Tutorials on Stochastic Control Problems in Finance

(14 - 18 Dec 2009)

... Jointly organized with Risk Management Institute, NUS

Venue: IMS Auditorium

Monday, 14 Dec 2009
03:15pm - 03:30pm	Registration
03:30pm - 04:20pm	Numerical methods for Hamilton Jacobi Bellman equations in finance Peter A. Forsyth, University of Waterloo, Canada
04:20pm - 04:30pm	--- Coffee Break ---
04:30pm - 05:30pm	Numerical methods for Hamilton Jacobi Bellman equations in finance Peter A. Forsyth, University of Waterloo, Canada

Tuesday, 15 Dec 2009
03:15pm - 03:30pm	Registration
03:30pm - 04:20pm	Asset management via risk-sensitive stochastic control Mark H. A. Davis, Imperial College, UK
04:20pm - 04:30pm	--- Coffee Break ---
04:30pm - 05:30pm	Asset management via risk-sensitive stochastic control Mark H. A. Davis, Imperial College, UK

Wednesday, 16 Dec 2009
09:45am - 10:00am	Registration
10:00am - 10:50am	Stochastic optimal control - a brief introduction Jiongmin Yong, University of Central Florida, USA
10:50am - 11:00am	--- Coffee Break ---
11:00am - 12:00nn	Stochastic optimal control - a brief introduction Jiongmin Yong, University of Central Florida, USA
12:00nn - 02:00pm	--- Lunch Break ---
02:00pm - 02:50pm	Numerical methods for Hamilton Jacobi Bellman equations in finance Peter A. Forsyth, University of Waterloo, Canada
02:50pm - 03:00pm	--- Coffee Break ---
03:00pm - 04:00pm	Numerical methods for Hamilton Jacobi Bellman equations in finance Peter A. Forsyth, University of Waterloo, Canada
Thursday, 17 Dec 2009
09:45am - 10:00am	Registration
10:00am - 10:50am	Liquidity matters - pure & applied techniques in liquidity management Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA
10:50am - 11:00am	--- Coffee Break ---
11:00am - 12:00nn	Liquidity matters - pure & applied techniques in liquidity management Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA
12:00nn - 02:00pm	--- Lunch Break ---
02:00pm - 02:50pm	Stochastic optimal control - a brief introduction Jiongmin Yong, University of Central Florida, USA
02:50pm - 03:00pm	--- Coffee Break ---
03:00pm - 04:00pm	Stochastic optimal control - a brief introduction Jiongmin Yong, University of Central Florida, USA
Friday, 18 Dec 2009
09:45am - 10:00am	Registration
10:00am - 10:50am	Liquidity matters - pure & applied techniques in liquidity management Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA
10:50am - 11:00am	--- Coffee Break ---
11:00am - 12:00nn	Liquidity matters - pure & applied techniques in liquidity management Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors, LLC, USA
12:00nn - 02:00pm	--- Lunch Break ---
02:00pm - 02:50pm	Asset management via risk-sensitive stochastic control Mark H. A. Davis, Imperial College, UK
02:50pm - 03:00pm	--- Coffee Break ---
03:00pm - 04:00pm	Asset management via risk-sensitive stochastic control Mark H. A. Davis, Imperial College, UK

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