Friday, November 23, 2007
Bachelier Finance Society
5th World Congress, London, 15-19 July 2008
The Fifth World Congress of the Bachelier Finance Society will take place in London, 15-19 July 2008 at the Royal Geographical Society and nearby Imperial College.
Special Guest Lecture: S.R.S. Varadhan, Courant Institute
Presidential Lecture: Steven Shreve, Carnegie Mellon
Tomas Bjork, Stockholm School of Economics
Jaksa Cvitanic, California Institute of Technology
Philip Dybvig, Washington University
Marco Frittelli, University of Milan
Jim Gatheral, Merrill Lynch, New York
Lars Peter Hansen, University of Chicago
Dmitry Kramkov, Carnegie Mellon University
Alex Lipton, Merrill Lynch, London
Philip Protter, Cornell University
Nizar Touzi, Ecole Polytechnique, Paris
The conference will begin on the afternoon of Tuesday 15 July with registration and a pair of plenary talks held at the Royal Geographical Society, followed by a Reception. On the following days, plenary talks will be held at the Royal Geographical Society and contributed talks in parallel sessions at Imperial College. The conference will conclude with a Banquet on the evening of Saturday 19 July.
Authors are invited to submit papers for presentation at the Congress. Papers will be submitted via a web-based system at the conference website, which will be activated in mid November. Submissions will be in the form of complete papers or extended abstracts. All submissions will be reviewed. Each contributed paper session at the Congress will consist of three half-hour presentations. Some of these sessions will be organised as mini-symposia focussed on special topics. It is also intended that there will be poster sessions.
Opening date for submission of papers: Sunday 25 November 2007
Closing date for submission of papers: Friday 25 January 2008
Notification of accepted papers by: Friday 7 March 2008
Opening sessions of the Congress, and Reception: Tuesday 15 July 2008
Closing sessions of the Congress, and Banquet: Saturday 19 July 2008
Information concerning registration, fees, accommodation will be made available on the conference website.
Conference website: www.bfs2008.com
Bachelier Finance Society website: www.bachelierfinance.com .
Damir Filipovic, Institute of Finance, Vienna
Paul Glasserman, Columbia University
Tom Hurd, McMaster University, Ontario
Masaaki Kijima, Tokyo Metropolitan University
Ragnar Norberg, London School of Economics
Chris Rogers, Cambridge University
Martin Schweizer, ETH Zurich
Ronnie Sircar, Princeton University
Mark Davis, Imperial College London
Lane Hughston, King's College London
Saturday, October 20, 2007
The International Association of Financial Engineers presents
An IAFE Members Event featuring Luminaries
Robert C. Merton and Myron S. Scholes
Robert C. Merton is the John and Natty McArthur University Professor, Harvard Business School & IAFE Senior Fellow
Myron S. Scholes is Chairman, Platinum Grove Asset Management L.P. & IAFE Senior Fellow
Perspectives on the Current Financial Crises – Will This Keep Happening?
Welcome Remarks and Question and Answer Session by
Tanya Styblo Beder, Chairman, SBCC & IAFE Board Member
Monday October 29th, 2007
5:00 Registration, 5:30 Event, 6:45 Reception
McGraw Hill Auditorium
1221 6th Avenue (Entrance on 49th Street)
This event is free for IAFE Members and $100 for non-members.
If you are receiving this email, you are not an IAFE Member. Please click here to register or become an IAFE member today and attend for free.
Space is limited and is on a first come first serve basis – with priority going to IAFE Members.
Wednesday, September 26, 2007
Humboldt - Princeton Conference
Semiparametrics Meets Mathematical Finance
27.10.2007 - 28.10.2007
|Rene Carmona||Princeton||Equilibrium and Optimal Design for the Cap and Trade Emission Markets|
|Ronnie Sircar||Princeton||Homogeneous Groups and Multiscale Intensity Models for Multiname Credit Derivatives|
|Patrick Cheridito||Princeton||Equilibrium Pricing in Incomplete Markets|
|Jianqing Fan||Princeton||Derivative Pricing|
|Yacine Aït-Sahalia||Princeton||Financial Econometrics|
|Birgit Rudloff||Princeton||Convex Hedging in Incomplete Markets|
|Wolfgang Härdle||Humboldt||DSFM for Dynamic Volatility Hedges|
|Nikolaus Hautsch||Humboldt||The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility|
|Denis Belomestny||WIAS||Methods of MC Pricing of Callable Derivatives|
|Rouslan Moro||Humboldt||EPK and Heterogeneous Investors|
|Peter Imkeller||Humboldt||Cross Hedging and Insurance Derivatives|
|Ulrich Horst||Humboldt||Adverse Selection and Risk Transfer in Principal Agent Games|
|Peter Bank||TU Berlin||A Large Investor Trading at Market Indifferent Prices|
The Bendheim Center for Finance is pleased to announce a new and exciting lecture series, The Princeton Lectures in Finance. Each year, the Bendheim Center will invite a leading figure in the field of finance to Princeton to deliver a set of lectures on a topic of major significance to researchers and professionals. The published lectures will appear as a Princeton University Press book. The lectures are open to the public and held in the BCF classroom.October
17-18-19* Darrell Duffie, Stanford
Princeton Lectures in Finance
14th Annual Workshop on
Derivative Securities and Risk Management
Friday, November 9th 2007
Fourth Floor, Davis Auditorium, Shapiro Center
View Poster (pdf)
The CCCP Mathematical Finance Workshop intends to bring together researchers in mathematical finance for the exchange of ideas and the discussion of emerging problems in the field. Attendance is free, but we ask that participants fill in the online registration form until September 30th so that we can prepare accordingly. PhD students and post-docs can apply for financial support via the financial support button.
- Peter Carr, (New York University and Bloomberg)
- Rama Cont, (Columbia University)
- Paul Glasserman, (Columbia University)
- Paolo Guasoni, (Boston University)
- Steve Kou, (Columbia University)
- Kasper Larsen, (Carnegie Mellon University)
- Dilip Madan, (University of Maryland)
- Alexander Schied, (Cornell University)
- Steven E. Shreve, (Carnegie Mellon University)
- Thaleia Zariphopoulou, (University of Texas)
- Gordan Zitkovic, (University of Texas)
Friday, September 14, 2007
Quantitative Methods in Finance 2007, 12 -15 Dec, Sydney, AustraliaDate: December 12 -15, 2007
Location: Manly Pacific Hotel, Sydney, Australia
QMF is a successful conference series that attracts internationally renowned academics and industry representatives, who are experts in the fields of Quantitative Finance, Financial Engineering and Financial Mathematics. Website of the conference: http://www.qfrc.uts.edu.au/qmf
The focus for this year's conference is Credit Risk, Simulation Methods, Portfolio Optimisation and other areas of Quantitative Finance.
This year's plenary speakers include Yacine Aït-Sahalia, Alan Brace, Nicole El Karoui, Robert Elliott, Robert Fernholz, Chris Heyde, Farshid Jamshidian, Mark Joshi, Jan Kallsen, Masaaki Kijima, Alex Novikov, Goran Peskir, Wolfgang Schmidt, Michael Sørensen, Marc Yor, Thaleia Zariphopolou, Xun-Yu Zhou
World Congress on Computational Finance
The First Decade - March 26, 2007 - LondonIntensive one-day event in London, March 26, 2007 will feature over thirty top speakers on the hotest issues in Computational Finance. For registration and the event program, please go to http://www.msri.org/specials/compfinance/index_html.
Delegates will have the opportunity to hear and participate in detailed discussions with top industry and academic experts in the following areas
- Advanced numerical techniques for PDE-based pricing in equities, fixed income and hybrid products
- Latest developments in Fast Fourier Transform approaches for derivatives pricing
- Advances in copula methods in finance
- Latest breakthroughs in randomized algorithms
- Practical and efficient calibration and optimization algorithms
The Computational Finance World Congress is timed to mark the first decade of Computational Finance as a discipline in its own right. Since the first event in this subject took place at Stanford University in 1996, Computational Finance has solidified its paradigm as a new field of professional activity and research.
Saturday, September 01, 2007
Advanced Mathematical Methods for Finance,
Vienna, September, 17th-22nd, 2007