Events

R I O 2008

Research In Options 2008

Angra dos Reis, Rio de Janeiro, Brazil

Nov. 24th - Nov. 26th, 2008

Arrival date and welcome cocktail: Nov. 23rd, 2008

Departure date: Nov. 27th, 2008

Description and history of the event

The use of sophisticated mathematical tools in financial engineering ranging from partial differential equations to stochastic analysis and numerical methods has been growing steadily during the past few decades. On the one hand, the mathematical tools and results have impacted the way financial phenomena are modeled and understood, and how risk is assessed and managed. On the other hand, the financial industry has been presenting a number of mathematical and computational challenges to researchers. The conference aims at showing the applications of theoretical advances to practitioners, with a special focus to Brazil.

This is the third conference hosted by IMPA on the subject. It is a follow up of two highly successful previous ones. Namely, Math. and Finance: From Theory to Practice and Math. and Finance: Research in Options. Each one had in its attendance about 100 participants evenly spread from academia and industry. This year we will focus on different aspects of option pricing ranging from fixed income and volatility trading to real options. We will also have special sessions on risk management and portfolio optimization.

Organizing Committee

Marco Avellaneda
Courant Institute, USA
Bruno Dupire
Bloomberg, USA
Jorge Zubelli
IMPA, Brazil

International Invited Speakers: (CLICK HERE FOR THE ABSTRACTS)

Marco Avellaneda (Courant Institute, USA)
Rama Cont (Columbia University, USA)
Raphael Douady (Riskdata, USA)
Bruno Dupire (Bloomberg, USA)
Marco Frittelli (Milano, Italy)
Jean-Pierre Fouque (UCSB, USA)
Matheus Grasselli (McMaster University, Canada)
Lane Hughston (Imperial College London, UK)
Sebastian Jaimungal (U. Toronto, Canada)
Chris Rogers (Cambridge, UK)

Tentative Program is Available (subject to changes!!!) CLICK HERE

Registration Fees

Industry Special Rate Accomodation Included (3 nights single): R$ 1500 NEW!!!

Industry: (does not include accomodation)
R$ 1000 (or US$ 500)
Academic: (does not include accomodation)
R$ 200 (or US$ 100)
Students: (does not include accomodation)
R$ 40 (or U$ 20)

Attention Change in the Venue NEW!!!

The conference will be held at HOTEL DO FRADE on the idyllic Green Coast in the South of Rio de Janeiro State (not at Hotel Portogalo). Its relaxing and beautiful environment are natural invitations for scientific research and exchange of ideas. Hotel reservations for the duration of the event should be made through micheleleite@cmoeventos.com.br

Poster Session

We will hold a poster session during part of the evenings so as to encourage the contribution of research and projects currently developed by students. Posters should be sent to math.fin.impa@gmail.com using Poster Session as subject.
Final deadline for submission of posters: November 10th, 2008. NEW!!!

Contributed Communications

We will have a number of thematic sessions on topics of interest. To cite a few: Option Pricing, Portfolio Optimization, Risk Management, Real Options. These sessions will be composed of contributed communications of 30 minutes. Contributions should be sent to math.fin.impa@gmail.com using Contributed Communications as subject.
Final deadline for submission of the contributions: November 10th, 2008. NEW!!!

Student Participation

Student participation from related areas to financial engineering and applied mathematics is highly encouraged.
Final deadline for application for student support: November 10th, 2008. NEW!!!