A CMA-workshop on

Computational Finance and Physics

Oslo, March 22-23, 2004

Please download workshop poster here.

Introduction:
On March 22 and 23 there will be a workshop on computational finance and physics at the Centre of Mathematics for Applications (CMA), University of Oslo. The workshop will focus on computational methods and their analysis for problems arising in finance and physics. There will be particular emphasis on the development and application of various types of Monte Carlo methods. The speakers have background in physics, statistics, probability, finance, and partial differential equations, and the main purpose of the workshop is to promote discussion across these disciplines.

Topics that will be addressed include

• American options and Monte Carlo methods
• Quasi-Monte Carlo methods in finance
• Spatial random fields and insurance
• Modeling errors versus Monte Carlo uncertainty in finance
• Numerical methods for Hamilton-Jacobi-Bellman (integro) partial differential equations and their convergence analysis.
• Variational and diffusion Monte Carlo methods in quantum physics with applications to many-body problems
• Path integral methods in quantum physics
• Monte Carlo methods in statistical physics
• Monte Carlo simulations in heavy-ion collisions

Invited speakers include

• Marco Avellaneda (Courant Institute of Mathematical Sciences, US), To be confirmed.
• Erik Bølviken (University of Oslo)
• Jordi Boronat (Universitat Politecnica de Catalunya, Spain)
• Lars Oswald Dahl (Storebrand)
• David Dean (Oak Ridge National Lab and University of Tennessee, US)
• Xeni Dimakos (Norwegian Computing Center)
• Eirik Flekkøy (University of Oslo)
• Espen R. Jakobsen (Norwegian University of Science and Technology)
• Claudia La Chioma (Istituto per le Applicazioni del Calcolo "M. Picone", Rome)
• Kevin Schmidt (Arizona State University, US)
• Agnes Sulem (Inria, France)
• Anders Szepessy (Royal Institute of Technology, Sweden)
• Evgeny Zabrodin (CMA)

Time and place:

The workshop starts on

Monday March 22, 09.00, and ends on
Tuesday March 23, 16.30.

The workshop will take place in the CMA seminar room (B1036) in the Niels Henrik Abel building (mathematics building) on the 10th. floor.

All persons who are interested are welcome to attend this informal workshop.

Program (subject to change):

Monday:
0900-0945 Kevin Schmidt. Title: Continuum Quantum Monte Carlo. Abstract.
1000-1045 Erik Bølviken. Title: Monte Carlo in finance and insurance: What are the challenges? Abstract.
1045-1115 **Coffee
1115-1200 Jordi Boronat. Title: Solving N-body Quantum Mechanics with the Monte Carlo Method. Abstract.
1200-1330 **Lunch
1330-1415 Agnes Sulem Title: A policy iteration algorithm for dynamic programming equations with non contracting operators and application to impulse portfolio optimisation. Abstract.
1430-1515 Eirik Flekkøy Title: From cellular automata to Focker-Planck equations for hydrodynamics. Abstract.
1515-1545 **Coffee
1545-1630 Espen Jakobsen: Error bounds for monotone approximation schemes for Hamilton-Jacobi-Bellman equations. Abstract.

1900- ... Workshop dinner.

Tuesday:
0900-0945 Anders Szepessy. Title: Approximation of optimal control. Abstract.
1000-1045 Evgeny Zabrodin. Title: Beyond the Boltzmann-Gibbs distribution in physics and finances
1045-1115 **Coffee
1115-1200 Xeni Dimakos. Title: Bayesian premium rating with spatial latent variables. Abstract.
1200-1330 **Lunch
1330-1415 David Dean. Title: Auxiliary field Monte Carlo modeling for nuclei.
1430-1515 Lars O. Dahl. Title: Use of qmc in financial applications: Calculation of option prices, option greeks by Malliavin calculus and optimal portfolios by qmc. Abstract.
1515-1545 **Coffee
1545-1630 Claudia La Chioma: Integro-partial differential equations in a market driven by gemometric Levy processes: theoretical aspects and numerical approximation. Abstract.

Organizing committee:
Fred Espen Benth (UiO/CMA)
Morten Hjorth-Jensen (UiO/CMA)
Kenneth Hvistendahl Karlsen (UiB/CMA)