Thursday, June 26, 2008

Center for Applied Probability at Columbia University - 15th Annual Applied Probability Day

The Center for Applied Probability at Columbia University presents the 15th Annual Applied Probability Day (APD).


Saturday June 28th, 2008

Room 303
S.W. Mudd Building
500 West 120th Street
Columbia University, New York City

REGISTRATION IS FREE, all are very welcome, please join.


Five (5) Speakers include:

David Pollard, Yale University, USA

- Random chromatic numbers, some statistical folklore, and some puzzling inequalities

Søren Asmussen, Aarhus University, Denmark

- Failure probabilities for checkpointing and parallel computing

Steve Kou, Columbia University, USA

- The Recent Financial Turmoil and Related Financial Engineering Research Problems

J. Michael Steele, Wharton School, USA

- Martingale Markets

Sidney Resnick, Cornell University, USA

- Multivariate regular variation on 3 cones yields three theories

A reception will follow. We particularly warmly welcome all of those who remember Chris C. Heyde; his students, his colleagues and his friends. For further information please go to our web site:

Monday, June 02, 2008

UCSB Conference on Convex Duality method in Mathematical Finance

The conference will be held on the seaside campus of the University of California at Santa Barbara, June 22-27, 2008. The program will focus sharply on recent developments in applications of the convex duality method to problems in finance.

Meeting schedule

Principal Lecturer
Dr. Marco Frittelli is Professor of Mathematical Finance at the University of Milano, Italy, having held positions at Florence, Milano, and Urbino Universities and visiting scholar positions in several universities in the USA and Europe. He is a member of the Editorial board of The Annals of Applied Probability and a member of the Scientific Council of the Bachelier Finance Society.

Dr. Marco Frittelli will deliver 10 lectures on the topic of Convex Duality Methods in Mathematical Finance.

Abstract of the lecture series

Invited speakers
One-hour talks will be presented by the following invited speakers:
Sara Biagini (Perugia, Italy)
Alexander Schied (Cornell)
Mihai Sirbu (UT Austin)
Mike Tehranchi (Cambridge)
Mingxin Xu (UNC Charlotte)
Thaleia Zariphopoulou (UT Austin)

International Workshop on Credit Risk at Universite d'Evry

International Workshop: CREDIT RISK
June 25-26-27 2008, Evry, (France)
Université d'Evry Val d´Essonne
Laboratoire d'Analyse et Probabilités
Département de Mathématiques

A three-day conference in finance will take place at Evry University (France) from Wednesday June 25 to Friday June 27 2008 on the following theme: 'Credit Risk'.
Organized on the same format as the previous editions of the Workshops in finance at Evry University this conference will allow a fruitful exchange of ideas between practitioners and academics. (Programme)

Organizing Committee:
Monique Jeanblanc, University of Evry, France
Stéphane Crépey, University of Evry, France

Liquidity Risk Conference at Cornell University

There will be a National Science Foundation sponsored conference on liquidity risk at Cornell University, Ithaca, New York, on June 27 and 28. All are welcome. There is no registration fee, but participants are asked to register for eventual reporting to the NSF. The organizer is Philip Protter, who may be contacted with requests for information, at pep4*at*

Invited Participants
Marcel Blais WPI
Bob Jarrow Cornell University
Ioannis Karatzas Columbia University
Kiseop Lee University of Louisville
Mike Lipkin Katama, Inc. and Columbia
Ciamac Moallemi Columbia University
Wesley Phoa Capital Group, Los Angeles
Philip Protter Cornell University
Alexandre Roch Cornell University
Jesus Rodriguez Rutgers University
Chris Rogers University of Cambridge, UK
Alexander Schied Cornell University
Deniz Sezer York University, Toronto, Canada
Kazuhiro Shimbo Mizuho Alternative Investments, LLC
Vanantha Ly Vath University of Paris 6, Paris, France