Mathematical Finance Conferences

June 22-26, 2010
Fields Institute
Toronto, Ontario
Canada

Website

Affiliated workshops:

January 11-15, 2010 - Foundations of Mathematical Finance
March 22-24, 2010 - Numerical Methods in Finance
April 3-24, 2010 - Financial Econometrics
May 4-28, 2010 - Financial Derivatives and Risk Management

Quant Finance Conference London

May 20-25, 2010
London, England

Conference organizer: Mark Davis

Recent Advancements in the Theory and Practice of Credit Derivatives

September 28-30, 2009
Université de Nice Sophia Antipolis
Nice, France

Website

Quant Congress New York

July 14-16, 2009
New York, New York
USA

Website

PDE and Mathematical Finance III

August 17-20, 2009
Department of Mathematics
KTH Royal Institute of Technology
Stockholm
Sweden

Website

Sunday, June 14, 2009

Modeling High Frequency Data in Finance

The workshop will take place at Stevens Institute of Technology between July 10 and July 12 2009.

Conference website

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

Website

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

Website

Quantitative Methods in Finance Conference (QMF) 2009

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

Website

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:

http://www.math.psu.edu/

Organizers: Nick Costanzino, Anna Mazzucato, and Victor Nistor

Website

Fifth Cambridge/Princeton Conference

Friday - Saturday, September 18-19, 2009

Bendheim Center
Princeton University

Website

Workshop on Stochastic Analysis and Finance

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

Website

Statistical Inference for Lévy Processes with Applications to Finance

Wednesday - Friday, July 15 - 17, 2009

EURANDOM
Eindhoven, The Netherlands

Website

Istanbul Workshop on Mathematical Finance

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

Website

Cambridge-Kaiserslautern Financial Mathematics Workshop

Fraunhofer ITWM, Kaiserslautern
Tuesday, May 5, 2009

Website

The Extended Finite Element Method

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

Website

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

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

Website

SIAM Annual Meeting 2009

Monday - Friday, July 6-10, 2009

Denver, Colorado

Website

15th International Conference Computing in Economics and Finance

The Society for Computational Economics
University of Technology
Sydney, Australia

Wednesday - Friday, July 15-17, 2009

Website

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

Website

Global Derivatives Trading & Risk Management

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

Website

Third Conference on Numerical Methods in Finance

Ecole des Ponts
Universite Paris-Est
Paris

Wednesday - Friday, April 15-17, 2009

Website

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

Website

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.

Website

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.

Schedule:

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

Organizers:

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

9AM--6PM

Speakers:

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.

REGISTRATION FEES:

Academic:
$175 ($100 student)

Corporate & Institutional:
$350

PAYMENTS
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:

www.cfe.columbia.edu/announcements/CAP_MF_Fall_08/

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

Speakers

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

Sponsored by GERSON LEHRMAN GROUP, MERRILL LYNCH, ITG, JP MORGAN, TETHYS

Download brochure:

http://www.algotradeconf.com/AlgorithmicTrading.pdf

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.

Speakers:

Robert ALMGREN, Quantitative Brokers

David CUSHING, Wellington Management

Ian DOMOWITZ, ITG

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

INFORMATION AND REGISTRATION:

For more information and registration please see http://www.algotradeconf.com or contact us by email at info@algotradeconf.com

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: www.qfrc.uts.edu.au/qmf

Focus:
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

Contacts
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).

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.

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*cornell.edu.

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

TOPICS

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

05/19/2008

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.

Programme: http://www.fiquam.polytechnique.fr/XColumbia.html

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:

Registration is free but limited to 100 participants.

Please register online at http://www.fiquam.polytechnique.fr/registration.html