Program:
7:30-8:45 -- Registration and Continental breakfast
8:45-9:00 -- Welcome and Opening Remarks - Dean Louis
E. Lataif
Morning Session (Chaired by Jay Patel, Boston University)
9:00 am - 9:45 am: Eduardo Schwartz
Short-Term Variations and Long-Term Dynamics in Commodity Prices
9:45 am - 10:30 am: Stanley Pliska
Risk Sensitive Dynamic Asset Management
10:30 am - 10:45 am: Questions and Answers
10:45 am - 11:15 am: COFFEE BREAK
11:15 am - 12:00 noon: Steven Shreve
Transaction Costs
12:00 noon - 12:45 pm: Robert Jarrow
Current Advances in the Modeling of Credit Risk
12:45 pm - 1:00 pm: Questions and Answers
1:00 pm - 2:45 pm: LUNCH AND KEYNOTE SPEECHES (host: Dean Louis E. Lataif)
Marshall N. Carter (Chairman and CEO, State Street) Steve
Ross (Yale)
Afternoon Session (Chaired by Murad Taqqu, Boston University)
2:45 pm - 3:30 pm: David Luenberger
Optimal Growth Portfolios: The Vector Case
3:30 pm - 4:15 pm: Dilip Madan
The Case for Purely Discontinuous Asset Price Processes: Theory, Examples,
Applications and Results
4:15 pm - 4:45 pm: COFFEE BREAK
4:45 pm - 5:45pm: Panel Discussion
The Role of Government in the Financial System
(Moderator: Zvi Bodie, Boston University)
5:45 pm - 6:00 pm: Closing Remarks
6:00 pm: CHAMPAGNE RECEPTION