Mathematical Finance Day

 

Please Note

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


Sponsored by:

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


Keynote Address
PAUL A. SAMUELSON (M.I.T.)

delivered by
ROBERT C. MERTON (Harvard University)


Speakers:


Organizers:


Program:

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



PLEASE NOTE:

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:

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

E-mail: mfd@math.bu.edu
Fax: (617) 353-8100
Tel: (617) 353-2560

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


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Operations Research and Math Finance at Boston University