Numerical Methods in Finance An Amamef Conference
The development of increasingly complex financial products requires the use of advanced numerical methods. The purpose of the workshop is to present probabilistic and deterministic numerical methods for pricing, hedging, calibration of derivative products (on equities, interest rate, credit risk) and portfolio optimization. Special attention is paid to models in high dimension, models with jumps, stochastic volatility models. We expect in particular contributions on the following subjects. - Discretization of Stochastic Differential Equations and MonteCarlo simulations - Model calibration and Statistics - Deterministic methods for (integro) Partial-differential equations - Algorithms for optimal control, Backward Stochastic Differential Equations and game theory - Interest rates - Credit Risk [gemäß den Informationen des Anbieters - according to site editor's information] The website is no longer available.
|Event dates:||2006-02-01 – 2006-02-03|
|Deadline Call for Papers:||2005-11-15|
|Organizer:||European Science Foundation L'INRIA Rocquencourt Amamef|
|Conference venue:||Chesnay cedex|
|Classification:||C0 - Mathematical and Quantitative Methods. General ; G1 - General Financial Markets|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|