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Harvard Statistics Summer Retreat

Schedule

(Note program subject to change.)

Sunday, June 18

5:00-7:00 pm Cocktail Reception

Monday, June 19

9:00-10:30 Registration and Continental Breakfast
10:30-10:45 Welcoming Remarks Xiao-Li Meng
10:45-12:00 Opening Keynote Address:
In Search of Distress Risk		 John Campbell
12:00-2:00 Lunch
2:00-3:15 Computational Finance I: Statistical Estimation via MCMC Samuel Kou
3:15-3:45 Coffee & Refreshments
3:45-5:00 Refresher Course: Asset Pricing Theory Yoonjung Lee

Tuesday, June 20

8:30-9:00 Continental Breakfast
9:00-10:15 Credit Risk Modeling I: Structural Models Yoonjung Lee
10:15-10:45 Coffee & Refreshments
10:45-12:00 Credit Risk Modeling II: Intensity Based Models Yoonjung Lee
12:00-2:00 Lunch
2:00-3:15 Plenary Guest Address I: Valuing Spread and Swing Options Sheldon Ross
3:15-3:45 Coffee & Refreshments
3:45-5:00 Plenary Guest Address II: Simulation Applications in Finance Sheldon Ross

Wednesday, June 21

8:30-9:00 Continental Breakfast
9:00-10:15 Computational Finance II: Bayesian Data Analysis Xiao-Li Meng
10:15-10:45 Coffee & Refreshments
10:45-12:00 Computational Finance III: Handling Missing Data Xiao-Li Meng
12:00-2:00 Lunch
2:00-4:00 Excursion: Stroll Through the Harvard Campus and Museums

Thursday, June 22

8:30-9:00 Continental Breakfast
9:00-10:15 Risk Management I: Value at Risk Jose Blanchet
10:15-10:45 Coffee & Refreshments
10:45-12:00 Risk Management II: Extremes Jose Blanchet
12:00-2:00 Lunch
2:00-3:15 Risk Management III: Computation Jose Blanchet
3:15-3:45 Coffee & Refreshments
3:45-5:00 Computational Finance IV: Monte Carlo Simulations Jun Liu
6:00-8:00 Banquet Dinner

Friday, June 23

8:30-9:00 Continental Breakfast
9:00-10:15 Copulas and Their Applications in Risk Management and Finance I Rustam Ibragimov
10:15-10:45 Coffee & Refreshments
10:45-12:00 Copulas and Their Applications in Risk Management and Finance II Rustam Ibragimov
12:00-2:00 Lunch
2:00-3:15 Closing Keynote Address:
Empirical Properties of Hedge Funds		 Andrew Lo

Copyright 2006 by the President and Fellows of Harvard College