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PROGRAM

Program


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Tuesday January 18, 2005
  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
  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" 
  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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