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.
This year, we will precede the conference with two days of minicourses. The minicourses will be aimed at practioners and students. They are
Tentative Contributed Presentation Program TBA
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)
please follow this link or go to IMPA's RiO 2010 webpage.
Registration Fees (due upon arrival).
others that are not in academy):
Venue: Hotel Portogalo
IMPORTANT: RESERVATIONS TO GET THE GROUP RATE SHOULD BE MADE THROUGH OUR TRAVEL AGENT (firstname.lastname@example.org) Please do make a copy to email@example.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
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.
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.
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, 2010.
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
Communications as subject.
Deadline for submission of the contributions and posters: October 23rd, 2010.
Proceedings and abstracts - Call for papers
Deadline for submission of the contributions and abstracts: October 23rd, 2010.
Deadline for application for student support: October 23rd, 2010.