R I O 2007

Mathematics and Finance: Research in Options

IMPA, Rio de Janeiro

21/10 (arrival date) - 26/10/2007 (departure date)

Buzios View

Click here for Transportation Info The image “” cannot be displayed, because it contains errors.

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 second conference hosted by IMPA on the subject. It  is a follow up of the highly successful previous one Mathematics and Finance: From Theory to Practice. It 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.

Tentative Program The image “” cannot be displayed, because it contains errors.

Abstracts The image “” cannot be displayed, because it contains errors.

Organizing Committee

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


M. Avellaneda (Courant Institute, USA)
B. Dupire (Bloomberg, USA)
J-P. Fouque (UCSB, USA)
M. Grasselli (McMaster University, Canada)
B. Hofmann (Chemnitz, Germany)
T. Hurd (McMaster University, Canada)
S. Jaimungal (U. Toronto, Canada)
P-H. Labordere  (SGCIB, France)
R. Lee (Chicago, USA)
T. Pennanen (Helsinki)
C. Sagastizábal (CEPEL, Brazil)
G. Varga (FCE, Brazil)

Registration Fees (click here to register)

R$ 1000 (or US$ 500)
R$ 200 (or US$ 100)
R$ 40 (or U$ 20)

Venue: Hotel Perola de Buzios

The conference will be held at the idyllic town of Buzios in the Rio de Janeiro coast. Its relaxing and beautiful environment are natural invitations for scientific research and exchange of ideas. Hotel reservations for the duration of the  event could be made through

Poster Session (click here to register)

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 using Poster Session as subject.
Deadline for submission of posters: September 30th, 2007.

Contributed Communications (click here to register)

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  using Contributed Communications as subject.
Deadline for submission of the contributions and posters: September 30th, 2007.

Proceedings and abstracts - Call for papers (click here to register)

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 using Proceedings and Abstracts as subject.
Deadline for submission of the contributions and abstracts: September 30th, 2007.

Student Participation (click here to register)

Student participation from related areas to financial engineering and applied mathematics is highly encouraged.
Deadline for application for student support: September 30th, 2007.