SIAM Conference on Financial Mathematics & Engineering

Sponsored by the SIAM Activity Group on Financial Mathematics and Engineering.

November 21-22 , 2008
The Heldrich Hotel
New Brunswick, New Jersey

ORGANIZING COMMITTEE
Rene Carmona, Princeton University (Co-chair)
Alexander Eydeland, Morgan Stanley
Paul M.N. Feehan, Rutgers University (Co-chair and Local Organizer)
Jean-Pierre Fouque, University of California, Santa Barbara
Paul Glasserman, Columbia University
Halil Mete Soner, Sabanci University, Turkey
Agnes Sulem-Bialobroda, INRIA, France
Thaleia Zariphopoulou, The University of Texas at Austin

Abstract: The workshop will address risk management, with an emphasis on risk measure, credit risk, liquidity and risk the computational challenges facing the modern developments in quantitative finance such that numerical problems arising from the discretization of backward stochastic differential equations, solving optimization problems in high dimension, etc.

Topics: Risk management, Numerical Methods in Finance
Weblink: http://www.tn.refer.org/unesco/workshop/mathfi.htm