Events


Announcement

R i O 2010

Research in Options 2010

Angra dos Reis, Rio de Janeiro

Nov. 27th  - Dec. 2nd, 2010

Minicourses: Nov. 27th and 28th (Saturday and Sunday)

Conference: Nov. 29th, 2010 - Dec. 1st, 2010

Arrival date for the conference:  Nov. 28th, 2010

Departure date: Dec. 2nd, 2010

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Description 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 fifth conference hosted by IMPA's group on Math Finance on the subject. It  is a follow up of four highly successful previous ones. 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.

This year, we will precede the conference with two days of minicourses. The minicourses will be aimed at practioners and students. They are

Tentative Minicourse Program

Tentative Conference Program

Tentative Contributed Presentation Program  TBA

Abstracts. TBA

Organizing Committee:

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

International Participants:


Marco Avellaneda (Courant Institute, USA)
Carole Bernard (Waterloo, Canada)
Raphael Douady (Riskdata, USA)
Bruno Dupire (Bloomberg, USA)
Geraldo Filgueiras (F F Capital Partners, USA)
Jean-Pierre Fouque (UCSB, USA)
Marco Fritelli (Milano, Italy)
Matheus Grasselli (McMaster University, Canada)
Julien Guyon (Soc. Gen., Paris, France)
Lane Hughston  (Imperial College London, UK)
Roger Lee (U. Chicago, USA)
Luiza Miranyan (Bloomberg, USA)
Chris Rogers   (Cambridge, UK)
Ronnie Sircar (Princenton, USA)


Minicourses / Special Sessions:


Risk Management in the Financial Industry
(Geraldo Filgueiras)
Stochastic Volatility with Fast Mean Reversion (Jean-Pierre Fouque)
Asset Price Bubbles: Economics, Mathematics and Statistics  (Matheus Grasselli)
Dimensionality Reduction and Factor Modelling (Luiza Miranyan)

To register please follow this link or go to IMPA's RiO 2010 webpage.

Registration Fees (due upon arrival).

Industry (and others that are not in academy): 
R$ 1000 
Academic:
R$ 200 
Students: 
R$ 40 

Venue: Hotel Portogalo
IMPORTANT: RESERVATIONS TO GET THE GROUP RATE SHOULD BE MADE THROUGH OUR TRAVEL AGENT (orlandopavan@cmoeventos.com.br) Please do make a copy to math.fin.impa@gmail.com of such communications.

IMPORTANT NOTE TO INDUSTRY PARTICIPANTS:  PLEASE MAKE YOUR RESERVATION
ASAP. WE CANNOT GUARANTEE AVAILABILITY OF HOTEL SPACE FOR RESERVATIONS
AFTER 15/11/2010. WE URGE YOU TO MAKE YOUR RESERVATION BEFORE THIS
DATE.

IMPORTANTE: Reservas devem ser feitas o mais cedo possivel. Após 15/11/2010 os quartos da reserva em grupo que efetuamos e que nao foram utilizados serão liberados.

Arrival, Departure and Transportation:

The arrival date for the MINICOURSES is Saturday 13:30 when the first minicourse starts. We are tentatively scheduling a bus to depart from IMPA to the Hotel Portogalo on Saturday November 27th at 8AM and from the INTERNATIONAL Airport (GIG) at 9AM. See tentative schedule here.


The arrival date for the conference is Sunday, November 28th, 2010 and the departure date is Thursday December 2nd.  We will have a welcome cocktail on the arrival date and farwell dinner on the eve of the departure day.

A bus will depart from IMPA on Sunday, November 28th, at 3PM (TBC) and will return to IMPA in the morning of December 2nd. It will leave at 9AM. The trip takes about 3 hours. Registered participants are welcome to join the bus on either way. To do that please make sure you register and send a message to math.fin.impa@gmail.com with subject "transportation". Participants requiring special arrangements due to time or physical constraints are kindly requested to contact us at the above email for further information.

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. The standard adopted for posters is size A0 vertical.
Deadline for submission of posters: October 23rd, 2010.

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.
Deadline for submission of the contributions and posters: October 23rd, 2010.

Proceedings and abstracts - Call for papers 

We will have a peer reviewed volume of contributions accompanying the conference on research topics related to those of the conference.Guideline for contributions: Standard AMS proceedings LaTeX style of up to 10 pages. Guideline for the abstracts: Standard AMS proceedings LaTeX style of up to 1 page. Submissions should be sent to math.fin.impa@gmail.com using Proceedings and Abstracts as subject.
Deadline for submission of the contributions and abstracts:  October 23rd, 2010.

Student Participation 

Student participation from related areas to financial engineering and applied mathematics is highly encouraged. In order to encourage student participation a special fee was arranged. In order to qualify for such fee you must be able to provide a proof of current registration on an institution of higher education ("instituição de ensino superior"  IES by Capes/MEC definition or by EU definition).
Deadline for application for student support: October 23rd, 2010.