Events
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.
We will also have special sessions on risk management and portfolio optimization.
We will precede the conference with two days of minicourses. The minicourses will be aimed at practioners and students.
Minicourse Program Please follow this link
Conference Program Please follow this link
Contributed Presentation Program: Please follow this link.
Abstracts. Please follow this link.
Organizing Committee:
International Participants:
Carole Bernard (Waterloo, Canada)
John Chadam (University of Pittsburgh, USA)
Raphael Douady (Riskdata, USA)
Bruno Dupire (Bloomberg, USA)
Jean-Pierre Fouque (UCSB, USA)
Marco Fritelli (Milano, Italy) TBC
Matheus Grasselli (McMaster University, Canada)
Julien Guyon (Soc. Gen., Paris, France)
Lane Hughston (Imperial College London, UK)
Roger Lee (U. Chicago, USA)
Terence Ma (South Street Securities, USA)
Andreea Minca (Cornell, USA)
Luiza Miranyan (Bloomberg, USA)
Chris Rogers (Cambridge, UK)
Martin Schweizer (ETH Zurich)
Mete Soner (Zurich, Switzerland)
Nicholas Westray (Deutsche Bank AG)
Minicourses / Special Sessions:
Matheus Grasselli (McMaster University, Canada) Title: Understanding financial crisis - a statistical perspective.
Carole Bernard (Waterloo, Canada): Optimal Portfolio Selection.
Nicholas Westray (Deutsche Bank AG) : Applications of Stochastic Control in Algorithmic Trading.
To register
please follow this link.
Registration Fees (due upon arrival).
Industry (and
others that are not in academy):
R$ 1000
Academic:
R$ 200
Students:
R$ 40
Venue: Hotel do Bosque
IMPORTANT: RESERVATIONS TO GET THE GROUP RATE SHOULD BE MADE THROUGH
OUR TRAVEL AGENT (gerencia@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 15/11/2011. WE URGE YOU TO MAKE YOUR RESERVATION BEFORE THIS
DATE.
Arrival, Departure and Transportation:
The arrival date for the conference is Sunday, November 27th, 2011 and
the departure date is
Thursday December 1st.
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 27th, at 2PM (TBC) and
will
return to IMPA in the morning of December 1st. 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, 2011.
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 31st, 2011.
Proceedings and abstracts - Call for papers
Deadline for submission of the contributions and abstracts: October 31st, 2011.
Student Participation
Deadline for application for student support: October 31st, 2011.