Program:
7:30-8:45 -- Registration and Continental breakfast
8:45-9:00 -- Welcome and Opening Remarks - Zvi Bodie, Boston University
Morning Session
9:00 am - 9:45 am: D. Heath
Futures-based Models for the Evolution of the Term Structure of Interest Rates
- 9:45 am - 10:30 am: J. Traub
- Why does Quasi-Monte Carlo beat Monte Carlo for Mathematical Finance?
- 10:30 am - 10:45 am:
Questions and Answers
10:45 am - 11:15 am: COFFEE BREAK
11:15 am - 12:00 noon: N. Kulatilaka & R. Pindyck
Real Options: Taking Contingent Claims Analysis from Wall Street to Main Street
12:00 noon - 12:45 pm: M. Yor
- Insider Trading and Initial Enlargement of Filtrations
12:45 pm - 1:00 pm: Questions and Answers
- 1:00 pm - 2:45 pm: Lunch and MFD99 Lifetime Achievement Award
- HOST: Jon Westling, President of Boston University)
KEYNOTE ADDRESS: Jeffrey K. Skilling, President and C.O.O., Enron Corp.
Afternoon Session
2:45 pm - 3:30 pm: M. Rubinstein
- Derivatives Performance Attribution
3:30 pm - 4:15 pm: J. Detemple
Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach
4:15 pm - 4:30 pm: Questions and Answers
4:30 pm - 4:45 pm: Closing Remarks
4:45 pm: Champagne Reception