The workshop will take place at Stevens Institute of Technology between July 10 and July 12 2009.
Conference website
Sunday, June 14, 2009
Saturday, May 16, 2009
Spectral and Cubature Methods in Finance and Econometrics
An interdisciplinary international research workshop
University of Leicester, UK, June 18- 20, 2009
Supported by AMAMEF, EPSRC, LMS and University of Leicester
Scientific programme: thematic areas covered by workshop directions
1. Fourier-Laplace transform methods, the Wiener-Hopf factorization and FFT technique, with numerous applications. Advantages and computational problems of FFT.
2. Advances in Monte-Carlo methods
3. Eigenfunction expansion method
4. Econometrics of time series in the long run
University of Leicester, UK, June 18- 20, 2009
Supported by AMAMEF, EPSRC, LMS and University of Leicester
Scientific programme: thematic areas covered by workshop directions
1. Fourier-Laplace transform methods, the Wiener-Hopf factorization and FFT technique, with numerous applications. Advantages and computational problems of FFT.
2. Advances in Monte-Carlo methods
3. Eigenfunction expansion method
4. Econometrics of time series in the long run
Registration form for non-presenters can be found here
Fee: academics: 50 GBP, PhD students 0, others 100 GBP
Website with the general description of topics and goals can be found here:
Thursday, May 07, 2009
High-Frequency Finance and Quantitative Strategies
Wednesday - Friday, June 10-12, 2009
Courant Institute, Room 109
251 Mercer Street
New York, NY 10012
Website
Courant Institute, Room 109
251 Mercer Street
New York, NY 10012
Website
AMS Special session on Mathematical Finance
2009 Fall Eastern Section Meeting
University Park, PA
Saturday - Sunday, October 24-25, 2009
Special session on Mathematical Finance to be held at the AMS Fall Eastern Section Meeting on October 24-25 2009, located at the Pennsylvania State University. The aim of the session is to bring researchers in mathematics with practitioners in finance to identify and formulate outstanding problems in the field, as well as outline recent advances in their resolution. Potential topics include (but are not limited to) derivative pricing, calibration of models, and optimal stopping problems.
More information about the Penn State and the Mathematics Department can be found at:
http://www.math.psu.edu/
Organizers: Nick Costanzino, Anna Mazzucato, and Victor Nistor
Website
University Park, PA
Saturday - Sunday, October 24-25, 2009
Special session on Mathematical Finance to be held at the AMS Fall Eastern Section Meeting on October 24-25 2009, located at the Pennsylvania State University. The aim of the session is to bring researchers in mathematics with practitioners in finance to identify and formulate outstanding problems in the field, as well as outline recent advances in their resolution. Potential topics include (but are not limited to) derivative pricing, calibration of models, and optimal stopping problems.
More information about the Penn State and the Mathematics Department can be found at:
http://www.math.psu.edu/
Organizers: Nick Costanzino, Anna Mazzucato, and Victor Nistor
Website
15th International Conference Computing in Economics and Finance
The Society for Computational Economics
University of Technology
Sydney, Australia
Wednesday - Friday, July 15-17, 2009
Website
University of Technology
Sydney, Australia
Wednesday - Friday, July 15-17, 2009
Website
Parallel and Distributed Computing in Finance (Computational Finance)
The Second Workshop on Parallel and Distributed Computing in Finance (Computational Finance)
Friday, May 29, 2009
in conjunction with 23rd IEEE International Parallel and Distributed Processing Symposium - IPDPS 2009, May 25-29, 2009, Rome, Italy
Website
Friday, May 29, 2009
in conjunction with 23rd IEEE International Parallel and Distributed Processing Symposium - IPDPS 2009, May 25-29, 2009, Rome, Italy
Website
Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance
Tuesday - Thursday, February 10-12, 2009
Vienna, Austria
Recent years have seen the emergence of new stochastic volatility models for equity, foreign currency and interest rates. An example thereof is the SABR model. An approach to these models yielding approximate solutions has required the application of asymptotic and perturbative techniques and has led to new questions of both a theoretical and practical nature that has stimulated new research in these areas. This three day conference will bring together, in one forum and for the first time, the leading practitioners and academics working in this area.
Website
Vienna, Austria
Recent years have seen the emergence of new stochastic volatility models for equity, foreign currency and interest rates. An example thereof is the SABR model. An approach to these models yielding approximate solutions has required the application of asymptotic and perturbative techniques and has led to new questions of both a theoretical and practical nature that has stimulated new research in these areas. This three day conference will bring together, in one forum and for the first time, the leading practitioners and academics working in this area.
Website
Monday, November 17, 2008
Computational Finance with R
December 4th, 2008, 2-6pm
Rotunda, Low Library
Columbia University in the City of New York
Department of Statistics in collaboration with the Center of Applied Probability and the Center for Financial Engineering organizes a workshop about using statistical computing with R in finance. The conference would like to bring together both academics and practitioners, and it is open to public. Admission is free, however we require that the participants register in advance. The conference is co-sponsored by REvolution Computing.
Schedule:
Organizers:
Krishna Kumar, Barclays
Jan Vecer, Columbia University
Libor Pospisil, Columbia University
Linda Heinig, REvolution Computing
Rotunda, Low Library
Columbia University in the City of New York
Department of Statistics in collaboration with the Center of Applied Probability and the Center for Financial Engineering organizes a workshop about using statistical computing with R in finance. The conference would like to bring together both academics and practitioners, and it is open to public. Admission is free, however we require that the participants register in advance. The conference is co-sponsored by REvolution Computing.
Schedule:
1:45 - 2:00PM Refreshments
2:00 - 2:05PM Opening Remarks
2:05 - 2:40PM Whit Armstrong - Discount Curve Construction with fts, RLIM, and RFincad (KLS Diversified Asset Management)
2:40 - 3:15PM Anthony Brockwell - Quantitative Trading in Practice (Horton Point LLC)
3:15 - 3:50PM Bryan Lewis - High Performance R with Rpro (REvolution Computing)
3:50 - 4:05PM Coffee Break
4:05 - 4:40PM Scott Payesur - Comparing Multivariate GARCH models using Realized Covariance (UBS Asset Management)
4:40 - 5:15PM Peter Carl and Brian Peterson - Performance Analysis in R (PerformanceAnalytics)
5:15 - 5:50PM Jeff Ryan - Quantmod Package (Quantmod)
6:00 - 6:30PM Closing Reception
Directions to the Morningside Campus of Columbia University
Organizers:
Krishna Kumar, Barclays
Jan Vecer, Columbia University
Libor Pospisil, Columbia University
Linda Heinig, REvolution Computing
Wednesday, November 05, 2008
The 15th Annual Workshop on Derivative Securities & Risk Management
The Center for Applied Probability (CAP) and the Center for Financial Engineering at Columbia University present:
The 15th Annual Workshop on Derivative Securities & Risk Management
Friday, December 5th, 2008, Columbia University, New York City
Location: Uris Hall, Room 301
9AM--6PM
Robert Almgren, (Courant Institute of Mathematical Sciences, New York University)
“Quantitative Challenges In Algorithmic Trading”
Christoph Burgard, Global Head of Equities, Credit, Credit-Counterparty and Emerging Markets Quantitative Analytics, Barclays Capital
"New Developments In Volatility And Variance Products Pricing And The Link To Forward Volatility."
Jianqing Fan, (Professor of Finance, Director of Committee of Statistical Studies, Princeton University)
“Risk Assessment And Asset Allocation With Gross Exposure Constraints For Vast Portfolios”
Jean-David Fermanian, (Senior Quantitative Analyst, BNP Paribas)
"On Break Even Correlation: The Way To Price Structured Credit Derivatives By Replication."
Fabio Mercurio (Senior Researcher, Bloomberg)
“Inflation Modeling With SABR Dynamics”
Attilio Meucci, (Head of Portfolio Research, Bloomberg L.P.)
“Fully Flexible Views: Theory And Practice”
Peter Tankov (Associate Professor, Ecole Polytechnique)
“Pricing And Hedging Gap Risk”
Jiang Wang, Professor, MIT Sloan School of Management
“Asset Pricing And The Credit Market”
Johannes Wissel (Visiting Assistant Professor, Cornell)
“Arbitrage-free Market Models For Liquid Options”
A light lunch will be provided, and a wine and cheese reception will be held at the end of the day.
REGISTRATION FEES:
Academic:
$175 ($100 student)
Corporate & Institutional:
$350
PAYMENTS
If you are paying be credit card, please check back for information regarding our online system.
If paying by check, make checks payable to:
Center for Financial Engineering, Columbia University
Industrial Engineering & Operations Research Department
Columbia University
500 West 120th Street Room 313 Mudd
New York, NY 10027
Attn: Donella Crosgnach
For registration and more information please click on the following link:
www.cfe.columbia.edu/announcements/CAP_MF_Fall_08/
Sunday, September 28, 2008
Implied Volatility Models Conference
Implied Volatility Models
Every year, the Bendheim Center for Finance organizes a concentrated conference on a specific topic, alternating between themes in mathematical finance and in financial econometrics. In 2009, the conference theme will be a topic in financial econometrics.
In 2008, the conference will be a topic in financial mathematics, specifically: Implied Volatility Models.
Dates: October 10-11, 2008
Location: Hyatt Regency Hotel, Huntington Beach, California
Conference organizers: Yacine Ait-Sahalia, Rene Carmona
Registration: Open to the public, subject to a registration fee (waived for our corporate affiliates). Please contact Phyllis Fafalios for further information. Financial support from JP Morgan is gratefully acknowledged.
Robert Engle will be the conference special dinner speaker. The following invited speakers will be presenting papers at the conference:
David Bates (University of Iowa)
Henri Berestycki (EHESS Paris)
Rene Carmona (Princeton University)
Peter Carr (Bloomberg)
Bruno Dupire (Bloomberg)
Jean-Pierre Fouque (UC Santa Barbara)
Peter Friz (University of Cambridge)
Jim Gatheral (Merrill Lynch)
Jakub Jurek (Princeton University)
Roger Lee (University of Chicago)
Dilip Madan (University of Maryland)
Martin Schweizer (ETH Zurich)
Michael Terhanchi (University of Cambridge)
Jean Jacod (Universite de Paris-6)
Liuren Wu (Baruch College)
Peter Christoffersen (McGill University)
Kris Jacobs (McGill University)
Dante Amengual (Princeton University)
Sergey Nadtochiy (Princeton University)
Monday, September 15, 2008
Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010
This program will be held at the Fields Institute in Toronto, Canada, during Spring 2010.
Organizing Committee:
Y. Ait-Sahalia (Princeton)
M. Grasselli (McMaster)
V. Henderson (Oxford Man Institute)
T. Hurd (McMaster)
M. Rindisbacher (Toronto)
Dan Rosen (R2 Financial Technologies)
To bring the thematic program to a conclusion we aim to host the 6th World Congress of the Bachelier Finance Society, which will be held in Summer 2010.
Organizing Committee:
Y. Ait-Sahalia (Princeton)
M. Grasselli (McMaster)
V. Henderson (Oxford Man Institute)
T. Hurd (McMaster)
M. Rindisbacher (Toronto)
Dan Rosen (R2 Financial Technologies)
To bring the thematic program to a conclusion we aim to host the 6th World Congress of the Bachelier Finance Society, which will be held in Summer 2010.
Second Western Conference in Mathematical Finance
The 2nd Western Conference in Mathematical Finance, October 31 - November 2, 2008, will bring together researchers working on theoretical and applied problems in the field. The aim is to create a discussion forum for new ideas, challenging problems and emerging directions in research and applications of Mathematical Finance.
Organizers: Mihai Sirbu, Thaleia Zariphopoulou and Gordan Zitkovic
Speakers
Marco Avellaneda (New York University)
Kerry Back (Texas A&M University)
Mark Broadie (Columbia University)
Alain Bensoussan (University of Texas at Dallas)
Rene Carmona (Princeton University)
Thomas M. Cover (Stanford University)
Jaksa Cvitanic (Caltech)
Bozenna Pasik-Duncan (University of Kansas)
Jean-Pierre Fouque (University of California, Santa Barbara)
Paolo Guasoni (Boston University)
Xin Guo (University of California, Berkeley)
Ioannis Karatzas (Columbia University)
Tze Leung Lai (Stanford University)
Jin Ma (USC)
Dilip B. Madan (University of Maryland, College Park)
George C. Papanicolaou (Stanford University)
Philip Protter (Cornell University)
Ronnie Sircar (Princeton University)
Knut Solna (University of California, Irvine)
Speakers
Marco Avellaneda (New York University)
Kerry Back (Texas A&M University)
Mark Broadie (Columbia University)
Alain Bensoussan (University of Texas at Dallas)
Rene Carmona (Princeton University)
Thomas M. Cover (Stanford University)
Jaksa Cvitanic (Caltech)
Bozenna Pasik-Duncan (University of Kansas)
Jean-Pierre Fouque (University of California, Santa Barbara)
Paolo Guasoni (Boston University)
Xin Guo (University of California, Berkeley)
Ioannis Karatzas (Columbia University)
Tze Leung Lai (Stanford University)
Jin Ma (USC)
Dilip B. Madan (University of Maryland, College Park)
George C. Papanicolaou (Stanford University)
Philip Protter (Cornell University)
Ronnie Sircar (Princeton University)
Knut Solna (University of California, Irvine)
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