Thursday, September 3

                                                                                                           

9:00am Opening Remarks                                                                                                           

Professor Rajiv Vohra, Dean of Faculty

9:15am Ren Cheng, Fidelity Investments                                                                                                     

Some Reflections on the Current State of Financial Mathematics 

Jerome Stein, Brown University                                                                                                

Application of Stochastic Optimal Control to Financial Market Debt Crises

12:30pm Lunch Break

2:00pm Jichuan Yang, Barclays Capital                                                                                

How Much Capital is Adequate for a Derivatives Product Company?

Friday, September 4

9:00am Tao Pang, North Carolina State University                                                                

Pricing Mortgage-Backed Securities (MBS) and the Risk Analysis

10:30am Steven Zhu, Bank of America                                                                                   

Evolution of the Financial models: a personal journey

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B&H 190

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