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