Institute for Mathematical Sciences Event Archive

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Tutorial on Numerical Methods for Hamilton-Jacobi-Bellman Equations in Finance
( 24 - 25 Jun 2013)

Monday, 24 Jun 2013
09:00am - 09:30am	Registration
09:30am - 10:30am	Numerical methods for Hamilton-Jacobi-Bellman equations in finance I Examples of HJB equations, viscosity solutions Peter Forsyth, University of Waterloo, Canada
10:30am - 10:45am	--- Coffee Break ---
10:45am - 11:45am	Numerical methods for Hamilton-Jacobi-Bellman equations in finance II Sufficient conditions for convergence to the viscosity solution, case study: uncertain volatilty Peter Forsyth, University of Waterloo, Canada
11:45am - 01:30pm	--- Lunch ---
01:30pm - 02:30pm	Numerical methods for Hamilton-Jacobi-Bellman equations in finance III Pension plan asset allocation, passport options Peter Forsyth, University of Waterloo, Canada
Tuesday, 25 Jun 2013
09:00am - 09:30am	Registration
09:30am - 10:30am	Numerical methods for Hamilton-Jacobi-Bellman equations in finance IV Guaranteed minimum withdrawal benefit (GMWB) variable annuity: impulse control formulation Peter Forsyth, University of Waterloo, Canada
10:30am - 10:45am	--- Coffee Break ---
10:45am - 11:45am	Numerical methods for Hamilton-Jacobi-Bellman equations in financeV Gas storage Peter Forsyth, University of Waterloo, Canada
11:45am - 01:30pm	--- Lunch ---
01:30pm - 02:30pm	Numerical methods for Hamilton-Jacobi-Bellman equations in finance VI Continuous time mean variance asset allocation Peter Forsyth, University of Waterloo, Canada