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Tutorials on Stochastic Control Problems in Finance
(14 - 18 Dec 2009)

Jointly organized with Risk Management Institute, NUS

 

Organizing Committee · Visitors and Participants · Overview · Activities · Funding for Young Scientists

 

Venue: IMS Auditorium

 

 Monday, 14 Dec 2009

03:15pm - 03:30pm

Registration

03:30pm - 04:20pm

Numerical methods for Hamilton Jacobi Bellman equations in finance I
Peter A. Forsyth, University of Waterloo, Canada

04:20pm - 04:30pm

--- Coffee Break ---

04:30pm - 05:30pm

Numerical methods for Hamilton Jacobi Bellman equations in finance II
Peter A. Forsyth, University of Waterloo, Canada

Tuesday, 15 Dec 2009

03:15pm - 03:30pm

Registration

03:30pm - 04:20pm

Asset management via risk-sensitive stochastic control I
Mark H. A. Davis, Imperial College, UK

04:20pm - 04:30pm

--- Coffee Break ---

04:30pm - 05:30pm

Asset management via risk-sensitive stochastic control II
Mark H. A. Davis, Imperial College, UK

Wednesday, 16 Dec 2009

09:45am - 10:00am

Registration

10:00am - 10:50am

Stochastic optimal control - a brief introduction I
Jiongmin Yong, University of Central Florida, USA

10:50am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Stochastic optimal control - a brief introduction II
Jiongmin Yong, University of Central Florida, USA

12:00nn - 02:00pm

--- Lunch Break ---

02:00pm - 02:50pm

Numerical methods for Hamilton Jacobi Bellman equations in finance I
Peter A. Forsyth, University of Waterloo, Canada

02:50pm - 03:00pm

--- Coffee Break ---

03:00pm - 04:00pm

Numerical methods for Hamilton Jacobi Bellman equations in finance II
Peter A. Forsyth, University of Waterloo, Canada

Thursday, 17 Dec 2009

09:45am - 10:00am

Registration

10:00am - 10:50am

Liquidity matters - pure & applied techniques in liquidity management I (PPTX 1, PPTX 2)
Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA

10:50am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Liquidity matters - pure & applied techniques in liquidity management II (PPTX 1, PPTX 2)
Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA

12:00nn - 02:00pm

--- Lunch Break ---

02:00pm - 02:50pm

Stochastic optimal control - a brief introduction I
Jiongmin Yong, University of Central Florida, USA

02:50pm - 03:00pm

--- Coffee Break ---

03:00pm - 04:00pm

Stochastic optimal control - a brief introduction II
Jiongmin Yong, University of Central Florida, USA

Friday, 18 Dec 2009

09:45am - 10:00am

Registration

10:00am - 10:50am

Liquidity matters - pure & applied techniques in liquidity management III (PPTX 1, PPTX 2)
Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA

10:50am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Liquidity matters - pure & applied techniques in liquidity management IV (PPTX 1, PPTX 2)
Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA

12:00nn - 02:00pm

--- Lunch Break ---

02:00pm - 02:50pm

Asset management via risk-sensitive stochastic control I
Mark H. A. Davis, Imperial College, UK

02:50pm - 03:00pm

--- Coffee Break ---

03:00pm - 04:00pm

Asset management via risk-sensitive stochastic control II
Mark H. A. Davis, Imperial College, UK




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