R i O 2009

Research in Options 2009

Buzios, Rio de Janeiro

Nov. 23rd  - Nov. 25th, 2009

Arrival date and welcome cocktail:  Nov. 22nd, 2009

Departure date: Nov. 26th, 2009

Conference dinner: Nov. 25th, 2009

Buzios View

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 fourth conference hosted by IMPA on the subject. It  is a follow up of three 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.

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

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

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Organizing Committee:

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


Marco Avellaneda (Courant Institute, USA)
Rama Cont (Columbia University, USA)
Bruno Dupire (Bloomberg, USA)
Jean-Pierre Fouque (UCSB, USA)
Jim Gatheral (Merrill Lynch, USA)
Matheus Grasselli (McMaster University, Canada)
Julien Guyon (Société Générale, France)
Lane Hughston  (Imperial College London, UK)
Sebastian Jaimungal (U. Toronto, Canada)
Chris Rogers   (Cambridge, UK)
Sasha Stoikov (Cornell, USA)

Minicourses / Special Sessions:

Statistical Arbitrage and Systematic Trading Strategies (Marco Avellaneda)
Real Options and Game Theory (Matheus Grasselli)
Numerical Methods for Nonlinear Problems in Quantitative Finance (Julien Guyon)
Market Microstructure (Sasha Stoikov)

Please Register following this link.

Registration Fees (due upon arrival).

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

Venue:  Hotel Atlantico 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

Arrival, Departure and Transportation:

The arrival date is Sunday, November 22nd, 2009 and the departure date is Thursday November 26th.  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 22nd, at 3PM and will return to IMPA in the morning of the 26th. It will leave at 10AM. 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 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 using Poster Session as subject. The standard adopted for posters is size A0 vertical.
Deadline for submission of posters: October 23rd, 2009.

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  using Contributed Communications as subject.
Deadline for submission of the contributions and posters: October 23rd, 2009.

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 using Proceedings and Abstracts as subject.
Deadline for submission of the contributions and abstracts:  October 23rd, 2009.

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: September 30th, 2009.