Computational Finance Workshop

                        Thursday, May 2, 1996
                   Sandford Fleming Bldg., Room 1105
                        10 King's College Rd.
                        University of Toronto

Sponsored by:  ITRC - Information Technology Research Centre
               IIPR - Institute of Insurance and Pension Research
               The Departments of Computer Science at the Universities 
                   of Waterloo and Toronto

Organizers:  Peter Forsyth, Computer Science, University of Waterloo
             Ken Jackson, Computer Science, University of Toronto

Modern models in finance rarely admit analytical solutions.  This
workshop will focus on computational methods for obtaining approximate
solutions to financial models with application to such areas as:
option pricing, portfolio selection,  and risk management.  Ten
speakers from banks, consulting companies, software companies and
universities will present their work on new models and numerical
methods, including schemes based on Monte Carlo, Lattices, and Partial
Differential Equations.

The workshop is intended to increase awareness of advances in
computational finance and to discover opportunities to improve
practices or undertake further research.

There is no registration fee, but we would appreciate receiving your
registration before April 26.

                                Agenda

9:30 - 10:00   Prof. Phelim P Boyle, School of Accounting, 
               University of Waterloo, pboyle@watarts.uwaterloo.ca,
	       "Monte Carlo Methods"

10:00 - 10:30  Prof. Ken Vetzal, School of Accounting, University of Waterloo,
	       kvetzal@watarts.uwaterloo.ca, "PDE Models of the Term
	       Structure:  Matching Yield and Volatility Curves"

10:30 - 10:45  Coffee

10:45 - 11:15  Mr. Baoyan Ding,  Combinatorics and Optimization, University of
               Waterloo, bding@jeeves.uwaterloo.ca,
	       "Portfolio Selection with Skewness"

11:15 - 11:45  (a) Dr. Michel Crouhy, Vice President, CIBC, Global Analytics,
		   Market Risk Management Division,  crouhy@cibc.ca,
		   "An Overview of Numerical Problems in Derivative
		   Products and Risk Management"
	       (b) Dr. Vincent Canale, CIBC, Global Analytics,
                   Market Risk Management Division, canale@cibc.ca,
		   "Numerical Methods for Pricing Barrier Options"
	       (c) Dr. Raymond Ross, CIBC, Global Analytics,
                   Market Risk Management Division, rossr@cIbc.ca,
                   "Good Point Methods for Computing Prices of
                   European-Style Multi-Asset Options"

11:45 - 12:15  Mr. Rob Zvan, Computer Science Dept., University of Waterloo,
	       rzvan@yoho.uwaterloo.ca, "Robust Numerical Methods for
	       PDE Models of Asian Options"

12:15 - 2:00   Lunch

2:00 - 2:30    Dr. Izzy Nelken, Consultant and Principal, Harris Investment
               Management, Chicago,  iamizzy@ix.netcom.com,
	       "Modeling Convertible Bonds"

2:30 - 3:00    Mr. Yidong Liu, Computer Science Dept., University of Toronto,
               yidong@cs.toronto.edu, "Modeling Path Dependent Options"

3:00 - 3:15    Coffee

3:15 - 3:45    Dr. Ron Dembo, Algorithmics Inc., Toronto, 
               dembo@algorithmics.com, "Optimal Portfolio Replication"

3:45 - 4:15    Prof. Sheldon Lin, Statistics Dept., University of Toronto,
	       sheldon@utstat.toronto.edu, "Bounds on Multiple Contingent 
	       Claims"

4:15 - 4:45    Mr. Hailiang Yang, Statistics Dept., University of Waterloo,
               h2yang@setosa.uwaterloo.ca, "Asset Allocation with 
               Transaction Costs"

5:00 - 6:30    Wine and cheese