Dear Participants and Lecturers: This is the (almost) final version of the program. Please confirm to me if anything does not go well with your plans. I have also attached information about getting to your hotel, the workshop dinner and other details about Kyoto University and the swine flu (no joke, ;)). Please do not hesitate to contact me if you need anything. Greetings, Arturo Monday August 10 9-9:10 Opening and comments 9:10-10:10 Terry Lyons (University of Oxford) (Kusuoka) Title: Using cubature as a tool in super-accurate PDE solvers. 10:30-11:30 Nicolas Victoir (JPMorganA HongKong) (Lyons) Title: SDE discretisation mtehod inspired by rough paths 11:50-12:50 Christian Bayer ( Royal Institue of Technology, Stockholm)(Crisan) "Cubature on Wiener space for Heath-Jarrow-Morton interest rate models". 2:30-3:30 Kusuoka S. (Tokyo University) (Victoir) Gaussian-K scheme 3:50 4:50 Hans Buehler (JPMorganA HongKong) (Bayer) Risk management with infinite dimensional SDE's 5:10-6:10 (Buehler) Ninomiya, S. (Tokyo Institute of Technology) TBA 8/11 (Tuesday) 9-10 Akahori, Jiro (Ritsumeikan University) (Ninomiya) "Action of affine Lie algebras on Wiener functionals" 10:20-11:20 Dan Crisan (Imperial College, London) (Akahori) Solving Backward Stochastic Differential Equations using Cubature Methods. Application to Option Pricing. 11:40-12:20 Schoenmakers, J. (Weierstrass Insititute) (Jourdain) Regression methods for stochastic control problems and their convergence analysis 2:00-3:00 Jianfeng Zhang (University of South California) (Geiss) Monte Carlo Methods for High Dimensional Backward SDEs and Associated Nonlinear Parabolic PDEs 3:20-4:00 Stefan Geiss and Christel Geiss (Jyv\"askyl\"a), and Emmanuel Gobet (Grenoble) (Zhang) Generalized fractional smoothness and $L_p$-variation of BSDEs with non-Lipschitz terminal condition 4:20-5:20 Mike Giles (Oxford University) (Kohatsu) Multilevel Monte Carlo simulation 5:40-6:40 Fukasawa M. (Geiss) Discretization error of Stochastic Integrals 7:00 Restaurant I have made a reservation at Ganko restaurant (see http://www.gankofood.co.jp/en/) This restaurant has a nice japanese garden where you can take a short walk around. I have still to tell the restaurant how many people are joining us. So please tell me if you are attending the workshop dinner and if you will be accompanied. I have also assured myself that there is a vegetarian option so also please let me know of your choice of meal. For choice of meal, there are the following options (all of them are described in the webpage): Ai, Hana Kurenai, Hana Shobu. Please tell me which one you prefer. (In fact, they asked me to restrict the choices so that their work is easier) Important notice: We do not have funds to cover for this activity so please make sure you can pay the meal and drinks. In order to facilitate the billing, we will divide everything into equal parts. You should probably add around 2000 yen more for drinks. 8/12 (Wednesday) 9:00-10:00 Benjamin Jourdain (ENPC) (Schoenmakers) High order discretization schemes for stochastic volatility models 10:10-11:10 William Shaw(King's College) (Giles) Modelling Frameworks for the Post-Credit-Crunch Environment 11:20-12:00 Chuan-Hsiang (Sean) Han (National Tsing-Hua University, Taiwan) (Shaw) Estimating Joint Default Probabilities by Efficient Importance Sampling 12:10-12:50 Schoenmakers J. (WIAS) (Takeuchi) Holomorphic Transforms with Application to Affine Processes ------------------------------------ Closure, lunch and maybe some sightseeing. I am thinking to go for lunch to a place close to the university and then maybe take a stroll in the nearby Philosopher's Walk (although it is summer and it may be hot). Also I will take with me anybody that is joining the Workshop Mathematical Finance and Related Topics in Economics and Engineering at the Kansai Seminar House. ----------------------------------- From the airport to the hotel Most of you will be staying at either the Tokyu Hotel (http://www.kyoto-h.tokyuhotels.co.jp/en/) or the Holiday Inn Kyoto (http://www.hi-kyoto.co.jp/). There are directions in each site about how to get to the hotel from the Kansai International Airport. Some of you may be arriving to the Osaka (Itami) Airport (this maybe the case if your first point of arrival in Japan in Tokyo). There are also buses that go from the airport to Kyoto. One very convenient service is the MK Shuttle service. It costs a bit more but it will take you from door to door. It is worth it if you do not like to find your way around. Please make your reservation at http://www.mk-group.co.jp/english/shuttle/index.html at least three days in advance of your trip and they will reply to you to let you know if they have available seats (For this reason, I reccomend that you book well in advance) ------------------------------ How to get to the Workshop The workshop will take place in the room 110, Building 3 of the Faculty of Science (see the two maps attached, one to find the building and the other to find the room inside the building). Notice that the activities will not take place at the RIMS building which is undergoing remodelation work. ---------------------------------- Internet and drinks/snacks Unfortunately RIMS can not provide internet services or drinks during the workshop. So I advise that you buy drinks before coming to the worshop at convenience stores or vending machines. If you are in (desperate) need of internet access, I can loan to you my PC which has (slow) mobile internet access. The only problem is that most of the functions are in japanese so it could be used only for mail and some other basic functions only. ---------------------------------------- Restaurants: I am attaching a file with a sketch of the area around Kyoto University with a list of possible restaurants. The description of each is rather encriptic which may be enhanced if you do not know japanese food. Anyhow, if you need help just let me know. ---------------------------------------------- On swine flu I have received information from RIMS asking us to report everyday your health status to the RIMS office. In particular, I need to check everyday the appeareance of cough, running nose, fever, sore throat or articulation pain. If any of these symptoms appear during your stay at Kyoto, please stay in your hotel, do not come to the university and inform me as soon as possible to my mobile phone number 090-6559-7980. ---------------------End of mail--------------------- -- Arturo Kohatsu Higa Osaka University Graduate School of Engineering Sciences Machikaneyama cho 1-3, Osaka 560-8531, Japan Ph: 81--6--6850--6462, Fax:81-6-6850-6496 Office: Building J, 614 http://elis.sigmath.es.osaka-u.ac.jp/~kohatsu/