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Tutorial on Numerical Methods for Hamilton-Jacobi-Bellman Equations in Finance
( 24 - 25 Jun 2013)

Venue: IMS Auditorium

Organizing Committee · Visitors and Participants · Overview · Activities · Venue

 

Monday, 24 Jun 2013

09:00am - 09:30am

Registration

09:30am - 10:30am

Numerical methods for Hamilton-Jacobi-Bellman equations in finance I
Examples of HJB equations, viscosity solutions

Peter Forsyth, University of Waterloo, Canada

10:30am - 10:45am

--- Coffee Break ---

10:45am - 11:45am

Numerical methods for Hamilton-Jacobi-Bellman equations in finance II
Sufficient conditions for convergence to the viscosity solution, case study: uncertain volatilty

Peter Forsyth, University of Waterloo, Canada

11:45am - 01:30pm

--- Lunch ---

01:30pm - 02:30pm

Numerical methods for Hamilton-Jacobi-Bellman equations in finance III
Pension plan asset allocation, passport options

Peter Forsyth, University of Waterloo, Canada

Tuesday, 25 Jun 2013

09:00am - 09:30am

Registration

09:30am - 10:30am

Numerical methods for Hamilton-Jacobi-Bellman equations in finance IV
Guaranteed minimum withdrawal benefit (GMWB) variable annuity: impulse control formulation

Peter Forsyth, University of Waterloo, Canada

10:30am - 10:45am

--- Coffee Break ---

10:45am - 11:45am

Numerical methods for Hamilton-Jacobi-Bellman equations in financeV
Gas storage

Peter Forsyth, University of Waterloo, Canada

11:45am - 01:30pm

--- Lunch ---

01:30pm - 02:30pm

Numerical methods for Hamilton-Jacobi-Bellman equations in finance VI
Continuous time mean variance asset allocation

Peter Forsyth, University of Waterloo, Canada



Organizing Committee · Visitors and Participants · Overview · Activities · Venue

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