Events

R i O 2014

Research in Options 2014

Buzios, Rio de Janeiro

Nov. 29th - Dec. 4th, 2014

Minicourses: Nov. 29th and Dec. 30th (Saturday and Sunday)

Conference: Dec 1st, 2014 - Dec. 3rd, 2014

Arrival date for the conference: Nov. 30th, 2014

Departure date: Dec. 4th, 2014 (early in the morning).

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.

This is the ninth conference hosted by IMPA's group on Math Finance on the subject. It is a follow up of the highly successful previous editions. Each one had in its attendance about 100 participants evenly spread from academia and industry. This year we will focus on different aspects of mathematical finance including (but not limited to) option pricing, fixed income, volatility trading, real options, commodities, algorithmic trading, portfolio and risk management.

We will precede the conference with two days of minicourses. The minicourses will be aimed at both practioners and students.

Organizing Committee:

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

International Participants:

Marco Avellaneda (Courant Institute, USA)
Carole Bernard (Waterloo University, Canada)
John Chadam (University of Pittsburgh, USA)
Raphael Douady (Riskdata, USA)
Bruno Dupire (Bloomberg, USA)
Ernst Eberlein (University of Freiburg, Germany)
Matheus Grasselli (McMaster University, Canada)
Emmanuel Gobet (École Polytechnique, France)
Julien Guyon (Bloomberg, USA)
Lane Hughston (Brunel University London, UK)
Sebastian Jaimungal (University of Toronto, Canada)
Roger Lee (U. Chicago, USA)
Terence Ma (South Street Securities, USA)
Teemu Pennanen (King's College, UK)
Chris Rogers (Cambridge, UK)
Uwe Schmock (T.U. Vienna, Austria)
Martin Schweizer (ETH Zurich)
Carlos Vázquez (A Coruña, Spain)
Lakshithe Wagalath (IESEG, Paris)

Minicourses (Saturday and Sunday):

Matheus Grasselli (McMaster University, Canada): Dynamical Systems and Financial Instability - new modelling insights and empirical validation.

Sebastian Jaimungal (University of Toronto, Canada): Algorithmic and High Frequency Trading: Data, Models and Methods.

Lakshithe Wagalath (IESEG, Paris): Systemic Risk and Fire Sales.

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 Atlantico Buzios

IMPORTANT: RESERVATIONS TO GET THE GROUP RATE SHOULD BE MADE THROUGH OUR TRAVEL AGENT ( micheleleite@mmxcongressos.com ) 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 15/10/2014. WE URGE YOU TO MAKE YOUR RESERVATION BEFORE THIS
DATE.

Arrival, Departure and Transportation:

The arrival date for those that will participate in the minicourses is Friday (Nov. 28), and on Sunday (Nov. 30) for all others.

A bus will depart from IMPA on Friday and Sunday, November 28 and 30th, respectively, at 3PM (TBC) and will return to IMPA in the morning of December 4th. 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 eventos@impa.br 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: September 30th, 2014.

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: September 30th, 2014.

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 math.fin.impa@gmail.com using Proceedings and Abstracts as subject.
Deadline for submission of the contributions and abstracts: September 30th, 2014.

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, 2014.