Lorentz Center - Quantitative Methods in Financial and Insurance Mathematics from 18 Apr 2011 through 21 Apr 2011
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    Quantitative Methods in Financial and Insurance Mathematics
    from 18 Apr 2011 through 21 Apr 2011

 
Workshop “Quantitative Methods in Financial and Insurance Mathematics”, 18-21 April 2011, Lorentz Center, Leiden

Program (13 April 2011)

 

All lectures include 5 minutes discussion, and take place in room 201 of the Huygens Building.

Group discussions: plenary.

 

Abstracts

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Monday 18 April 2011

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09:15 - 09:45          Arrival, office assignment/registration and coffee

09:45 - 10:00          Welcome by manager Lorentz Center, Mieke Schutte

10:00 - 10:05          Welcome by scientific organizers

 

10:05 - 10:45          Peter Forsyth (Waterloo)

                               Numerical solution of the Hamilton-Jacobi-Bellman formulation for

                               continuous time mean variance asset allocation

10:45 - 11:25          Michel Vellekoop (Amsterdam)

                               Early exercise problems in finance and insurance

11:25 - 11:35          Short break

11:35 - 12:15          Marc Goovaerts (Leuven)

                               An actuarial approach to financial risk measures

 

12:15 - 14:30          Lunch break @ Gorlaeus Restaurant

 

14:30 - 15:10          Lech Grzelak (Delft and Rabobank)

                               An Equity-Interest Rate Hybrid Model with Stochastic Volatility and the

                               Interest Rate Smile

15:10 - 15:50          Griselda Deelstra (Brussels)

                               Local volatility pricing models for long-dated derivatives

15:50 - 16:15          Coffee/tea break

16:15 - 16:45          Zhaoning Shang (ING Amsterdam)

                               Recursive approach to diffusion processes in Finance and Insurance

16:45 - 17:15          Jan Hendrik Witte (Oxford)

                               Penalty methods for the numerical solution of HJB equations

 

17:15 -                    Wine and cheese party in the Lorentz Center common room

 

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Tuesday 19 April 2011

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09:00 - 09:40          Olivier Pironneau (Paris)

                               Presentation computational methods in Finance

09:40 - 10:20          Mike Giles (Oxford)

                               Multilevel Monte Carlo

10:20 - 11:00          Coffee/tea break

11:00 - 11:30          Andrey Itkin (HAP Capital LLC/NYU Poly, New York): Numerical

                               approach of solving jump-diffusion PIDE via pseudo-parabolic

                               equations

11:30 - 12:00          Dominique Bang (Bank of America Merrill Lynch London)

                               Periodic and quasi-periodic decompositions: alternative to transform

                               methods for option pricing

 

12:00 - 13:30          Lunch break @ Gorlaeus Restaurant

 

13:30 - 15:00          Group Discussion 1, moderation Hans Schumacher (Tilburg)

                               “Models in Finance and Insurance, differences and similarities”

15:00 - 15:40          Carlos Vazquez Cendon (Coruna)

                               Presentation Numerics and PDEs in Finance

15:40 - 16:10          Tinne Haentjens (Antwerp)

                               ADI finite difference discretization of the Heston-Hull-White PDE

16:10 - 16:30          Coffee/tea

16:30 - 17:00          Bin Chen (CWI Amsterdam)

                               Calibration and pricing in the SABR-HW model

17:00 - 17:30          Mike Staunton (London)

                                        Saddlepoint approximation for pricing options

 

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Wednesday 20 April 2011

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09:00 - 09:40          Nils Detering (MathFinance Frankfurt)

                               Comparing return distributions of equity linked retirement provision

                               plans

09:40 - 10:20          Sven Foulon: FX models: past, present

                               and back to the future?

10:20 - 10:45          Coffee/tea break

10:45 - 11:15          Daniel J. Duffy (Datasim Amsterdam)

                               New developments in PDE and FDM for pricing and calibration

11:15 - 11:45          Drona Kandhai (ING Amsterdam)

                               Model Risk Assessment through Hedging Simulations

 

11:45 - 13:00          Lunch break @ Gorlaeus Restaurant

 

13:00 - 14:30          Group Discussion 2, moderation Karel In ’t Hout / Kees Oosterlee

                               “Computational techniques, cross-fertilisation”

 

14:30 - 18:30          Excursion to Keukenhof

19:00 -                    Workshop Dinner @ Beach Restaurant De Zeester Katwijk

 

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Thursday 21 April 2011

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09:00 - 09:40          Antoon Pelsser (Maastricht): Numerical Approximation of BSDE's

                               using Hermite Martingales

09:40 - 10:20          Michèle Vanmaele (Gent)

                               Quadratic hedging in finance and insurance

10:20 - 10:50          Coffee/tea break

10:50 - 11:20          Damiaan Lemmens (Antwerp)

                               Pricing bounds for discrete arithmetic Asian options under Lévy models

11:20 - 11:50          Stefanie Schraufstetter (München)

                               Option pricing with spatially adaptive sparse grids

11:50 - 12:20          Florence Guillaume (Eindhoven)

Multivariate option pricing models: some extensions of the alpha-VG model

 

12:20 - 13:30          Lunch break @ Gorlaeus Restaurant

 

13:30 - 15:00          Group Discussion 3, moderation Ann De Schepper (Antwerp)

                               “The Dutch/Flemish communities, what can we do together”

15:00 - 15:40          Christoph Reisinger (Oxford)

                               Presentation stochastic PDEs

15:40 - 16:20          John Schoenmakers (Berlin): New dual methods for single and

                               multiple exercise options

16:20 - 16:45          Coffee/tea break

16:45 - 17:15          Workshop wrap-up and closure

 

===end of workshop===

 

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Friday Morning

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09:00 - 12:00          Informal discussions in Hotel Van der Valk “Het Haagsche Schouw”



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