Numerical probabilistic methods for high-dimensional problems in finance

December 5 to December 8, 2003

at the

American Institute of Mathematics, Palo Alto, California

organized by

Jaksa Cvitanic and Nizar Touzi

Original Announcement

This workshop 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.

Material from the workshop

A list of participants.

The workshop schedule.

A report on the workshop activities.