Finance Department

Department Hosted Conference in Honor of Stan Pliska

Recent Advances in Mathematical Finance:
Conference in Honor of Stan Pliska

University of Illinois at Chicago
December 7-8, 2007

Welcome by Gib Bassett and Tomasz Bielecki.
Speakers and Titles of their talks:

Click here for the Conference Program

Phelim Boyle

Title: "Robust Pricing in an Incomplete Market "
School of Business and Economics
Wilfrid Laurier University
Waterloo, Ontario Canada
Presentation Slides

Yevgeny Goncharov

Title: "Prepayment and Mortgage Rate Modeling"
Department of Mathematics
Florida State University
Tallahassee, FL, USA
Presentation Slides

Robert Jarrow
Title: "Asset Price Bubbles in Incomplete Markets"
S.C. Johnson Graduate School of Management
Cornell University
Ithaca, NY, USA
Presentation Slides

Takeaki Kariya
Title: "A Model for Corporate Bonds with Multiple Industry Factors and Derivation of the Implied Term Structure of Default Probabilities and Recovery Rates for Each Pair of Industry and Rating Category Via Corporate Bond Data"
Graduate School of Global Business, Meiji University
Institute of Economic Research, Kyoto University, Japan
Presentation Slides

Masaaki Kijima
Title: "Optimal Capital Structure for a Fixed Term Debt: A Bivariate Model"
Graduate School of Economics, Kyoto University
Yoshida-Honmachi, Sakyo-ku, Kyoto, Japan
Presentation Slides

Dilip Madan
Title: TBD
Robert H. Smith School of Business,
University of Maryland, College Park MD, USA
Presentation Slides

Chris Rogers
Title: "Pathwise Stochastic Optimal Control"
Statistical Laboratory
Centre for Mathematical Sciences
Cambridge University, UK
Presentation Slides


The workshop will begin at 1:00 p.m. on December 7 and conclude at noon on December 8. The workshop dinner will be 6:00 p.m. Friday, December 7.
One can register for:
(1) just the conference presentations, (2) just the banquet, or (3) both
It will be held at UIC's Sudent Center East, 750 S. Halsted Street room 605. Parking is available across the street. (map)
Click here to register


A block of rooms has been reserved at the Crowne Plaza Metro Hotel:
733 West Madison Avenue
Chicago, IL 60661
Mention UIC for the special rate.
Hotel Front Desk: 312-829-5000 | Hotel Fax: 312-602-2199


Sponsored by: