MS-Tu-E-54
Computational Methods in Finance

Date: August 11
Time: 16:00--18:30
Room: 1-2

(Note: Click title to show the abstract.)

Organizer:
Goncu, Ahmet (Xian Jiaotong Liverpool Univ.)

Abstract: Introduction
Applied and computational mathematics, in particular numerical PDEs, Monte Carlo methods, and numerical optimization, play a crucial role in solving problems from financial engineering. The talks in this minisymposia cover recent developments in computational methods used in financial problems, with an emphasis on Monte Carlo methods. Some covered topics are uncertainty and robustness of financial models, stratification and importance sampling in credit risk computations, and statistical arbitrage and Monte Carlo simulation.

Planned Speakers
Our initial list of talks in this minisymposia consists of five planned talks.

We believe that our proposed session will attract scholars from applied and financial mathematics, and make an important contribution to ICIAM 2015s anticipated success.


MS-Tu-E-54-1
16:00--16:30
Existence of Statistical Arbitrage Portfolios in the Black-Scholes Framework
Akyildirim, Erdinc (akdeniz Univ.)


MS-Tu-E-54-2
16:30--17:00
Efficient Simulations for a Bernoulli Mixture Model of Portfolio Credit Risk
Sak, Halis (Xi'an Jiatong Liverpool Univ.)


MS-Tu-E-54-3
17:00--17:30
Statistical Arbitrage Portfolios in the Black-Scholes Framework
Goncu, Ahmet (Xian Jiaotong Liverpool Univ.)


MS-Tu-E-54-4
17:30--18:00
Sensitivity and Robustness of Financial Models
Okten, Giray (Florida State Univ.)
Mandel, David (Florida State Univ.)


MS-Tu-E-54-5
18:00--18:30
Disappointment Aversion Preferences in Continuous time
Pantelous, Athanasios (Univ. of Liverpool)
Karagiannis, Nikolaos (Univ. of Liverpool)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA