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.

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

Interactive Map of the Morningside Campus of Columbia University


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



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.


$175 ($100 student)

Corporate & Institutional:

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

Mail Checks to:
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:

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.

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


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)

Friday, September 12, 2008

Algorithmic Trading Conference, October 3, 2008

NYU Courant Institute and FINANCE CONCEPTS are pleased to announce the forthcoming conference on

ALGORITHMIC TRADING: Dynamic Portfolios, Optimal Execution, and Risk

Time: October 3rd, 2008, starting at 8:30 a.m.

Venue: NYU Skirball Center, New York University


Download brochure:

The explosive growth of algorithmic trading has challenged academia and industry to explore the foundations of this emerging area of quantitative finance. The Mathematics in Finance Masters Program at NYU and Finance Concepts are pleased to present this conference, which brings together leading market practitioners and academics to discuss the latest advances in algorithmic trading, dynamic portfolios, optimal execution, and risk.


Robert ALMGREN, Quantitative Brokers

David CUSHING, Wellington Management


Robert ENGLE, NYU Stern, Nobel Prize winner

Robert FERSTENBERG, Morgan Stanley

Jim GATHERAL, Merrill Lynch

Merrell HORA, Credit Suisse

George SOFIANOS, Goldman Sachs

Program Highlights:

* Dynamic optimization in custom execution algorithms

* The use of adaptive arrival price optimization

* The role of short term alpha in optimizing execution

* Execution risks and its relationship to portfolio risk

* Buy-side institutional efforts to integrate portfolio construction, risk management and optimal execution


For more information and registration please see or contact us by email at

Registration fee: USD $1199 (regular), USD $899 (special group rate), USD $599 (full-time academic rate)

NOTE: Full-time students in mathematical or quantitative finance programs may attend the event at the discounted price of $99

We kindly request interested participants to send their registration as soon as possible but no later than September 30th 2008

Saturday, September 06, 2008

Eigenfunction Expansion and Fourier-Laplace transform methods in Mathematical Finance

Organizing Committee: Peter Carr, Darrell Duffie, Steve Kou, Alex Lipton, Vadim Linetsky, Dilip Madan, Claudio Albanese, and Sergey Levendorskiy.

Invited Presentations: Lars Hansen, Xiaohong Chen, Nuor Meddahi, Mark Yor, Peter Carr, Michael Dempster, Damir Filipovic, Alex Lipton, Vadim Linetsky, Dilip Madan, Claudio Albanese, Steve Kou, Andreas Kyprianou, Marjin Pistorius, and others.

Dates: June 18-20, 2009.

Place: University of Leicester

More Information: Sergey Levendorskiy

Thursday, July 03, 2008

Quantitative Methods in Finance Conference (QMF) 2008

17-20 December 2008 - Sydney, Australia

Sydney Harbour - QMF Location

The Quantitative Methods in Finance - 2008 Conference (PDF 2.3 MB) will bring together leading experts in Quantitative Finance from Industry and Academia for a 4-day conference in Sydney, Australia.

Conference Website:

Credit Risk, Risk Management, Derivative Pricing, High Dimensional Quantitative Methods and other areas of Quantitative Finance.

Plenary Speakers include:
Tomas Björk, Alex Cerny, Freddy Delbaen, Robert Elliott, Jean-Pierre Fouque, Tom Hurd, Ross Maller, Fabio Mercurio, Hideo Nagai, Alex Novikov, Bernt Øksendal, Marek Rutkowski, Alexander Schied, Uwe Schmock, Christoph Schwab, Albert Shiryaev, Michael Taksar, Nizar Touzi, George Yin.

Conference Venue
Amora Hotel Jamison Sydney
11 Jamison Street, Sydney NSW 2000

QMF 2008 is Organised by:
Prof. Carl Chiarella and Prof. Eckhard Platen, School of Finance and Economics, University of Technology, Sydney

For more details contact the QMF Conference Coordinator

Thursday, June 26, 2008

Center for Applied Probability at Columbia University - 15th Annual Applied Probability Day

The Center for Applied Probability at Columbia University presents the 15th Annual Applied Probability Day (APD).


Saturday June 28th, 2008

Room 303
S.W. Mudd Building
500 West 120th Street
Columbia University, New York City

REGISTRATION IS FREE, all are very welcome, please join.


Five (5) Speakers include:

David Pollard, Yale University, USA

- Random chromatic numbers, some statistical folklore, and some puzzling inequalities

Søren Asmussen, Aarhus University, Denmark

- Failure probabilities for checkpointing and parallel computing

Steve Kou, Columbia University, USA

- The Recent Financial Turmoil and Related Financial Engineering Research Problems

J. Michael Steele, Wharton School, USA

- Martingale Markets

Sidney Resnick, Cornell University, USA

- Multivariate regular variation on 3 cones yields three theories

A reception will follow. We particularly warmly welcome all of those who remember Chris C. Heyde; his students, his colleagues and his friends. For further information please go to our web site:

Monday, June 02, 2008

UCSB Conference on Convex Duality method in Mathematical Finance

The conference will be held on the seaside campus of the University of California at Santa Barbara, June 22-27, 2008. The program will focus sharply on recent developments in applications of the convex duality method to problems in finance.

Meeting schedule

Principal Lecturer
Dr. Marco Frittelli is Professor of Mathematical Finance at the University of Milano, Italy, having held positions at Florence, Milano, and Urbino Universities and visiting scholar positions in several universities in the USA and Europe. He is a member of the Editorial board of The Annals of Applied Probability and a member of the Scientific Council of the Bachelier Finance Society.

Dr. Marco Frittelli will deliver 10 lectures on the topic of Convex Duality Methods in Mathematical Finance.

Abstract of the lecture series

Invited speakers
One-hour talks will be presented by the following invited speakers:
Sara Biagini (Perugia, Italy)
Alexander Schied (Cornell)
Mihai Sirbu (UT Austin)
Mike Tehranchi (Cambridge)
Mingxin Xu (UNC Charlotte)
Thaleia Zariphopoulou (UT Austin)

International Workshop on Credit Risk at Universite d'Evry

International Workshop: CREDIT RISK
June 25-26-27 2008, Evry, (France)
Université d'Evry Val d´Essonne
Laboratoire d'Analyse et Probabilités
Département de Mathématiques

A three-day conference in finance will take place at Evry University (France) from Wednesday June 25 to Friday June 27 2008 on the following theme: 'Credit Risk'.
Organized on the same format as the previous editions of the Workshops in finance at Evry University this conference will allow a fruitful exchange of ideas between practitioners and academics. (Programme)

Organizing Committee:
Monique Jeanblanc, University of Evry, France
Stéphane Crépey, University of Evry, France

Liquidity Risk Conference at Cornell University

There will be a National Science Foundation sponsored conference on liquidity risk at Cornell University, Ithaca, New York, on June 27 and 28. All are welcome. There is no registration fee, but participants are asked to register for eventual reporting to the NSF. The organizer is Philip Protter, who may be contacted with requests for information, at pep4*at*

Invited Participants
Marcel Blais WPI
Bob Jarrow Cornell University
Ioannis Karatzas Columbia University
Kiseop Lee University of Louisville
Mike Lipkin Katama, Inc. and Columbia
Ciamac Moallemi Columbia University
Wesley Phoa Capital Group, Los Angeles
Philip Protter Cornell University
Alexandre Roch Cornell University
Jesus Rodriguez Rutgers University
Chris Rogers University of Cambridge, UK
Alexander Schied Cornell University
Deniz Sezer York University, Toronto, Canada
Kazuhiro Shimbo Mizuho Alternative Investments, LLC
Vanantha Ly Vath University of Paris 6, Paris, France

Thursday, May 15, 2008

Stochastic Analysis and Mathematical Finance - Ascona - May 19-23, 2008

Sixth Seminar on Stochastic Analysis, Random Fields and Applications
May 19 - May 23, 2008
Centro Stefano Franscini, Ascona, Switzerland


Stochastic partial differential equations and random fields
Stochastic analysis and mathematical finance
Energy, climate and finance

New Directions in Quantitative Finance - Paris, May 19-21, 2008

New Directions in Quantitative Finance - Paris, May 19-21, 2008


Reid Hall, Paris ( France ) 19-21 May 2008

This workshop will bring together leading international experts and young researchers to discuss emerging issues in derivatives modeling, portfolio optimization and risk management.

This 3-day workshop will consist of plenary talks with ample discussion time to stimulate interaction between participants and ignite collaborations between US and French researchers.

Topics include: derivative pricing and hedging, risk measurement, credit risk modeling, portfolio optimization, Monte Carlo methods in finance, quantitative modeling in corporate finance.


List of speakers:

René Aid (Electricité de France)
Marco Avellaneda (New York University)
Bruno Bouchard (Université de Paris Dauphine)
Yann Braouezec (Ecole Sup. d'Ing. Léonard de Vinci)
Mark Broadie (Columbia University)
Luciano Campi (Université de Paris Dauphine)
Bruno Dupire (Bloomberg LP)
Umut Cetin (London School of Economics)
Stephane Crepey (Universite d'Evry)
Romain Deguest (Columbia University/Ecole Polytechnique)
Romuald Elie (Université de Paris Dauphine)
David Fournie (Columbia University)
Alfred Galichon (Ecole Polytechnique)
Paul Glasserman (Columbia University)
Emmanuel Gobet (InP Grenoble - ENSIMAG)
Jun-ya Gotoh (Tsukuba University)
Pierre Henry-Labordère (Société Générale)
Ying Jiao (Ecole Sup. d'Ing. Léonard de Vinci)
Jean-Michel Lasry (Calyon)
Andreea Minca ( Ecole Polytechnique )
Amal Moussa (Columbia University)
Serguei Novak (Middlesex University)
Olivier Pironneau (Universite de Paris 6)
Peter Tankov (Université Denis Diderot)
Stan Uryasev (University of Florida)
Ekaterina Voltchkova (Université de Toulouse)


Registration is free but limited to 100 participants.

Please register online at

Friday, March 14, 2008

Second Princeton Credit Conference

Dear Colleague:

Please could you bring to the attention of graduate students and young researchers in your department who might be interested, the following conference on Credit Risk. Full details and application for Financial Support can be found at the website

Rene Carmona, Jean-Pierre Fouque, Ronnie Sircar, Thaleia Zariphopoulou

The Mathematics of Defaultable Securities

As part of a research initiative funded by the National Science Foundation (NSF), the Second Princeton Credit Conference will be held at Princeton University, May 23-24, 2008.

Invited Speakers

D. Brigo (Fitch-QFR), C. Finger (Risk Metrics), R. Frey (Leipzig University), K. Giesecke (Stanford University), J. Hull (Toronto University), T. Hurd (McMaster University), R. Jarrow (Cornell University), M. Jeanblanc (Evry University), Y. Jiao (Ecole Polytechnique Paris), J.P. Laurent (University of Lyon), J. Naud (JP Morgan Chase), P. Schoenbucher (ETH Zurich).

There will be a reception and dinner on Friday evening. The guest speaker will be Dario Villani, Managing Director in the Global Strategic Risk Group at Merrill Lynch.

Organizing Committee

Rene Carmona (Princeton University), Jean Pierre Fouque (University of California Santa Barbara), Ronnie Sircar (Princeton University), Thaleia Zariphopoulou (The University of Texas at Austin).

Monday, January 21, 2008

Second SIAM Conference on Financial Mathematics and Engineering

Friday and Saturday November 21-22, 2008

The conference is organized by the Financial Mathematics and Engineering (FME) SIAM Activity Group (SIAG). It will be held on the Campus of Rutgers, The State University of New Jersey, at the Heldrich Hotel, New Brunswick.

First SIAM Conference in Financial Mathematics and Engineering, Boston, July 9-12, 2006

Scientific Committee

Rene CARMONA (Princeton University) - Committee Chair
Alexander EYDELAND (Morgan Stanley)
Paul FEEHAN (Rutgers University) - Committee Co-Chair & Local Organizer
Jean-Pierre FOUQUE (University of California Santa Barbara)
Paul GLASSERMAN (Columbia University)
Thaleia ZARIPHOPOULOU (The University of Texas at Austin)

Website: main site and program.

Sunday, January 20, 2008

Global Derivatives & Risk Management 2008

Cutting-Edge Innovations In Derivatives
Modelling, Pricing, Hedging, Trading & Risk Management

19-23 May 2008, Paris, France


Dear Paul

I’m pleased to announce that the draft programme is now available on the website. As the World’s largest derivatives conference, Global Derivatives & Risk Management 2008 is the only event to focus on all types of major derivatives – equity, credit, interest rates, fx, volatility, inflation, commodities and hybrids – and the annual meeting point for the derivatives & risk management industry.

After the incredibly successful 2007 event, with over 500 attendees, in 2008 we have expanded the programme and included even more NEW formats and features to bring you even more expert trading and quantitative analysis speakers and the latest research.

Just some of the hot plenary panel topics include:

* MODELLING THE PERFECT FINANCIAL STORM: Assessing How Well Trading Models Fared In The Recent Crisis And How Can They Be Improved To More Accurately Predict Future Market Shocks
Sudhir Chhikara, Director of Quantitative Investments, STARK INVESTMENTS
Aaron Brown,
Andrew Sterge
, President, AJ Sterge Division, MAGNETAR CAPITAL

* THE GLOBAL DERIVATIVES 2008 LEADING FINANCIAL MINDS TASK: Examining The Drivers Of Market Volatility And Understanding How More Effective Quantitative Risk Management Can Ensure Greater Financial Stability
Robert Shiller,
Stanley B. Resor Professor of Economics, YALE UNIVERSITY
Michael Hintze
David Modest
, Managing Director, JP MORGAN CHASE

* TALKING VOLATILITY: Volatility Trading In Today's Dynamic Marketplace: Examining New Products And New Horizons
Eric Rosenfeld,
Pav Sethi,
Global Head of Volatility Trading & Arbitrage,
Marco Avellaneda,
Gilles Dahan,
Head of Equity Derivatives Trading EMEA, CITIGROUP

Just some of the brand new features include:

  • More Technical Modelling Sessions - Hear over 100 leading practitioners & academics share their risk management, modelling and trading experiences.
  • More Bigger Picture Sessions – The Quantitative Finance Strategy Labs will focus on the bigger picture of quantitative finance modelling and trading from the premier names in the industry. Emanuel Derman, Jim Gatheral, Piotr Karasinski, Riccardo Rebonato; Nasir Afaf at Commerzbank and Vivek Kapoor at Citigroup have confirmed their participation for these interesting sessions.
  • More Extended Sessions – In order to increase your intellectual take-away we have included more extended and double sessions, allowing an unprecedented opportunity to maximise your learning.
  • More Networking Time – We realised it’s not just all about equations and in recognition of this have added in more breaks and more opportunities to network with your industry peers including a new wine challenge cocktail party.
  • More New Research – Another brand new feature for 2008, we are very excited about the Global Derivatives & Risk Management Research Showcase. This will allow some of the ‘rising stars’ of the industry to present their new research work over lunch on 21 and 22 May.
  • More Breakfast Briefings – Time for even more new research over breakfast with Dilip Madan at University of Maryland on 22 May. Places are limited and allocated on a first come first served basis, so book your conference place now to avoid disappointment.
  • More Trading Focus – A whole day on volatility trading on 19 May covering practical trading strategies and insights.

Plus, Don’t Miss These Intensive MasterClass Sessions:

  1. Commodities As A Multi-Asset Class – 19 May 2008
    Led by Helyette Geman, Birkbeck, University Of London & UBS Bloomberg Commodity Index
  2. Modelling, Pricing & Managing Interest Rates Derivatives - 19 May 2008
    Led by Patrick Hagan, JP Morgan
  3. Advanced Credit Derivatives Pricing – 23 May 2008
    Led by Jon Gregory, Barclays Capital & Paul Glasserman, Columbia Graduate School of Business
  4. Volatility & Correlation Modelling & Trading In Practice –23 May 2008
    Led by Bruno Dupire, Bloomberg

And if you register by 15 February, we will give you a special earlybird discount, where you can save up to £1,100. Don’t delay, book now on the website and ensure your place at the World’s largest derivatives conference!

Best Regards

Sarah Startup, Conference Director, ICBI