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Jointly Organized by the Institute for Mathematical
Sciences,
Department of Mathematics and Center for Financial
Engineering,
National University of Singapore
WORKSHOP ON MATHEMATICAL FINANCE
Friday,17 January
2003
Seminar Room, Institute for Mathematical Sciences, House 3,
Prince George's Park, National University of Singapore
Register by 13 January 2003!
REGISTRATION FEE
NUS, NTU and SMU Staff & Students: Free of charge
All other participants: S$100.00
- Charges include GST and covers tea and lunch breaks.
- Registration should be made on prescribed form (download PDF | Doc)
via fax to
67795452.
- Payment can be made via credit card or cheque (crossed and
payable to
"The National University of Singapore").
- Cheque payments should be posted together with the
registration form.
- For NUS staff and students, please pre-register by sending
an e-mail message (including your name, title and
affiliation) to Ms Au Kasie at matauk@nus.edu.sg
by 13 January 2003.
FOR FURTHER INFORMATION
- Department of Mathematics
Ms Au Kasie
Tel: 6874 2762
Fax: 6779 5452
Email: matauk@nus.edu.sg
.:: PROGRAM ::.
9:00 - 9:25 |
Registration |
9:25 - 9:30 |
Opening address by
Lee Seng Luan
Professor Lee Seng Luan is the Head of the Department of
Mathematics, National University of Singapore. |
9:30 - 10:10 |
The
value of information: A general stochastic calculus
approach to insider trading by Bernt
Øksendal
He is a Professor of Mathematics at University of Oslo in
Norway; and currently a Visiting Professor in the
Department of Mathematics and Centre for Financial
Engineering at NUS. He was President of the Norwegian
Mathematical Society and is a member of the Norwegian
Academy of Science and Letters.
abstract... |
10:10 - 10:35 |
Tea Break |
10:35 - 11:15 |
The Stratified Estimators for
Value-at-Risk of Portfolios by Xing Jin
Dr Jin is an Assistant Professor of Mathematics at NUS
since July 2002. He won the Abraham Golub Memorial
Dissertation Proposal Prize in the R.H. Smith, School of
Business, University of Maryland and obtained his second
PhD in the school in 2002.
abstract... |
11:20 - 12:00 |
Pricing American Options
using Calibrated Monte Carlo Simulations by Liu Xiaoqing
Dr Liu is currently a Fellow in the Mathematics
Department of NUS. He has worked in City University of
Hong Kong, NUS and SMU. His research interests include
numerical PDE and SDE, and Mathematical Finance.
abstract... |
12:00 - 13:30 |
Lunch Break |
13:30 - 14:10 |
Value Creation Through Risk
Management: A Corporate Finance Perspective by Gunter
Dufey
Professor Dufey is currently the Professor (Emeritius)
of CSIB and Finance at The University of Michigan and
Adjunct Professor at Nanyang Business School at NTU. He is
also a Sr. Advisor to McKinsey and Co. in Singapore,
supporting the Corporate Governance practice of the firm
in Asia. Prior to this appointment, he spent over 30 years
on the faculty of The University of Michigan Business
School, Ann Arbor MI, USA, and during this period, he also
held visiting appointments at a number of universities in
Europe and the States. Apart from his scholarly
activities, Professor Dufey has also been involved in
government service.
abstract... presentation... |
14:15 - 14:55 |
Exercise
Regions and Efficient Valuation of American Lookback
Options by Lim Tiong Wee
Dr Lim is an Assistant Professor of Statistics in NUS.
His research interests include option pricing and term
structure models for interest rates.
abstract... |
14:55 - 15:25 |
Tea Break |
15:25 - 16:05 |
Arbitrage
Opportunities and Integration Theories by Donna
Mary Salopek
Dr Salopek is currently a Senior Lecturer in the
Department of Statistics, University of New South Wales.
Her research interests include mathematical finance, real
and stochastic analysis, and models for stock price
fluctuations.
abstract... |
16:05 - 16:10 |
Concluding
remarks by Louis Chen
Professor Chen is Director of the Institute
for Mathematical Sciences and Head of Department of
Statistics and Applied Probability, National University of
Singapore. |
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