Computational Finance Workshop

July 4, 2008, -Shanghai, China
Shanghai International Conference Center

Program schedule

8:30 Registration, continental breakfast
9:00 Opening remarks (Thomas Coleman, University of Waterloo)

Chair: Thomas Coleman.
9:15 Mark Broadie, (Columbia University)
Simulation and Calibration of Stochastic Volatility and Jump Diffusion Option Pricing Models

10:00 Liuren Wu, (City University of New York, Bloomberg)
Computational Challenges in Estimating Option Pricing Models

10:45 Coffee Break

Chair: Mark Broadie
11:15 Dan Rosen (Dan Rosen & Associates.)
Valuation and Risk Management of Credit Portfolios and Structured Credit Products

12:00 Lunch

Chair: Liuren Wu
1:30 Thomas Coleman (University of Waterloo)
Robust Portfolio Solutions to Mean-Variance Portfolio Selection

2:15 David Li （Barclays Capital）
A Transformed Gaussian Copula Function Approach To Credit Portfolio

3:00 Coffee Break

Chair: David Li
3:30 Peter Forsyth （University of Waterloo）
Dynamic Hedging Under Jump Diffusion with Transaction Costs

4:15 Closing remarks (Jun Yuan, Shanghai Supercomputer Center)

4:30 Receptio