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/