Inaugural day: Monday October 16th
Reitnouer Auditorium, Room 1003
Intercollegiate Athletics Building
University of California, Santa Barbara
Hosted by
Martin Moskovits, Worster Dean of Science
and
Jean-Pierre Fouque, Director
Center for Research in Financial Mathematics and Statistics
Program:
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
Invited Speakers
Peter Carr (Bloomberg and NYU)
Peter Carr has over ten years of experience in the derivatives industry.
For the past 3 years, Dr. Carr has headed Quantitative Financial Research
at Bloomberg and the Masters in Mathematical Finance program at NYU?s
Courant Institute. Prior to his current positions, he headed equity derivative
research groups at 2 major banks and was a finance professor for 8 years
at Cornell University. Conducting research in the interface between academia
and industry, he has published extensively in both academic and industry-oriented
journals. He is currently the treasurer of the Bachelier Finance Society
and an associate editor for 8 journals related to mathematical finance.
A plenary speaker at many practitioner conferences, he has recently won
awards from Wilmott Magazine for Cutting Edge Research and from Risk Magazine
for ?Quant of the Year?. In ICBI?s 2006 survey of contributions to the
derivatives industry, Dr. Carr was ranked as a leading academic and practitioner,
the only person to appear in the top 3 in both categories.
Abstract
"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.
Thaleia Zariphopoulou (UT Austin)
Thaleia Zariphopoulou is the V. H. Neuhaus Professor at the University
of Texas in Austin (Departments of Mathematics and Information, Risk and
Operations Management-- Red McCombs School of Business). She joined the
University of Texas in 2000. Before then, she was the Laun Associate Professor
of Mathematics and Finance at the University of Wisconsin, Madison.
She is currently the President of the Bachelier Finance Society. She has
been involved with editorial work for the Annals of Applied Probability,
Mathematical Finance, Finance and Stochastics, SIAM Journal on Control
and Optimization and Decisions in Economics and Finance.
Her research is in valuation in incomplete markets, integrated risk management
and investments. She pioneered the use of viscosity theory in portfolio
management problems and has produced fundamental work in pricing and hedging
in markets with frictions.
Abstract:
"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 (Morgan Stanley)
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.
Abstract
"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.
Department of Statistics
and Applied Probability
University of California
Santa Barbara, California 93106-3110