Program
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| Tuesday January 18, 2005 | |
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| 10.30 | Registration |
| 11.10 | Opening |
| 11.15 - 12.00 | Alain Jean Marie: On overloaded queues |
| 12.15 - 13.00 | Rakesh Vohra: Linear inequalities and mechanism design 1 |
| 13.00 | Lunch |
| 14.30 - 16.00 | Parallel sessions PhD students |
| 16.15 - 17.00 | Mark Squillante:Parallel-server systems with dynamic affinity scheduling and load balancing |
| 17.15 - 18.00 | David Yao: Stochastic knapsacks and dynamic pricing |
| 18.30 | Dinner |
| 20.30 | Meeting members LNMB |
| Wednesday January 19, 2005 | |
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| 09.00 - 09.45 | Yinyu Ye: Theory and computation of semidefinite programming for sensor network localization and other distance geometry problems |
| 10.00 - 10.45 | Rakesh Vohra: Linear inequalities and mechanism design 2 |
| 11.15 - 12.00 | Alain Jean Marie: Markov-modulated arrival processes in queueing theory |
| 12.15 - 13.00 | Mark Squillante: Decentralized optimization, stochastic-process limits, and system dynamics |
| 13.00 | Lunch |
| 14.30 - 16.00 | Parallel sessions PhD students |
| 16.15 - 17.00 | David Yao: Stochastic networks with concurrent resource occupancy |
| 17.15 - 18.00 | Yinyu Ye: A strongly polynomial-time algorithm for solving the Markov decision problem with fixed discount factor |
| 18.30 | Dinner |
| 20.30 | Meeting PhD students LNMB |
| Thursday January 20, 2005 Seminar "Mathematical Methods for Financial Optimization" |
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| 09.30 - 10.00 | Registration and coffee |
| 10.00 - 10.10 | Welcome by chairman Guus Boender |
| 10.10 - 10.50 | David Yao: A stochastic control approach to financial tracking problems |
| 11.00 - 11.40 | Antoon Pelsser: Pricing insurance contracts: an incomplete market approach |
| 11.50 - 12.30 | Pieter Klaassen: Using importance sampling to assess credit risk economic capital and economic capital contributions |
| 12.30 - 13.30 | Lunch |
| 13.30 - 14.10 | André van Vliet: Practical examples of financial modelling |
| 14.20 - 15.00 | Bart Oldenkamp: The practice of financial optimization |
| 15.10 - 15.50 | Huub van Capelleveen: Utility and usefulness of stochastic risk models for strategic pension policies |
| 16.00 - 16.40 | Raoul Pietersz: Optimization methods for risk management of interest rate derivatives |
| 16.40 - 17.30 | Drinks |
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