: Coffee break

11:00am-12:30pm: Session 6 - Contingency Tables & Related Topics
Chair: Ian Dinwoodie, Tulane University & Duke SAMSI Fellow, ihd@isds.duke.edu

• Markov chain moves for generating contingency tables with fixed weighted row sums
  Mark Huber, Duke University, mhuber@math.duke.edu
  

• Sequential importance sampling for generating contingency tables with fixed weighted row sums
  Yuguo Chen, Duke University, yuguo@isds.duke.edu

12:30pm-1:30pm: Lunch

1:30pm-3:00pm: Session 7 - Contingency Tables & Related Topics A
Chair: Mark Huber, Duke University, mhuber@math.duke.edu

• Making inferences from arbitrary sets of conditionals and marginals for contingency tables
  Aleksandra Slavkovic, CMU, sesa@stat.cmu.edu
  

• Algebraic geometry of Bayesian networks with hidden variables
  Luis David Garcia, Virginia Tech., lgarcia@vt.edu

3:00pm-3:30pm: Tea Break

3:30pm-5:00pm: Session 8 - Contingency Tables & Related Topics B
Chair: Michael Nicholas, Duke University, jefe@math.duke.edu

• Variations on Barvinok's counting algorithm and applications to multiway contingency tables
  Ruriko (Rudi) Yoshida, U.C. Davis, ruriko@math.ucdavis.edu

 

• Binary graph models
  Seth Sullivant, U.C. Berkeley, seths@math.berkeley.edu
  
  

Saturday 28 June: SAMSI-NISS Building: 1st Floor Seminar Room

8:00am: Continental Breakfast

9:00am-10:30am: Session 9 - Financial Models A
Chair: Yuguo Chen, Duke University yuguo@isds.duke.edu

• Gaussian Approximations in MCMC Computation of Option Prices with Stochastic Volatility Models
  Chuanshu Ji, University of North Carolina, cji@email.unc.edu
  

• Multi-scale stochastic volatility
  Jean-Pierre Fouque, North Carolina State University, fouque@math.ncsu.edu

10:30am-11:00am: Coffee break

11:00am-12:30pm: Session 10 - Financial Models B
Chair: Chuanshu Ji, University of North Carolina, cji@email.unc.edu

• MCMC to estimate multi-scale stochastic volatility models
  German Molina, Duke University, german@isds.duke.edu

 

• Pricing Asian options and variance swaps with volatility scales
  Sean Han, North Carolina State University, chan2@unity.ncsu.edu
  

1:30pm-3:00pm: Session 11 - Financial Models and Time Series
Chair: Jean-Pierre Fouque, North Carolina State University, fouque@math.ncsu.edu

• A stochastic computational method for portfolio optimization problems
  Tao Pang, North Carolina State University tpang@unity.ncsu.edu
  

• Bayesian analysis of random coefficient autoregressive models
  Sujit Ghosh, North Carolina State University, sghosh@stat.ncsu.edu

3:00pm-3:30pm: Tea Break & Close

6:00pm: STOCOM WORKSHOP AND DUKE-SAMSI SOCIAL EVENT

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