Wednesday, September 26, 2007

Humboldt - Princeton Conference

Semiparametrics Meets Mathematical Finance

27.10.2007 - 28.10.2007

Lecturer Institution Talk
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
Princeton Lectures in Finance

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.

Darrell Duffie, Stanford
Princeton Lectures in Finance

14th Annual Workshop on Derivative Securities and Risk Management: Friday, November 9th 2007

Center for Applied Probability

Columbia Unviersity

14th Annual Workshop on
Derivative Securities and Risk Management

Friday, November 9th 2007
Fourth Floor, Davis Auditorium, Shapiro Center
Columbia University
View Poster (pdf)

CCCP Mathematical Finance Workshop: November 30th-December 1st, 2007 at Princeton University

November 30th-December 1st, 2007 at Princeton University

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.

Invited Speakers

Friday, September 14, 2007

Quantitative Methods in Finance 2007, 12 -15 Dec, Sydney, Australia

Quantitative Methods in Finance 2007, 12 -15 Dec, Sydney, Australia

Date: 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:


The focus for this year's conference is Credit Risk, Simulation Methods, Portfolio Optimisation and other areas of Quantitative Finance.

Plenary Speakers

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 - March 26, 2007 - London

World Congress on Computational Finance

The First Decade - March 26, 2007 - London

Intensive 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

Delegates will have the opportunity to hear and participate in detailed discussions with top industry and academic experts in the following areas

  1. Advanced numerical techniques for PDE-based pricing in equities, fixed income and hybrid products
  2. Latest developments in Fast Fourier Transform approaches for derivatives pricing
  3. Advances in copula methods in finance
  4. Latest breakthroughs in randomized algorithms
  5. 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.