The Numerical Methods for Finance Conference 2006 was held in the Royal College of Surgeons and the Programme was as follows: NUMERICAL METHODS FOR FINANCE CONFERENCE 2006 PROGRAMME   WEDNESDAY 7 JUNE THURSDAY 8 JUNE FRIDAY 9 JUNE  08.45:09.00   OPENING CEREMONY: Prof Brian Harvey   Dean of Research, RCSI       CHAIR: John Knight, Univ of Western Ontario CHAIR: Andrew Cairns, Heriot-Watt Univ PIONEER INVESTMENTS SESSION CHAIR: Peter Forsyth, Univ of Waterloo 09.00:10.00  Monte Carlo Methods Phelim Boyle, Univ of Waterloo Bringing Coherent Measures into Everyday Market Practice Carlo Acerbi, AbaxBank, Italy Affine Point Processes for Multi-Name Credit Kay Giesecke, Stanford Univ 10.00:11.00 Does Anyone Know How to Price the Variance Swaps? Philippe Henrotte, ITO33, France The Pitfalls of Simulating Optimal Portfolios John Knight, Univ of Western Ontario Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans Andrew Cairns, Heriot-Watt Univ 11.00:11.30 Coffee/Tea Break Coffee/Tea Break Coffee/Tea Break 11.30:12.30 Numerical Methods for Option Pricing Under Jump Diffusion Processes Peter Forsyth, Univ of Waterloo Risk Neutral Valuation of Counterparty Risk in Interest Rate and Equity Payoffs Damiano Brigo, Banca IMI, Italy EDDIE for Discovering Arbitrage Opportunities Edward Tsang, Univ of Essex 12.30:14.00 Lunch Lunch Lunch   CHAIR: David Edelman, Univ College Dublin CHAIR: Damiano Brigo, Banca IMI, Italy DEPFA BANK SESSION CHAIR: Phelim Boyle, Univ of Waterloo 14.00:14.20 Variance reduction through multilevel Monte Carlo path calculations: M.B. Giles, Oxford University Computing Laboratory Optimal hedging strategies in incomplete markets: Kai Tappe, University of Wuppertal Large-Scale Dynamical Systems for Forecasting: David Edelman, University College Dublin 14.20:14.40 Entropic Monte Carlo: Pricing and Hedging: Jamie Alcock, UQ Business School Negative Diversification Effects between Credit and Market Risk: Thomas Breuer, Martin Jandacka, PPE Research Centre, FH Vorarlberg Predictor-Corrector Schemes for Jump-Diffusion Processes: Nicola Bruti Liberati & Eckhard Platen, University of Technology, Sydney 14.40:15.00 Efficient simulation of Levy areas: Klaus Scheicher, Austrian Academy of Sciences Daily Volatility Forecasting using Intraday Information: Francesco Sandrini, Pioneer Investments; David Edelman, UCD Kalman Filter Estimation of Dynamic Term Structure Models using Differential Evolution: Conall O'Sullivan, University College Dublin   CHAIR: Abdul Khaliq, Middle Tennessee State Univ CHAIR: Carlo Acerbi, AbaxBank, Italy CHAIR: Kay Giesecke, Stanford Univ 15.00:15.20 Barrier options on underlyings with time dependent parameters: a perturbation expansion approach: Francesco Rapisarda, Banca IMI, Milan An Efficient Numerical Method for Pricing Interest Rate Swaptions : An Assessment of the Empirical Performance of Alternative Option Pricing Models: Mark Cummins, Bernard Murphy, University of Limerick Hurst Exponent Estimation in the Quantiles: Olaf Menkens 15.20:15.40 Valuation of performance-dependent options in a Black-Scholes framework: Thomas Gerstner, Markus Holtz, University of Bonn; Ralf Korn, University of Kaiserslautern Approximations of Transition Densities for Nonlinear Multivariate Diffusions with an Application to Dynamic Term Structure Models: Paul Schneider, Vienna University of Economics and Business Administration Strong Convergence and Asymptotic Stability of the Theta-method for Stochastic Differential Equations with Jumps: Graeme D. Chalmers, Des Higham, University of Strathclyde   15.40:16.00   Coffee/Tea Break  A Spectral Method for Bonds: Javier de Frutos,   Universidad de Valladolid  CONFERENCE CLOSE     CHAIR: Edward Tsang, University of Essex  Coffee/Tea Break and Poster Session   16.10:16.30 Pricing high-dimensional American options using local consistency conditions: Steffan Berridge, Man Investments, London; Hans Schumacher, Tilburg University Poster Session   16.30:16.50 Robust Numerical Schemes for Exotic Options: Abdul Khaliq, Middle Tennessee State University Poster Session   16.50:17.10 Robust Numerical Valuation of European and American Options under the CGMY Process: Iris R. Wang, Justin W. L. Wan, Peter A. Forsyth, University of Waterloo      19.00    Johnnie Fox's Hooley Night - Optional Event     POSTER PRESENTATION No.   Poster Title Author(s) 1.   On high performance software development for the numerical simulation of life insurance policies S. Corsaro, P.L. De Angelis, Z. Marino, F. Perla, University of Naples "Parthenope" 2.   Empirical Testing of Local Cross Entropy as a Method for Recovering Asset’s Risk-Neutral PDF from Option Prices Vladimir Dobias, University College Dublin 3.   Finite sample accuracy of the Fourier integrated volatility estimator under microstructure noise Maria Elvira Mancino, Universita  di Firenze; Simona Sanfelici, Universita  di Parma 4.   Estimating a Hedge Fund Return Model Based on a Small Number of Samples Dmitriy Levchenkov, Cornell University; Thomas F. Coleman, Yuying Li, University of Waterloo 5.   Developments in Grammatical Evolution Michael O'Neill & Anthony Brabazon, University College Dublin  The Poster Exhibition will take place in the Foyer of the Royal College of Surgeons.  Poster display areas will be 1 meter (width) x 1 meter (height).   Posters should be mounted on Wednesday 7 June between 08.30 and 11.00 and should be on display for the duration of the conference.  The Poster Session will take place on Thursday afternoon from 16.00 to 17.30, and presenters should be available for poster discussion during these times.   Posters must be removed by 16.00 on Friday 9 June.  Please ensure that all poster material is removed from your board.  The conference secretariat will remove posters not taken down by 16.00 on Friday and cannot take any further responsibility for the material.