2nd International Conference on Numerical Methods for Finance 4th to 6th June 2008 organised by INCA Institute for Numerical Computation and Analysis held in National College of Ireland, Dublin in the heart of the International Financial Services Centre ABOUT THE CONFERENCE AIMS The aim of the conference is to attract leading researchers, both practitioners and academics, to discuss new and relevant numerical methods for the solution of practical computational problems in finance. Discussion of new products and new models requiring new numerical methods for their solution is also welcome. The conference will be focused on topics of current interest, and the programme will be organised around the talks given by distinguished invited speakers. Individual contributions may be submitted to either an oral or a poster session. Participants are encouraged to propose minisymposia consisting of a number of papers on a given topic. Offers to organise panel discussions are also welcome. It is intended that the conference achieves an even balance between practitioners and academics. Formal refereed proceedings will be published after the conference. SCOPE The main focus of the conference will be on the computational challenges facing the modern developments in quantitative finance. One such challenge is the high dimensionality of many problems arising in mathematical finance. For example, numerical models of portfolios containing many financial instruments lead to enormously (and sometimes prohibitively) expensive computational tasks. Further challenges include the control of the propagation of numerical errors arising from discontinuities in the boundary or initial conditions of the differential equations describing the mathematical model and also the calibration of multi-factor models, which requires in-depth analysis to obtain methodologies suitable for production. Furthermore, the choice between stochastic and deterministic numerical methods is often an important decision, for which reliable guidelines and criteria need to be further developed. New numerical techniques are required in many areas of finance. These include, for example, credit risk, market risk, operational risk, risk management, exotic/hybrid options, portfolio selection, insurance/pensions and interest rate modelling. WHO SHOULD ATTEND? Academics and practitioners wishing to discuss their latest research results on numerical methods for solving practical problems in finance. Practitioners interested in learning about the latest numerical techniques for solving their problems.                            AUSPICES The conference is held under the auspices of the Institute for Numerical Computation and Analysis – INCA, a non-profit company limited by guarantee. See the website www.incaireland.org for more details. SPONSORS We would like to thank our sponsors for their generous support. PRINCIPAL SPONSOR   SPONSOR COFFEE BREAK SPONSOR We are delighted to confirm that the Formal Proceedings of the Conference will be published as a special issue of the Journal of Computational Finance. This is widely considered as the leading journal in the field. All accepted contributors will be invited to submit a full paper to the journal. It should be noted that the normal stringent refereeing process of this journal will be applied. International Steering Committee Elie Ayache (ITO33, Paris) Phelim Boyle (University of Waterloo, Canada) Paul Glasserman (Columbia University, New York) Sam Howison (University of Oxford) Harald Niederreiter (National University of Singapore) Eckhard Platen (University of Technology, Sydney) Hans Schumacher (Tilburg University, Netherlands) Ruediger Seydel (University of Cologne, Germany) Ton Vorst (ABN-AMRO, Amsterdam) Paul Wilmott (Wilmott Associates, London) Lixin Wu (University of Science & Technology, Hong Kong) Scientific Programme Committee Rama Cont (Ecole Polytechnique, Palaiseau) Damiano Brigo (Fitch Solutions and Imperial College, London) David Edelman (Smurfit Business School, Dublin) Desmond Higham (University of Strathclyde, Glasgow) John Miller (INCA, Dublin, Ireland) Olivier Pironneau (University of Paris, Jussieu) Wil Schilders (Philips, Eindhoven) Local Industry Committee Gavin Boyle (Pioneer) Donal Gallagher (DePfa)  Joe Kavanagh (KBC Asset Management) Frank Monks (Nexgen Capital) John O'Brien (QED Equity) Liam O'Donnell (Abbey Capital) Paul Quigley (Allied Irish Bank) Local Organising Committee John Appleby (Dublin City University) Anthony Brabazon (University College Dublin) John Frain (Trinity College Dublin) Peter Gorman (Estartit Dublin) Bernard Hanzon (University College Cork) Frank Oertel (University College Cork) Patrick Waldron (Independent Consultant) Shane Whelan (University College Dublin) CONFERENCE PROGRAMME NUMERICAL METHODS FOR FINANCE CONFERENCE PROGRAMME     Wednesday 4 June Thursday 5 June Friday 6 June 08.50 -09.00  Opening of conference      Session Risk Management CHAIR: David Edelman Asset Management CHAIR: John Schoenmakers Replication & Other CHAIR: Min Dai 09.00 -10.00  Keynote Lecture Peter Tankov, Paris Measuring and pricing gap risk: from CPPI funds to gap options Keynote Lecture Min Dai, Singapore Portfolio selection with proportional transaction costs: theory and computation Keynote Lecture Ranjan Bhaduri, Chicago Taming the Tail 10.00 - 10.20 Bjorn Eriksson, Martijn Pistorius A method of moments approach to pricing double barrier options driven by Lévy processes Dermot Ryan, Francesco Sandrini, David Edelman Estimating the true embedded risk management cost of Total Return strategies Christoph Reisinger Calibration of Instantaneous Forward Rate Volatility in a Bayesian Framework 10.20 - 10.40   Alois Geyer, Michael Hanke, Alex Weissensteiner A Stochastic Programming Approach for Multi-Period Portfolio Optimization C Kaebe, J H Maruhn, E W Sachs Adjoints in the Calibration of Financial Market Models 10.40 - 11.00 Coffee/Tea Break Coffee/Tea Break Coffee/Tea Break 11.00 - 11.20 Natalie Packham, Wolfgang M Schmidt Latin hypercube sampling with dependence Emmanuel Hanert, Aanand Venkatramanan Meshfree Approximation for Pricing Multi-Asset Options Marc Jeanin, Martijn Pistorius On the pricing and hedging of barrier options driven by additive processes 11.20 - 11.40 Bernard Hanzon, Wolfgang Scherrer Filtering and estimation in stochastic volatility models with rationally distributed disturbances Thomas Gerstner, Markus Holtz, Christina Kuerten Sparse binomial trees for the pricing of multi-asset options Vladimir Dobius, David Edelman Simultaneous Recovery of Asset's Distributions for Several Maturities 11.40 - 12.00 S Corsaro, P L De Angelis, Z Marino, F Perla, P Zanetti Parallel evaluation of internal models: the case of profit-sharing life insurance policies David Edelman, Jing Dang Using Kalman-Filtered Radial Basis Networks for Financial Forecasting F Fang, C W Oosterlee Pricing Options by Fourier-Cosine Series Expansions 12.00 - 12.20 Kai Tappe Launching a canon into multivariate Levy processes Charles H Lee, Lee Tran, Kristy Tran Adaptive Algorithms in Maximizing the Overall Stock Return Vincent Lee Numerical simulation of sustainable wealth creation in stock markets 12.20 - 12.40 Conall O'Sullivan, Stephen O'Sullivan Acceleration of explicit finite difference methods for option pricing with stochastic volatility Sebastian Jaimungal, Vladimir Surkov FFT-Based Option Pricing under Mean-Reverting Jump Diffusion   Bernard Murphy, John Frain, Mark Cummins Evaluating the Trading Style of Hedge Fund Arbitrageurs. 12.45 - 14.00 Lunch Lunch 12.40-12.45 Closing of conference  Session Derivatives CHAIR: Peter Tankov American Options & Credit Models CHAIR: Wil Schilders   14.00 - 15.00 Keynote Lecture John Schoenmakers, Berlin Monte Carlo methods for pricing of complex structured callable derivatives Keynote Lecture Song-Ping Zhu, Sydney On various quantitative approaches for pricing American options   15.00 - 15.20 J M B Kroot A recursive method for valuing prepayments with time lag American Options   Jin Liang Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries 15.20 - 15.40 Jari Toivanen Numerical Valuation of American Options as Free Boundary Problems Kevin Parrott, Eleftheria Chatzipanagou Finite Differences with Coordinate Transformations for American Options under Jump Diffusion Processes   15.40 - 16.00 Coffee/Tea Break Coffee/Tea Break   16.00 - 16.40 Chenglong Xu A conditional sampled Monte Carlo method for pricing a class of financal derivative Credit Models   Lukasz Szpruch, X Mao,D Higham,J Pan Strongly Nonlinear Ait-Sahalia-Type Interest Rate Model and its Numerical Approximation 16.40 - 17.00 Q X Wang, J Alcock Option price valuation by the meshless method with MLS approximant David Bolder, Tiago Rubin Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis   17.00 - 17.20 L J Crane, J J H Miller Controlling the numerical errors caused by discontinuities in the initial conditions for the Black Scholes equation Lishang Jiang, Harry Zheng, Jiangwei Lin Analytic Pricing of Basket CDSs in the Contagion Model    19.00   Conference Dinner – Optional Extra   All speakers are kindly requested to bring their presentation to the conference on USB sticks, regardless of whether they will be using their own laptop or the in-house computer during their presentation. Note that the presenting author is shown in bold where known Further details of authors' names and affiliations may be found in the Book of Abstracts NMF 2008 is generously sponsored by Pioneer Bank, DEPFA Bank and KBC Asset Management Ltd. Keynote Speakers Ranjan Bhaduri (Chicago) Min Dai (Singapore) John Schoenmakers (Berlin) Peter Tankov (Paris) Song-Ping Zhu (Sydney) The deadline for Submission of Abstracts, has been extended to 28 April 2008. Notification of acceptance, for abstracts received after 7 April, will be given on 7 May. You are invited to submit an abstract (one A4 page maximum, word document .doc) of your contribution to info@conferenceorganisers.ie. NEW DEADLINES Submission of Abstract - 28 April 2008 Notification of Acceptance for Presentation - 7 May 2008 Deadline for Early Registration - 28 April 2008 Submission of Complete Manuscript for Possible Publication - 7 August 2008 The refereed Proceedings will be published after the conference as a Special Issue of the 'Journal of Computational Finance' The Scientific Programme Committee states that contributions to oral and poster sessions are considered to be of equal merit.  A special oral session will be held at which contributors to Poster Sessions will have 2 minutes to draw attention to their poster contribution REGISTRATION FEES Early Registration Fee - payment received by 28 April 2008:  €375.00 Registration Fee - payment received after 28 April 2008:  €425.00 Thursday only Registration Fee: €175.00 CONFERENCE VENUE - NATIONAL COLLEGE OF IRELAND The National College of Ireland is centrally located within the heart of the Financial Services District. This new State of the Art College allows the college to provide for all conference requirements. Both campus and conference facilities are within easy walking distance of the City Centre and Docklands area - www.ncirl.ie. DUBLIN Dublin, the capital of the Republic of Ireland, is built on the River Liffey and situated beside the sea, with easy access to the countryside and mountains. A city of fine Georgian buildings, Dublin has been influenced by its’ Danish, Norman and English antecedents. It has excellent stores and shops, museums, antique shops and a range of pubs and restaurants. Among the goods for which Ireland is particularly well known are tweed, knitwear, linen, glass, lace and silverware. These can be purchased from most department stores or specialist handcraft shops. Dublin has four major theatres, including the world famous Abbey theatre, and there are also many concert facilities, art galleries and cinemas. Ireland, with its beautiful scenery, offers a range of attractions to the tourist including ancient archaeological sites and monuments, a wide variety of sporting activities such as fishing, riding and golf, as well as traditional dancing and music. GETTING TO DUBLIN Dublin Airport is served by most international airlines and the low fare airlines continue to expand their services in Ireland. London is an hour’s flight away. Ireland’s six strategically placed airports are served by most international airlines. International carriers servicing Ireland include: Aer Lingus, Air France, Alitalia, British Airways, British Midland, Delta Airlines, Finnair, Iberia, Lufthansa, Ryanair, and SAS. Aer Lingus is our national air carrier and information is available at www.aerlingus.com DUBLIN AIRPORT TO CITY CENTRE Dublin airport is conveniently located about 10 kilometers north of Dublin City Centre   You can get a taxi from the airport to most areas in Dublin. An average day fare to the City Centre is €20.00. Ask the taxi driver to estimate the fare before getting into the car if in doubt. There are extra charges for additional passengers, luggage, animals (other than guide dog), time of day, Sundays, and public holidays. All information regarding charges is available from the taxi driver. Details also available at the taxi rank at the airport.  A private coaching company, Aircoach (www.aircoach.ie) operates a service from the Airport every 15 minutes and stops at major Dublin hotels (€7 one-way). Dublin Bus (www.dublinbus.ie) operates a "747 Express" bus every 10 minutes to the city centre (€5 one-way).  Additional information on Dublin Airport and on public transport is available at www.dublin-airport.com