Friday, December 4, 2009
All presentations take place in the Neilson Room at the Heldrich Hotel, 10 Livingston Avenue, New Brunswick, New Jersey 08901.
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8:00 Breakfast and Registration
8:50 Paul Feehan and Dan Ocone
Welcome Remarks
9:00 Rene Carmona
Pricing Options on CO2 Emissions
9:40 John Chadam
The Inverse Boundary Crossing Problem for Diffusions
10:20 Chris Rogers
Optimal Stopping and Convex Regression
11:00-11:20 Coffee Break
11:20 Rama Cont
Forward Equations and Mimicking Theorems for Semi-Martingale Models
12:00 Bruno Dupire
Functional Ito Calculus and PDE’s for Path-Dependent Options
12:40-1:50 Lunch
1:50 Tomasz Bielecki
Hedging of a Credit Default Swaption in the CIR Default Intensity Model
2:30 Tom Hurd
Credit Risk via First Passage for Time Changed Brownian Motions
3:10 Ioannis Karatzas
Probabilistic Aspects of Arbitrage
3:50-4:10 Coffee Break
4:50 Peter Laurence
Asymptotics for Time Inhomogeneous Local Volatility Models
4:10 Elton Hsu
Differential Geometry, Heat Kernel, and Implied Volatility in Stochastic Volatility Models
5:30-5:40 Intermission
5:40 Hao Xing
Strict Local Martingale Deflators and Pricing American Call-Type Options
6:20 Andrey Itkin
Fractional PDE Approach for Numerical Solution of Some Jump-Diffusion Models
7:00-8:00 Cocktail Reception
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Rutgers University
College Avenue Campus
Old Queens Building
