Dilip B. Madan, professor at Department of Finance, Robert H. Smith School of Buiness, and professor at the Applied Mathematics and Scientific Computing program (AMSC)

Mathematical Finance Conference in honor of

The 60th Birthday of Dilip B. Madan

Hosted by the Norbert Wiener Center,
September 29 - October 1, 2006

Keynote speaker: Professor Marc Yor

--- Click here to see photos and archived proceedings from the conference ---

Schedule

All talks to take place in 3206 Mathematics Building

Click here to view a detailed schedule with titles and abstracts.

Friday, 9/29
8:30 - 9:20 Eugene Seneta The  Early Years of the Variance-Gamma  Process
  Professor of School of Mathematics and Statistics University of Sydney, Australia
9:25 - 10:15 Helyette Geman Random walk versus Mean-reversion in Energy Commodity Prices
  Professor of Finance, Université Paris IX Dauphine and ESSEC, France
coffee break
  
10:30 - 11:20 Thaleia Zariphopoulou Investments, wealth and risk tolerance
  Professor, Departments of Mathematics and Risk and Operations Management, University of Texas at Austin
11:25 - 12:15 Marek Musiela Risk tolerance and optimal portfolio choice
  BNP Paribas, UK
lunch
  
2:00 - 2:10 Welcoming remarks by John J. Benedetto, Director of the Norbert Wiener Center
2:10 - 3:00 Bruno Dupire Arbitrage Bounds for Volatility Derivatives and the Skorokhod embedding Problem
  Bloomberg, LP
3:10 - 4:10 Marc Yor Some remarkable properties of Gamma processes
  Professor, Université Paris VI - Laboratoire de Probabilités, France
coffee break
  
4:30 - 5:30 Dilip Madan Equilibrium Asset Pricing: With Non-Gaussian Factors and Exponential Utilities
   

Saturday, 9/30
8:30 - 9:20 Philip Protter Risk Neutral Compatibility with Option Prices
  Professor of School of Operations Research and Industrial Engineering, Cornell University
9:25 - 10:15 Ali Hirsa Pricing of Long-dated Straddles & Their Properties
  Caspian Capital
coffee break
  
10:30 - 11:20 Robert Jarrow Operational Risk
  Professor of Investment Management, Professor of Finance and Economics, Johnson School, Cornell University
11:25 - 12:15 Lane Hughston Information-Based Asset Pricing
  Professor of Financial Mathematics, Department of Mathematics, King's College London, United Kingdom
lunch
  
2:00 - 2:50 Andreas Kyprianou Distributional study of De Finetti's dividend problem for a general Lévy insurance risk process
  Department of Mathematical Sciences, University of Bath, United Kingdom
3:00 - 3:50 Wim Schoutens A Generic One-Factor Lévy Model for Pricing Synthetic CDOs
  Research Professor, Department of Mathematics, Katholieke Universiteit Leuven, Belgium
coffee break
  
4:10 - 5:00 Robert Elliott New Results for Fractional Brownian Motion
  Professor of Finance, Haskayne School of Business, University of Calgary, Canada
5:10 - 6:00 Ernst Eberlein Lévy driven fixed income models
  Professor of Department of Mathematical Stochastics, University of Freiburg, Germany

Sunday, October 1
8:30 - 9:20 Frank Milne Limited Tax Rebates, Tax Arbitrage and Equilibrium in a Multi-period Financial Market with a General Tax Structures and Transaction Costs
  Bank of Montreal Professor of Economics and Finance, Queen's University, Canada
9:25 - 10:15 Peter Carr Robust Replication of Default Contingent Claims
  Head of Quantitative Financial Research, Bloomberg LP and Director of Masters in Math Finance Program, Mathematics Department, Courant Institute
10:30 - 11:20 Freddy Delbaen Characterisation of b(M) for continuous BMO martingales
  Professor of Department of Mathematics, ETH-Zurich, Switzerland
11:25 - 12:15 Ajay Khanna  
   

Organizers

Location and Accommodations

The conference takes place at the Mathematics Building on the campus of the University of Maryland in College Park, MD. Directions to the building can be found here.

We have obtained a group discount number from the Quality Inn for this conference. Mention number "2467" when you make the reservations to obtain the discount rates, which are $69 for a single room, and $74 for a double room.

To reserve a room, please call the Quality Inn directly:

Quality Inn and Suites
7200 Baltimore Avenue
College Park, MD 20740
(301) 864-5820

Banquet

There will be a banquet at the UMUC Inn and Conference Center on Friday, September 29 at 7 pm. The cost will be $10 for current students and $25 for everyone else wishing to attend. Please let us know if you plan to join us, as the space is limited. Payment for the banquet can be made by check or cash on site at the conference.

Sponsorship

Sponsored in part by the Department of Finance, Robert H. Smith School of Business, University of Maryland, Caspian Capital

Contact

madan-conference@math.umd.edu