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

Transition Workshop

February 27-28, 2006
Radisson Hotel RTP

General Information
Application
Schedule

General Information

The Transition Workshop for the SAMSI Program on Financial Mathematics, Statistics and Econometrics will be held on Monday and Tuesday, February 27 and 28, 2006, at the Radisson Research Triangle Park.

The goal of the Transition Workshop is to present recent research in the areas of the working groups of the program: portfolio management, model uncertainty, computational issues, credit risk, and Levy processes. It will stimulate further research and collaboration in these areas.

Scientific Committee

Ole E. Barndorff-Nielsen (Centre for Mathematical Physics and Stochastics, Aarhus, Denmark), Rene Carmona (Princeton University), Darrell Duffie (Stanford University), Nicole ElKaroui (Ecole Polytechnique, France), Jean-Pierre Fouque (N.C. State) (co-chair), Eric Ghysels (UNC) (co-chair), Lars Hansen (University of Chicago), Robert Jarrow (Cornell University), and Thaleia Zariphopoulou (Univ. of Texas, Austin).

Application

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

Application information, including requests for financial support, should be submitted as soon as possible.

REGISTRATION IS NOW CLOSED
If you received a notification accepting your application for registration from Dr. Berger, please complete and submit the payment form for the registration fee.

The application/registration deadline is February 8, 2006. In order to ensure your application/registration is correct, we ask that you:

refresh/reload the application/registration page to ensure you have all updates
type in your information (cutting and pasting will distort the information we receive)
make any clarifications/corrections, in the Special Requests section
click the submit button only once

Please make reservations at the Radisson as soon as possible. The SAMSI room block for the Radisson is effective until February 13, 2006. 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.

Schedule

Monday, February 27, 2006
Radisson Hotel RTP

8:45-9:15 a.m.	Registration
9:15-9:30	Introduction and Welcome Jim Berger (SAMSI), Jean-Pierre Fouque (N.C. State) and Eric Ghysels (UNC)
9:30-10:15	Nicole ElKaroui (Ecole Polytechnique, France) Risk Measures and Optimal Risk Transfer Under Interest Rate Ambiguity
10:15-10:30	Coffee Break
10:30-11:15	Bruno Dupire (Bloomberg, NY) Model Free Results on Volatility Derivatives
11:30-12:15 p.m.	Vicky Henderson (Princeton University) Explaining Exercise Patterns for Executive Stock Options: Risk Aversion and Costly Exercise
12:15-2:00	Lunch
2:00-2:45	Yacine Ait-Sahalia (Princeton University) Portfolio Choice with a Large Number of Assets: Jumps and Diversification (with Julio Cacho-Diaz and Tom Hurd)
2:45-3:00	Coffee Break
3:00-3:45	Xin Huang (Duke University) A Semiparametric Framework for Modeling and Forecasting Jumps and Volatility in Speculative Prices (with Toben Andersen and Tim Bollerslev)
4:00-4:45	Barbara Rossi (Duke University) Detecting and Predicting Forecast Breakdowns (with Raffaella Giacomini)

Tuesday, February 28, 2006
Radisson Hotel RTP

9:30-10:15 a.m.	Chris Rogers (Cambridge University, UK) Deterministic Stochastic Optimal Control
10:15-10:30	Coffee Break
10:30-11:15	Philip Protter (Cornell University) Recent Results in Liquidity Risk
11:30-12:15 p.m.	David Hobson (Princeton, and Bath, UK) Optimal Stopping, Utility Maximisation and Time Consistency
12:15-2:00	Lunch
2:00-2:45	Jianqing Fan (Princeton University) Aggregation of Nonparametric Estimators for Volatility Matrix
2:45-3:00	Coffee Break
3:00-3:45	Yanqin Fan (Vanderbilt University) Sharp correlation bounds and their applications
4:00-4:45	Denis Pelletier (N.C.State) Evaluating Value-at-Risk Models with Desk-Level Data (with Jeremy Berkowtiz and Peter Christoffersen)

Participant List

Local Information (Hotels, etc.)

Financial Mathematics, Statistics and Econometrics Program Page