The use of
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.
We will precede the conference with two days of minicourses. The minicourses will be aimed at both practioners and students.
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.
please follow this link.
Registration Fees (due upon arrival).
others that are not in academy):
Venue: Hotel Atlantico Buzios
IMPORTANT NOTE TO INDUSTRY PARTICIPANTS: PLEASE MAKE YOUR
ASAP. WE CANNOT GUARANTEE AVAILABILITY OF HOTEL SPACE FOR RESERVATIONS
AFTER 15/10/2014. WE URGE YOU TO MAKE YOUR RESERVATION BEFORE THIS
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 email@example.com 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 firstname.lastname@example.org
using Poster Session as
subject. The standard adopted for posters is size A0 vertical.
Deadline for submission of posters: September 30th, 2014.
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 email@example.com
Communications as subject.
Deadline for submission of the contributions and posters: September 30th, 2014.
Proceedings and abstracts - Call for papers
Deadline for submission of the contributions and abstracts: September 30th, 2014.
Deadline for application for student support: September 30th, 2014.