Numerical probabilistic methods for high-dimensional problems in finance

December 5 to 8, 2003

at the

American Institute of Mathematics, Palo Alto, California

organized by

Jaksa Cvitanic, and Nizar Touzi

This workshop, sponsored by AIM and the NSF, will be devoted to developing and studying efficient numerical algorithms, based on probabilistic methods, for solving high-dimensional optimization/nonlinear problems in finance, and exploring the connection with the theory of Forward Backward Stochastic Differential Equations, while at the same time extending that theory. The workshop will bring together researchers in numerical methods, PDE's, Monte Carlo simulation, quantitative finance, Malliavin Calculus, Forward Backward Stochastic Differential Equations, nonparametric regression kernel techniques, and similar. We hope especially to facilitate communication on this topic between mathematicians, researchers from finance departments, and those from finance industry. The main topics for the workshop are

The workshop will differ from typical conferences in some regards. Participants will be invited to suggest open problems and questions before the workshop begins, and these will be posted on the workshop website. These include specific problems on which there is hope of making some progress during the workshop, as well as more ambitious problems which may influence the future activity of the field. Lectures at the workshop will be focused on familiarizing the participants with the background material leading up to specific problems, and there will be ample time between talks for discussions and for work to be done.

The application deadline for funding to participate in this workshop has passed.

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