Birbeck Talk Schedule June2009

COMISEF Workshop, Birkbeck College, June 2009, Talk Schedule May 8, 2009 Birkbeck college, 18-19, June 2009 We have 10 speakers sketched in at present. As well as COMISEF fellows, we are delighted to announce that researchers from Imperial college will present their work. A definitive schedule will be produced around 3 weeks before the Workshop. We will keep you posted on all other changes. Topic Themes Day 1 shall be on heuristics and option pricing; and day 2 shall cover robust optimisation techniques. Speakers and Topics List Listed below in alphabetical order are the speakers and their topics for the Workshop. We shall request from speakers at some point a more detailed overview of their talks, along with a reading list. A Latex template for this purpose shall be posted in due course. • Raquel Fonseca - Robust optimization applied to currency portfolio. • Polyxeni Kleniati - TBA. • Marianna Lyra - A survey of optimisation techniques and their application to real world problems in Finance. • Alper Odabasioglu - Applications of Fast Fourier Transform (FFT) in option pricing. • Mattheos Protopapas - An introduction to Genetic Algorithms. • Enrico Schumann - Optimising risk and reward of financial portfolios (Threshold Accepting). 1

• Chris Sharpe - Programming test strategies and how to test optimisation heuristic implementations. • Kai Ye - Bounding option prices with semidefinite programming • Jin Zhang - TBA. • Steve Zymler - Worst-Case Value-at-Risk for Non-Linear Portfolios.

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