Activities

Workshop on Mathematics
of Risk Management
(June 10-11, 2006)

Workshop Presentation Material Jamshaid Islam Talk No. 1 Jamshaid Islam Talk No. 2 Jamshaid Islam Talk No. 3 Kazim Khan Talk

Download from here :- Workshop Registration Form (PDF Format)

Click here for :- Workshop Program (PDF Format)

FIRST  ANNOUNCEMENT

One cannot think of running any organization today without effective risk management.  The importance of risk management in an organization’s strategy has led to the pervasive use of mathematical techniques and models.  Thousands of times every day national and international companies use mathematics to measure and control enterprise-wide risks.  Be it asset-liability management, active capital management or hedging strategies, there is now an array of different types of financial tools and instruments available to risk managers.  Today’s decisions in risk management involving millions, sometimes billions of dollars, depend crucially on mathematics developed over the past few years. The workshop will be particularly beneficial to business, mathematics, economics and computer science students and should assist in further developing their interest, whilst introducing new students to this exciting branch of mathematical science. In addition academics will find the meeting very interesting, and those keen on introducing mathematics of risk management in their own institutions as part of their syllabuses will have an opportunity to discuss this with the workshop presenters, as well as establishing long terms links with them. 

Topics to be covered:

1. Asset prices and derived securities

2. Intro to Black-Scholes models

3. Market completeness

4. Hedging and links to PDEs

5. Numeric PDEs, simulation and Monte Carlo

6. Introduction to exotics, fixed income securities

7. Portfolio optimization

8. Enterprise risk management, value at risk

9. Financial modeling - a life insurance company example

10. Trading

Workshop Presenters:

M. Kazim Khan graduated from Government College Lahore in 1975 and received his PhD in Mathematical Statistics in 1980 from Case Western Reserve University. After serving on various academic positions at several universities in US, Ireland and England, he is currently a professor of mathematical sciences at Kent State University, Kent Ohio. He has spent one year of his sabbatical, and later another year as a senior Fulbright fellow, at LUMS. His research interests include Probability Theory and its applications in Analysis, Mathematical Finance, Networking and Statistical Inference.

Jamshaid Islam is a qualified actuary and is working with EFU Life Assurance Ltd as General Manager and Head of Operations.  He qualified as a Fellow of the Society of Actuaries (USA) in 2000 and is also a Fellow of the Pakistan Society of Actuaries.  He has twelve years’ work experience in actuarial, life insurance operations and senior management areas.  He has a LUMS Executive MBA and is a recipient of the National Management Foundation Gold Medal.

Registration Fee:

Students Rs. 750, 
University faculty/Academia Rs. 2250,
Industrial Participants Rs. 12000.                 Dead line for registration is May 30, 2006.

For further information Contact:
Secretary,
Centre for Advanced Studies in Mathematics,
LUMS,  54792-Lahore
(e-mail: kashifi@lums.edu.pk)
Phone: 042-5722670-79, Ext. 2121