Announcement RiO 2012

R i O 2015

Research in Options 2015

IMPA, Rio de Janeiro

Nov. 27th  - Dec. 3th, 2015

Minicourses: Nov. 28th and 29th (Saturday and Sunday)

Conference: Nov 30th, 2015 - Dec. 2nd, 2015

Arrival date for the conference:  Nov. 27th, 2015

Departure date: Dec. 3rd,  2015

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.

This is the tenth 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.

Scientific Committee:

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

Local Committee:

Max Souza
UFF, Brazil

Jorge P. Zubelli
IMPA, Brazil

International Participants:

Marco Avellaneda
 (Courant Institute, USA)
Carole Bernard (Waterloo University, Canada)

Raphael Douady (Riskdata, USA)
Bruno Dupire (Bloomberg, USA)
Nicole El Karoui (École polytechnique, France)
Marco Frittelli ( Università di Milano, Italy)

Matheus Grasselli (McMaster University, Canada)
Lane Hughston  (Brunel University London, UK)
Sebastian Jaimungal (University of Toronto, Canada)
Matjaž Omladič (University of Ljubljana, Slovenia)
Teemu Pennanen (King's College, UK)
Uwe Schmock (TU Vienna, Austria)
Carlos Vázquez (A Coruña, Spain)
Lakshithe Wagalath (IESEG, Paris, France)

Minicourses (Saturday and Sunday):

Matheus Grasselli (McMaster University, Canada): DYNAMICAL SYSTEMS AND FINANCIAL INSTABILITY - NEW MODELLING INSIGHTS AND EMPIRICAL VALIDATION. Click here for the abstract. New!!!

Sebastian Jaimungal (University of Toronto, Canada):  ALGORITHMIC AND HIGH-FREQUENCY TRADING. Click here for the abstract. New!!!

Lakshithe Wagalath
(IESEG, Paris):  FIRE SALES AND SYSTEMIC RISK. Click here for the abstract. New!!!

To register please follow this link.

Registration Fees (due upon arrival).

Industry (and others that are not in academy): 
R$ 1400 
R$ 210 
R$ 50 

Venue: Instituto Nacional de Matemática Pura e Aplicada (IMPA)

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. Poster abstracts should be sent to using Poster Session as subject. The standard adopted for posters is size A0 vertical. The presenter should bring the printed poster following this standard. Click here to download the template for the abstract.
Deadline for submission of posters: October 31st, 2015.

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 session as subject. Click here to download the template for the abstract.
Deadline for submission of contributed presentations: October 31st,2015.

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.
Click here to download the template for the abstract.
Deadline for submission of the contributions and abstracts:  October 31st, 2015. 

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: October 31st, 2015.