Inaugural day: Monday October 16th
Reitnouer Auditorium, Room 1003
University of California, Santa Barbara
Martin Moskovits, Worster Dean of Science
Jean-Pierre Fouque, Director
Center for Research in Financial Mathematics and Statistics
2:00 PM Peter Carr, Bloomberg and New York University SLIDES
A Practitioner's Overview of Mathematical Finance. Dr. Carr will focus on the many ways in which mathematical finance is used in the financial industry. Dr. Carr is the head of the Quantitative Financial Research at Bloomberg and of the Masters in Mathematical Finance program at NYU's Courant Institute.
3:15PM Thaleia Zariphopoulou, University of Texas, Austin SLIDES
Investments: Theory and Practice. Dr. Zariphopoulou will present recent theoretical advances and practical applications for the problem of specifying the investor's optimal asset allocation. Dr. Zariphopoulou is the V. H. Neuhaus Professor at the University of Texas in Austin and the president of the Bachelier Finance Society.
4:15 PM Peter Cotton, Morgan Stanley SLIDES
Are There Central Problems in Finance? Dr. Cotton will present a new idea: The oxymoronic concept of a not-for-profit hedge fund. Dr. Cotton is currently Vice President at Morgan Stanley in the Fixed Income Division.
5:00 PM Reception
"A Practitioner's Overview of Mathematical Finance"
We given an overview of the burgeoning field of mathematical finance. In particular, we focus on the many ways in which mathematical finance is used in the financial industry. As an illustration, we elaborate on the ubiquitous use of mathematical finance in the design, pricing and hedging of financial derivatives.
"Investments: Theory and Practice"
The problem of specifying the investor's optimal asset allocation is a challenging one due to the various market factors and the complex individual risk preference profile. So far, theory and practice appear to have little in common. I will present recent theoretical advances and practical applications, and I will discuss the involved quantitative methods.
Peter Cotton is currently Vice President at Morgan Stanley in the Fixed Income Division where he has worked since graduating from Stanford in 2001 with Ph.D. in Mathematics (and prior to that, University of New South Wales where he studied Lie Theory with Anthony Dooley). At Morgan Stanley he created and ran a long term research program known as the Windtunnel Group before joining the trading and structuring desk this year.
"Are There Central Problems in Finance?"
Lack of real progress in the dynamic modeling of credit derivatives cannot be attributed to lack of interest or a shortage of financial knowledge amongst those who have contributed to a rapidly expanding literature. A more plausible explanation is that most reasonable approaches channel into problems of a mathematical or algorithmic nature which are truly hard. Drawing on lessons from more developed and successful fields, we discuss some reasons for our collective failure and propose a radical remedy: the oxymoronic concept of a not-for-profit hedge fund.