Financial Mathematics Day

Tuesday, 6 July

The Faculty* and the Institute of Actuaries, in conjunction with ICIAM'99, have organised a one day event for all those interested in financial mathematics.


09.30 - 10.30 Informal Discussion: Long Term Capital Management - $4000m to $600m in a matter of days - what went wrong?
Chaired by Marco Avellaneda, Director of the Division of Financial Mathematics at Courant Institute, New York University
Location: William Robertson Building, Lecture Theatre 8
11.00 - 13.00 Mini-symposium MSP-232: Risk Management  
14.00 - 14.45 Plenary Lecture: New Perspectives in Modeling Financial Risk      
Marco Avellaneda, Courant Institute, New York University
14.55 - 15.40 Plenary Lecture: Quasi-Monte Carlo Methods for Finance Applications      
Shu Tezuka, IBM Research Laboratories, Tokyo
16.00 - 18.00 Mini-symposium MSP-235: Models for Asset and Derivative Prices

*Historical note: The Faculty of Actuaries is based in Maclaurin House, Edinburgh. In 1743 the celebrated mathematician, Professor Colin Maclaurin, FRS (Professor of Mathematics at Edinburgh University 1725-46, protégé of Sir Isaac Newton and winner in 1724 and again in 1740, along with Daniel Bernoulli and Leonard Euler, of the prestigous scientific prize offered by the French Académie des Sciences), together with two graduates in mathematics of Edinburgh University, Rev. Robert Wallace and Rev. Alexander Webster, gave the first complete `working-out' of a pension fund (i.e. a full actuarial analysis of all contingent future cash flows using probabilities and compound interest and deriving the future size of the fund). They did this for the then proposed Fund for a Provision for the Widows and Children of the Ministers of the Church of Scotland and of the Heads, Principals and Masters of the Universities of Saint Andrews, Glasgow and Edinburgh which, in 1993, celebrated its 250th anniversary. Given the date on which this was achieved, it ranks as one of the most remarkable achievements in the history of actuarial science. The great Carl Friedrich Gauss performed similar calculations for The Pension Fund for Widows and Orphans of the Professors of the University of G=F5ttingen but that was in 1845 some 100 years later and Gauss had the benefit of the famous book by Richard Price, FRS, `Observations on Reversionary Payments', first published in 1771, which contained a description of actuarial methods e.g. as used in the case of the Scottish Ministers' Widows Fund.

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