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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

  1. Charges include GST and covers tea and lunch breaks.
  2. Registration should be made on prescribed form (download PDF | Doc) via fax to 67795452.
  3. Payment can be made via credit card or cheque (crossed and payable to "The National University of Singapore").
  4. Cheque payments should be posted together with the registration form.
  5. 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.