International Conference on Monte Carlo & Quasi-Monte Carlo Methods, November 25-28, 2002, Singapore.Organizers, Program, Invited Speakers.Previous MCQMC Conferences and Relevant Links.http://www.mcqmc.org/

Conference on Monte Carlo and Numerical Methods in Finance, Friday, March 15th from 9:30 a.m. to 5:00 p.m. at CIRANO, Montreal, Canada

Cambridge University Finance Seminar, Friday 26, April 2002Held jointly by the Faculties of Mathematics and of Economics and Politics and the Judge Institute of Management in the University of Cambridge. Lecture Theatre 1 at the Judge Institute of Management in the University of Cambridge.5.15 pm Dr Phelim Boyle, University of Waterloo, Ontario Asset allocation using quasi Monte Carlo methodsSuppose an investor wishes to select assets so as to maximize expected utility of end-of­-period wealth and/or consumption over time. The optimal asset allocation decision is of long standing interest to finance scholars and. it has direct practical relevance. In a complete market the modern procedure for computing the optimal portfolio weights is known the martingale approach and it was laid out by Cox and Huang (and other authors). Recently alternative implementations of the martingale approach based on Monte Carlo methods have been proposed. This paper describes one of these methods which involves the numerical computation of stochastic integrals. It is often possible to improve the efficiency of these computations by using deterministic numbers rather. than random numbers. These deterministic numbers are known as quasi random numbers and they are selected so that they are well dispersed throughout the region of interest. The paper implements a method for computing the optimal portfolio weight's that exploits a particular feature of quasi random numbers.6.15 pm DrinksPlease refer any queries to 01223 339641 or by fax on 01223 339652http://www-cfr.jims.cam.ac.uk/seminar/

International Conference on Monte Carlo & Quasi-Monte Carlo Methods, November 25-28, 2002, Singapore.http://www.mcqmc.org/ >>This conference was held in Hong Kong last year. I had attended some sessions about Monte carlo for American option. The conference is good.