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
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.
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:
Real Options and Game Theory (Matheus Grasselli)
Numerical Methods for Nonlinear Problems in Quantitative Finance (Julien Guyon)
Market Microstructure (Sasha Stoikov)
Registration Fees (due upon arrival).
Industry (and others that are not in academy):
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 email@example.com
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 firstname.lastname@example.org 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.
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 email@example.com using Poster Session as subject. The standard adopted for posters is size A0 vertical.
Deadline for submission of posters: October 23rd, 2009.
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 firstname.lastname@example.org using Contributed Communications as subject.
Deadline for submission of the contributions and posters: October 23rd, 2009.
Proceedings and abstracts - Call for papers
Deadline for submission of the contributions and abstracts: October 23rd, 2009.
Deadline for application for student support: September 30th, 2009.