CONFERENCE ON MATHEMATICAL FINANCE

May 19, 20, and 21, 2000

University of Missouri - Columbia

The conference is organized around a series of three lectures by

Professor Avellaneda's lectures will be supplemented by invited one-hour lectures by the following distinguished researchers who will present the current methods and problems of Financial Mathematics, as well as future challenges:

• Claudio Albanese (University of Toronto)
• Gregory W. Brown (University of North Carolina at Chapel Hill)
• Peter Carr (Bank of America Securities)
• Patrick Jaillet (University of Texas at Austin)
• Mark Lowenstein (Washington University)
• Dilip Madan (University of Maryland)
• Kristian Risgaard Miltersen (Odense University, Denmark)
• Stanley Pliska (University of Illinois at Chicago)
• Luis Seco (University of Toronto)
• Ronnie Sircar (University of Michigan)
• Allanus Tsoi (Hong Kong University of Science and Technology)

All talks will take place in GCB 204, on the University of Missouri - Columbia campus.

Schedule of talks (ALL TALKS WILL BE AT GCB 204):

Friday, May 19
10:00-10 :15	204 GCB	Opening remarks by Provost Brady Deaton
10:15-11:15	204 GCB	Marco Avellaneda Financial Modeling and Probability
11:15-11:30		Break
11:30-12:30	204 GCB	Stanley Pliska Risk sensitive portfolio management with application to fixed income securities
12:30-2:00		Break
2:00-3:00	204 GCB	Mark Lowenstein Employee Reload Options: Pricing, Hedging, and Optimal Exercise
3:00-4:00	204 GCB	Ronnie Sircar Pricing, Calibration, and Risk Management in a Stochastic Volatility Environment
4:00-4:30		Break
4:30-5:30	204 GCB	Luis Seco Scenario Generation Techniques in Non-Gaussian Environments
6:00	Great Room, Alumni Center	Reception. All participants are invited.
Saturday, May 20
9:00-10:00	204 GCB	Marco Avellaneda Calibration of Asset Pricing Models
10:00-10:15		Break
10:15-11:15	204 GCB	Kristian Risgaard Miltersen Dual-Currency LIBOR Market Models
11:15-12:15	204 GCB	Patrick Jaillet Hedging Derivatives with Jump-Diffusions
12:15-2:00		Break
2:00-3:00	204 GCB	Dilip Madan The Fine Structure of Asset Returns: An Empirical Investigation
3:00-4:00	204 GCB	Peter Carr On the Nature of Options
4:00-4:30		Break
4:30-5:30	204 GCB	Claudio Albanese VAR sensitivities and non-normal hedging
Sunday, May 21
9:00-10:00	204 GCB	Marco Avellaneda Conquering the Greeks
10:00-10:15		Break
10:15-11:15	204 GCB	Gregory W. Brown How Firms Should Hedge
11:15-12:15	204 GCB	Allanus Tsoi Small Noise Hidden Markov Filtering of the Volatility of a Risky Asset

FURTHER INFORMATION:

The meeting is funded exclusively by the Department of Mathematics of the University of Missouri - Columbia and is part of its mission enhancement project in the direction of applied mathematics.

ADDRESS ALL INQUIRIES TO THE ORGANIZERS:

Stamatis Dostoglou (University of Missouri at Columbia) stamatis@math.missouri.edu

and

Stathis Tompaidis (University of Texas at Austin) Stathis.Tompaidis@bus.utexas.edu