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)
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.
Sebastian Jaimungal (University of Toronto, Canada): ALGORITHMIC AND HIGH-FREQUENCY TRADING. Click here for the abstract.
Lakshithe Wagalath (IESEG, Paris): FIRE SALES AND SYSTEMIC RISK. Click here for the abstract.
please follow this link.
Registration Fees (due upon arrival).
others that are not in academy):
Venue: Instituto Nacional de Matemática Pura e Aplicada (IMPA)
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 email@example.com
using Poster Session
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.
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 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
Click here to download the template for the abstract.
Deadline for submission of the contributions and abstracts: October 31st, 2015.
Deadline for application for student support: October 31st, 2015.