Zürich Workshop on Computational Finance

11 September 2003 - 13 September 2003

Analysis and Numerics for Jump-Diffusion and Stochastic Volatility Models

Organizers: Prof. Paul Embrechts (RiskLab and Financial and Insurance Mathematics ETH Zürich), Prof. Freddy Delbaen (RiskLab and Financial and Insurance Mathematics ETH Zürich) and Prof. Christoph Schwab (Seminar for Applied Mathematics ETH Zürich and RiskLab).

Local organizers: Dr. Ana-Maria Matache and Prof. Christoph Schwab.

Some of the speakers sent us copies of the slides or the source files of their presentation. You can access these below.

Latest news

Please verify on the webpage your title(s) and abstract(s); should you wish to change these, please send an email to schwab@sam.math.ethz.ch.

Early Arrival: for those who arrive Wednesday, Sept 10, registration will be possible from 4pm to 6pm on the G-Floor of the main building, in front of the Semper-Aula, Room HG G 60.

Book exhibits: there will be book exhibits by Springer and World Scientific -- no representatives of Publishers will be present, but order forms with workshop discounts will be provided. Please inform your Publisher in case you wish particular books displayed at the workshop -- display copies should be shipped to Mrs. M. Pfister, SAM, ETHZ, HG G 57.1, CH 8092 Zurich, Switzerland

Dining: Lunch and Dinner can be taken in the ETH Mensa on site. ETH Mensa is located on the B-floor of the ETH Main Building. The Mensa has a Salad bar and a daily vegetarian choice. There are plenty of excellent restaurants within walking distance of the workshop site and a list together with a city map will be provided with your registration material. Should you have special dietary requirements, please notify Dr. Ana-Maria Matache, amatache@sam.math.ethz.ch

Transport: if you are planning to use public transportation at least twice a day (for example for going to and coming from the workshop), it already pays to buy a "Tageskarte" (day-pass), which is valid for 24 hours from the time you buy it. This way you can freely board any tram, bus or ship(!) in the downtown area without stopping to buy a new ticket every time (just make sure that you have your day-pass ticket with you all the time). Note that a ticket is valid for 24 hours and called a day-pass ("Tageskarte"), but may be used within 24hrs. on possibly two consecutive days (e.g. between 1201h of day1 up to 1200h of day2). Tickets can be bought at ticket vending machines at every tram/bus station (there, you need Swiss coins), or at the TKT sales counters in the airport or in the Zurich main station ("Hauptbahnhof").

Audiovisual requirements: 2 overhead projectors for simultaneous use are available in the lecture hall. A Beamer for electronic presentations is also available; for this, we assume that you bring your own laptop. To test your laptop/ beamer connection, please see Mr. Alan Butler or Drs. Matache or Schwab during the coffee breaks or at time of registration. Should you have your presentation on CD-ROM, but no laptop, we can provide computing equipment -- in this case, please specify via email until Aug 31 to zhfinan03@math.ethz.ch required hardware and operating system.

E-mail access: ETH Main Building has wireless LAN in all lecture halls. During the ws, each participant will have a guest account on ETH Computing facilities; Terminals will be available on site on the E-Floor of the main building. They are open from 8 am to 10 pm.

Recreation: ETH's gyms are located at the ws site on the B-floor of the main building. See us (Matache or Schwab) for the purchase of day passes.

There will be no performances in the Zurich Opera house on the evening of Sept. 11 and 13. The Zurich Art Gallery Kunsthaus Zurich is within 10 min. walking distance from ETH Main Building. See http://www.kunsthaus.ch/ for up to date information on current exhibits.

Objectives of the workshop: The workshop will address recent advances in mathematical modeling and numerical methods for quantitative finance. Particular emphasis will be placed on mathematical models and numerics beyond classical Black-Scholes. The following topics will be addressed: jump-diffusion price and interest rate models, in particular by processes of Lévy-type, fast deterministic pricing of European and exotic contracts on assets driven by jump-diffusions, calibration of jump-diffusion processes, stochastic volatility models, wavelet-techniques for fast pricing, new deterministic and advanced Monte-Carlo algorithms for Credit Risk and contracts on baskets.

The format of the workshop is a series of invited and contributed talks which are delivered by leading experts from academia as well as from practice.

The target audience of the workshop are graduate and doctoral students in quantitative finance and financial engineering as well as quants from the financial industry. The language of the workshop will be english.

The workshop will be held at the Swiss Federal Institute of Technology (ETH) Zürich which is also home of RiskLab. To find your way to ETH Zentrum, you can follow these instructions. The lecture hall is the Aula of the Main Building designed by Gottfried Semper. The City of Zürich is home of major financial corporations such as Credit Suisse Group, UBS AG, Swiss Re, Swiss Stock Exchange. The workshop is organized jointly by RiskLab, Chair of Financial Mathematics and Seminar for Applied Mathematics ETH Zürich.

Sponsors: Credit Suisse Group, UBS AG, Swiss Re and the Institute for Mathematical Research of ETH.