Workshop on Incomplete Markets

Center for Computational Finance
Carnegie Mellon University
May 23-25, 2002

Invited speakers

All invited speakers stay in the Wyndham Garden Hotel-University Place.

Name Affiliation Arrival date Departure date
Ales Cerny Imperial College (London) 22 26
Jaksa Cvitanic University of Southern California 22 25
Damir Filipovic Princeton University 22 26
Stewart Hodges FORC, University of Warwick 22 26
Huyen Pham University Paris 7 22 25
Nizar Touzi CREST ENSAE, Paris 22 24
Walter Schachermayer Technical University of Vienna 19 26
Costis Skiadas Kellogg, Northwestern University 23 24
Gordan Zitkovic Columbia University 22 25
Hui Wang Brown University 22 25

Program of the workshop

The conference will take place in Baker Hall A53. Each speaker will have 1hour 15 minutes for a talk. This includes the time for questions.

Thursday, May 23

9:00-10:15 Stewart Hodges: "The Generalized Sharpe Ratio and Other 'Good Deal' Measures".
10:15-10:45 coffee
10:45-12:00 Nizar Touzi: "Applications of Malliavin calculus for Monte Carlo methods in finance".
12:00-2:00 lunch
2:00-3:15 Costis Skiadas
6:00- Conference dinner

Friday, May 24

9:00-10:15 Huyen Pham: "Optimal investment in incomplete markets under time horizon uncertainty".
10:15-10:45 coffee
10:45-12:00 Ales Cerny: "Derivatives without differentiation: Optimal hedging on Markov chains".
12:00-2:00 lunch
2:00-3:15 Damir Filipovic: "Time homogeneous and inhomogeneous affine processes in finance"
3:15-3:30 coffee
3:30-4:45 Jaksa Cvitanic: "On Executive Stock Options".

Saturday, May 25

9:00-10:15 Gordan Zitkovic: "Optimal Consumption from Random Endowment in Incomplete Markets"
10:15-10:45 coffee
10:45-12:00 Walter Schachermayer: "Necessary and sufficient conditions in the problem of optimal investment"

Organizers

Julien Hugonnier Wean Hall, 6211 jnh@andrew.cmu.edu (412) 268 6471
Dmitry Kramkov Wean Hall, 6126 kramkov@andrew.cmu.edu (412) 268 5212