Mathematical Finance Day


Please Note

Sunday, March 31, 1996
Law Auditorium
765 Commonwealth Avenue, Boston, Massachusetts

Sponsored by:

General Re Financial Products Corp.
Merrill Lynch
NatWest Investment Management
Oxford University Press
State Street Research and Management
Swiss Bank Corporation
The MathWorks, Inc.

Keynote Address

delivered by
ROBERT C. MERTON (Harvard University)




8:00-8:45 * Continental breakfast

8:45-9:00 * Welcome and Opening Remarks

Dean Louis E. Lataif, School of Management, Boston University

9:00-9:30 * Paul Samuelson (MIT)

Morning Session -- chaired by Murad M. Taqqu (Boston Univ.)

9:30-10:15 * I. Karatzas: Pricing of Contingent Claims under Portfolio Constraints/Transaction Costs

10:15-11:00 * D. C. Heath: Measurement of Risk: an Axiomatic Approach

11:00-11:15 * Questions and Answers

11:15-11:45 * Coffee Break

11:45-12:30 * R. A. Jarrow: Foundations of Options/Futures Pricing Theory

12:30-1:15 * R. T. Rockafellar: Taxes and Nonlinearity in Cash Stream Valuation

1:15-1:30 * Questions and Answers

1:30-3:00 * Lunch and Keynote Address

Host: Dean Louis E. Lataif, School of Management, Boston University

Paul A. Samuelson (MIT) [delivered by Robert C. Merton (Harvard)]

Afternoon Session -- chaired by Nalin Kulatilaka (Boston Univ.)

3:00-3:45 * D. Gale: Some Learning Models

3:45-4:30 * A. W. Lo: Neural Networks and Other Nonparametric Techniques in Financial Economics

4:30-5:15 * D. Duffie: Models for Estimating and Pricing Default Risk

5:15-5:30 * Questions and Answers

5:30-6:00 * Champagne and Closing Remarks


At this point the number of officially registered participants in the MFD has reached the limit of 450 imposed by the size of Law Auditorium. Thus we will not be accepting new registrations as of 9:00 AM on Friday, March 29.

Inquiries could be sent to:

Finance Department
School of Management
704 Commonwealth Ave.
Boston, Massachusetts 02215

Fax: (617) 353-8100
Tel: (617) 353-2560

Additional information about the Mathematical Finance Day is available from URL: Various postscript and plain ASCII files with registration forms and other information are available via anonymous ftp from and are located in /pub/math-finance.

Please click here for

Hotel and Travel information


In addition, you may click here to find out about courses in

Operations Research and Math Finance at Boston University