Mathematical Finance Day

Please Note

• DARRELL DUFFIE (Stanford University)
• DOUGLAS GALE (Boston University)
• DAVID HEATH (Cornell University)
• ROBERT A. JARROW (Cornell University)
• IOANNIS KARATZAS (Columbia University)
• ANDREW LO (MIT)
• R. TYRELL ROCKAFELLAR (University of Washington)

• JOSEPH CHERIAN (Dept. of Finance & Economics, School of Management, Boston University)
• OGNIAN ENCHEV (Dept. of Mathematics, College of Arts and Sciences, Boston University)

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  Program:

  8:00-8:45 * Continental breakfast
  8:45-9:00 * Welcome and Opening Remarks
  Dean Louis E. Lataif, School of Management, Boston University
  9:00-9:30 * Paul Samuelson (MIT)
  

  Morning Session -- chaired by Murad M. Taqqu (Boston Univ.)

  9:30-10:15 * I. Karatzas: Pricing of Contingent Claims under Portfolio Constraints/Transaction Costs
  10:15-11:00 * D. C. Heath: Measurement of Risk: an Axiomatic Approach

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  11:00-11:15 * Questions and Answers

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  11:15-11:45 * Coffee Break

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  11:45-12:30 * R. A. Jarrow: Foundations of Options/Futures Pricing Theory
  12:30-1:15 * R. T. Rockafellar: Taxes and Nonlinearity in Cash Stream Valuation

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  1:15-1:30 * Questions and Answers

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  1:30-3:00 * Lunch and Keynote Address

  Host: Dean Louis E. Lataif, School of Management, Boston University
  Paul A. Samuelson (MIT) [delivered by Robert C. Merton (Harvard)]

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  Afternoon Session -- chaired by Nalin Kulatilaka (Boston Univ.)

  3:00-3:45 * D. Gale: Some Learning Models
  3:45-4:30 * A. W. Lo: Neural Networks and Other Nonparametric Techniques in Financial Economics
  4:30-5:15 * D. Duffie: Models for Estimating and Pricing Default Risk

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  5:15-5:30 * Questions and Answers

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  5:30-6:00 * Champagne and Closing Remarks

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  PLEASE NOTE:

  At this point the number of officially registered participants in the MFD has reached the limit of 450 imposed by the size of Law Auditorium. Thus we will not be accepting new registrations as of 9:00 AM on Friday, March 29.

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  Inquiries could be sent to:

  MATHEMATICAL FINANCE DAY
  Finance Department
  School of Management
  704 Commonwealth Ave.
  Boston, Massachusetts 02215

  E-mail: mfd@math.bu.edu
  Fax: (617) 353-8100
  Tel: (617) 353-2560
  

  Additional information about the Mathematical Finance Day is available from URL: http://math.bu.edu/index.html. Various postscript and plain ASCII files with registration forms and other information are available via anonymous ftp from math.bu.edu and are located in /pub/math-finance.

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  Please click here for

  Hotel and Travel information

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  In addition, you may click here to find out about courses in
  Operations Research and Math Finance at Boston University