Program

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