Saturday, May 16, 2009

Spectral and Cubature Methods in Finance and Econometrics

An interdisciplinary international research workshop
University of Leicester, UK, June 18- 20, 2009

Supported by AMAMEF, EPSRC, LMS and University of Leicester

Scientific programme: thematic areas covered by workshop directions

1. Fourier-Laplace transform methods, the Wiener-Hopf factorization and FFT technique, with numerous applications. Advantages and computational problems of FFT.
2. Advances in Monte-Carlo methods
3. Eigenfunction expansion method
4. Econometrics of time series in the long run

Registration form for non-presenters can be found here

Fee: academics: 50 GBP, PhD students 0, others 100 GBP


Thursday, May 07, 2009

High-Frequency Finance and Quantitative Strategies

Wednesday - Friday, June 10-12, 2009
Courant Institute, Room 109
251 Mercer Street
New York, NY 10012


Quantitative Methods in Finance Conference (QMF) 2009

Wednesday - Sunday, December 16-19, 2009
Sydney, Australia


AMS Special session on Mathematical Finance

2009 Fall Eastern Section Meeting
University Park, PA
Saturday - Sunday, October 24-25, 2009

Special session on Mathematical Finance to be held at the AMS Fall Eastern Section Meeting on October 24-25 2009, located at the Pennsylvania State University. The aim of the session is to bring researchers in mathematics with practitioners in finance to identify and formulate outstanding problems in the field, as well as outline recent advances in their resolution. Potential topics include (but are not limited to) derivative pricing, calibration of models, and optimal stopping problems.

More information about the Penn State and the Mathematics Department can be found at:

Organizers: Nick Costanzino, Anna Mazzucato, and Victor Nistor


Fifth Cambridge/Princeton Conference

Friday - Saturday, September 18-19, 2009

Bendheim Center
Princeton University


Workshop on Stochastic Analysis and Finance

Monday - Friday, June 29 - July 3, 2009
Hong Kong, China


Statistical Inference for Lévy Processes with Applications to Finance

Wednesday - Friday, July 15 - 17, 2009

Eindhoven, The Netherlands


Istanbul Workshop on Mathematical Finance

Monday - Thursday, May 18 - 21, 2009
The Marmara Pera Hotel
Istanbul , Turkey


Cambridge-Kaiserslautern Financial Mathematics Workshop

Fraunhofer ITWM, Kaiserslautern
Tuesday, May 5, 2009


The Extended Finite Element Method

Monday - Wednesday, May 11–13, 2009
Braunschweig, Germany


5th Oxford-Princeton Workshop on Financial Mathematics & Stochastic Analysis

Friday - Sunday, March 27-28, 2009
Princeton University


SIAM Annual Meeting 2009

Monday - Friday, July 6-10, 2009

Denver, Colorado


15th International Conference Computing in Economics and Finance

The Society for Computational Economics
University of Technology
Sydney, Australia

Wednesday - Friday, July 15-17, 2009


Parallel and Distributed Computing in Finance (Computational Finance)

The Second Workshop on Parallel and Distributed Computing in Finance (Computational Finance)

Friday, May 29, 2009

in conjunction with 23rd IEEE International Parallel and Distributed Processing Symposium - IPDPS 2009, May 25-29, 2009, Rome, Italy


Global Derivatives Trading & Risk Management

Monday - Friday, April 17 - May 1, 2009
Rome, Italy


Third Conference on Numerical Methods in Finance

Ecole des Ponts
Universite Paris-Est

Wednesday - Friday, April 15-17, 2009


Second Conference on Numerical Methods in Finance (2008) website
First Conference on Numerical Methods in Finance (2006) website

Frankfurt Math Finance Conference

Derivatives and Risk Management in Theory and Practice

Monday - Tuesday, March 23-24, 2009


Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance

Tuesday - Thursday, February 10-12, 2009

Vienna, Austria

Recent years have seen the emergence of new stochastic volatility models for equity, foreign currency and interest rates. An example thereof is the SABR model. An approach to these models yielding approximate solutions has required the application of asymptotic and perturbative techniques and has led to new questions of both a theoretical and practical nature that has stimulated new research in these areas. This three day conference will bring together, in one forum and for the first time, the leading practitioners and academics working in this area.