A blog listing academic conferences in mathematical finance, financial engineering, computational finance, quantitative finance, stochastic analysis and probability, and partial differential equations applied to finance.
Thursday, June 26, 2008
Center for Applied Probability at Columbia University - 15th Annual Applied Probability Day
IN HONOR OF CHRIS C. HEYDE
Saturday June 28th, 2008
9:00AM-6:00PM
Room 303
S.W. Mudd Building
500 West 120th Street
Columbia University, New York City
REGISTRATION IS FREE, all are very welcome, please join.
SPEAKERS & SCHEDULE:
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:
http://www.cap.columbia.edu
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.
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 speakersOne-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
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
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 |