Numerical probabilistic methods for high-dimensional problems in finance
December 5 to December 8, 2003
American Institute of Mathematics,
Palo Alto, California
Jaksa Cvitanic and Nizar Touzi
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
Material from the workshop
A list of participants.
The workshop schedule.
A report on the workshop activities.
A list of open problems.