"Monte Carlo and Numerical Methods in Finance"

Vendredi 4 avril / Friday, April 4, 2003
CIRANO, 2020 rue University, 25e étage/floor, Montréal

Sous la direction de / Organized by Jérôme Detemple, René Garcia, Nour Meddahi

------------------------------------------------------

10:30-12:00: Session I

Président/Chair: Jérôme Detemple (Boston University, CIRANO)

Leif Andersen (Bank of America Securities), Mark Broadie (Columbia University), Menghui Cao (Columbia University)
Pricing American Options by Simulation: The Primal-Dual Method and Efficiency Enhancements

Jin-Chuan Duan (University of Toronto, CIRANO)
An Enhanced Path-Derivative Monte Carlo Method for Computing Option Greeks

12:00-13:15: Lunch

13:15-14:45: Session II

Président/Chair: Jean-Marie Dufour (Université de Montréal, CIRANO, CIREQ)

Bruno Bouchard (University of Paris 6, CREST), Nizar Touzi (CREST, CIRANO)
Discrete-Time Approximation and Simulation of Backward Stochastic Differential Equations

Jérôme Detemple (Boston University, CIRANO), René Garcia (Université de Montréal, CIRANO, CIREQ), Marcel Rindisbacher (University of Toronto, CIRANO)
Asymptotic Efficiency of Monte Carlo Estimators for Diffusions

14:45-15:15: Pause / Break

15:15-16:45: Session III

Président/Chair: René Garcia (Université de Montréal, CIRANO, CIREQ)

A. Ronald Gallant (Duke University), Robert E. McCulloch (University of Chicago)
A Bayesian Approach to EMM

Michael S. Johannes (Columbia University), Nicholas Polson (University of Chicago), Jonathan Stroud (University of Pennsylvania)
Nonlinear Filtering of Stochastic Differential Equations with Jumps