DIMACS Workshop on New Market Models

April 26 - 27, 1999
DIMACS Center, CoRE Building Auditorium, Rutgers University, Piscataway, NJ

Principal Organizers:

Workshop Program:

Monday April 26, 1999


8.30 - 9.00am   Breakfast and Registration

9.00 - 9.05am   Fred Roberts, Director, DIMACS, Rutgers University
                Welcome and greeting

9.05 - 9.15am   Chris Heyde, Columbia University: The Workshop Agenda

9.15 - 10.00am  Stan Pliska, University of Illinois
                Tutorial: Risk Neutral Valuation and Martingale Measures
		
10.00 - 11.00am Panel Discussion. Do we really need new models?

         Panel: Marco Avellaneda, New York University
                Freddy Delbaen, Eidgen Technische Hochschule
                Benoit Mandelbrot, Yale University 
		Stan Pliska, University of Illinois 
                Larry Shepp, Rutgers University,
                with Chris Heyde, Columbia University (moderator)
         
11.00 - 11.30am Coffee Break    

11.30 - 12.15pm Larry Shepp, Rutgers University:
                A New Model for Stock Price Fluctuations Based on
                Delayed Information

12.15 - 1.30pm  Lunch

1.30 - 2.15pm   Freddy Delbaen, Eidgen Technische Hochschule
                TBA

2.15 - 3.00pm   Benoit Mandelbrot, Yale University
                The Multifractal Time Model for Financial Prices

3.00 - 3.30pm   Coffee Break

3.30 - 4.15pm   Sid Browne, Columbia University
                Risk Constrained Dynamic Active Portfolio Management

4.15 - 5.00pm   Sergei Esipov, Centre Solutions, Zurich Financial 
                Services Group
                Probabilities and Pricing

5.00 - 5.45pm   Marco Avellaneda, New York University
                Weighted Monte Carlo: new techniques for calibrating multifactor asset-pricing models

5.45pm          Reception
 


Tuesday April 27, 1999
 

8.30 - 9.00am   Breakfast and Registration

9.00 - 9.15am   Larry Shepp, Rutgers University: Welcoming Remarks

9.15 - 10.00am  Jennifer Carpenter, New York University
                The Optimal Dynamic Investment Policy for a Fund Manager with an Incentive Fee

10.00 - 11.15am Tom Ho
                TBA

11.15 - 11.45am Coffee Break

11.45 - 12.30pm Robert Vanderbei, Princeton University
                A martingale system theorem for stock investments

12.30 -1.30pm   Lunch

1.30 - 2.15pm   Alexander Adamchuk, University of Chicago
                The Geometry of Financial Times

2.15 - 3.00pm   Thomas Noe, Tulane University
                Clearing Systems and the The Transmission of Systemic Risk

3.00 - 3.30pm   Coffee Break

3.30 - 4.15pm   Xiaolu Wang, Advanced Analytics, Inc.
                Lessons from Financial Disasters and A Dynamic Asset Pricing Model

4.15 - 5.00pm   Summing Up

5.00pm          Workshop Close
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Document last modified on April 14, 1999.