Conference Slideshow (35 images)

Scientific Committee 

Rene Carmona, Princeton University (Co-chair), Alexander Eydeland, Morgan Stanley, Paul 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.

Conference Program

The SIAM conference program highlighted the latest research in financial mathematics and engineering, with over 90 speakers from institutions in the Canada, Europe, the United States, and elsewhere, and 173 registered attendees, including participants from both academia and industry and students.

The conference featured nine invited plenary speakers:

On the Information Content of Option Prices
Peter Carr, Bloomberg LP and Courant Institute, New York University

Asset Management Via Risk-sensitive Control in a Jump-diffusion Model
Mark Davis, Imperial College London

Seasonal and Stochastic Features in Commodity Markets
Helyette Geman, Birkbeck University of London and ESSEC Business School

Self-exciting Corporate Defaults: Contagion vs. Frailty
Kay Giesecke, Stanford University

Jump-Diffusions and Credit Modeling (Theoretical Models and Practical Implications)
Alexander Lipton, Merrill Lynch and Imperial College London, United Kingdom

Pricing and Hedging to Acceptable Levels of Risk
Dilip Madan, University of Maryland

Advanced Variational Methods for Option Pricing
Olivier Pironneau, University Paul and Mary Curie, Paris VI

Games with Exhaustible Resources
Ronnie Sircar, Princeton University

Stochastic Target Problems with Controlled Loss
Nizar Touzi, Ecole Polytechnique

There were four invited minisymposia, with four speakers in each parallel session,

Volatility (chair: Ronnie Sircar)
Credit (chair: Kay Giesecke)
Optimal Investment (chair: Mark Davis)
Monte Carlo (chair: Nizar Touzi)

and seven contributed minisymposia, with four speakers in each parallel session,

Algorithmic Trading, Dynamic Portfolio Analysis and Optimal Rebalancing (chair: Petter Kolm)
Integral Equation Methods for Mathematical Finance (chair: John Chadam)
Numerical and PDE Methods in Finance (chair: Zhen Liu)
Numerical Methods for Calibration and Pricing (chair: Jari Toivanen)
Optimal Stopping and Control (chair: Erhan Bayraktar)
Risk-Averse Optimization Models in Finance (chair: Andrzej Ruszczynski)
Efficient Algorithms for the Calibration and Simulation of Financial Market Models (chair: Jan Maruhn)

and eight parallel sessions featuring five contributed talks per session:

Volatility and Trading I (chair: Qi Wu) and II (chair: Uwe Wystup)
Optimal Investment (chair: Xudong Zeng)
Jump Diffusions (chair: Sergei Levendorskii)
Credit I (chair: Wanhe Zhang) and II (chair: Jesus Rodriguez)
Statistics and Operations Research I (chair: Duy Minh Dang) and II (chair: Coskun Cetin)

SIAM and the Activity Group on Financial Mathematics and Engineering

This bi-annual conference is the main event organized by the SIAM Activity Group on Financial Mathematics and Engineering. The Society for Industrial Applied Mathematics (SIAM) exists to ensure the strongest interactions between mathematics and other scientific and technological communities through membership activities, publication of journals and books, and conferences.

The activity group focuses on research and practice in financial mathematics, computation, and engineering. Its goals are to foster collaborations among mathematical scientists, statisticians, computer scientists, computational scientists, and researchers and practitioners in finance and economics, and to foster collaborations in the use of mathematical and computational tools in quantitative finance in the public and private sector. The activity group promotes and facilitates the development of financial mathematics and engineering as an academic discipline. The activity group officers for 2007-08 were Rene Carmona (Chair), Paul Feehan (Program Director), Ronnie Sircar (Secretary), and Thaleia Zariphopoulou (Vice-Chair).

SIAM Membership

SIAM members are applied and computational mathematicians, computer scientists, numerical analysts, engineers, statisticians, physicists, educators, and students from 85 countries. They work in industrial and service organizations, universities, colleges, and government agencies and laboratories all over the world. Visit their membership page for additional information. Membership is free for students.

Venue

The Heldrich Hotel in New Brunswick, New Jersey, adjacent to the main campus of Rutgers, The State University of New Jersey, accessible by New Jersey Transit commuter rail from Newark airport (30 minutes) and New York City (40 to 60 minutes).

Sponsorship

The conference was partially sponsored by Rutgers University, through its Mathematical Finance Master's Degree Program, and the National Science Foundation, through the grants of individual researchers.

From left to right: Joseph Langsam (Morgan Stanley), Alexander Lipton (Merrill Lynch and Imperial College London), Mark Davis (Imperial College London), and Dilip Madan (University of Maryland), members of the panel discussion, The Economic Crisis and the Future of Financial Engineering, Friday November 21, 2008.

Four experts comment on the economic crisis and the role of quants.






Mark Davis (Imperial College London), presenting Asset Management Via Risk-sensitive Control in a Jump-diffusion Model, Saturday November 22, 2008.

Risk-sensitive control provides an approach to asset management that in some sense combines the virtues of a Merton-style stochastic control with those of a Markowitz-style mean-variance analysis. In this paper we study a model in which asset prices are represented by a vector jump-diffusion process with growth rates depending on an exogenous process of economic factors, also represented by a diffusion or jump-diffusion model. When jumps are absent, the model reduces to the one studied by Kuroda and Nagai (Stochastics 2004) where the solution reduces to solving a matrix Riccati equation as in LQG control. When jumps are present, the explicit solution is lost but we are left with a stochastic control problem of dimension equal to the (small) dimension of the factor process. With no jumps in the factor process this is a uniformly elliptic controlled diffusion, and the Bellman equation has a classical solution. When there are jumps in the factor process as well as in the asset price process, the Bellman equation has a unique viscosity solution. This is joint work with Sebastien Lleo.












Ronnie Sircar (Princeton University), presenting Games with Exhaustible Resources, Friday November 21, 2008.

Sircar and his co-authors study N-player repeated Cournot competitions that model the determination of price in an oligopoly where firms choose quantities. These are nonzero-sum (ordinary and stochastic) differential games, whose value functions may be characterized by systems of nonlinear Hamilton-Jacobi-Bellman partial differential equations. When the quantity being produced is in finite supply, such as oil, exhaustibility enters as boundary conditions for the PDEs. We analyze the problem when there is an alternative, but expensive, resource (for example solar technology for energy production), and give an asymptotic approximation in the limit of small exhaustibility. We illustrate the two-player problem by numerical solutions, and discuss the impact of limited oil reserves on production and oil prices in the duopoly case. This is joint work with Chris Harris (Cambridge University) and Sam Howison (Oxford University).