Wednesday - Friday, July 15 - 17, 2009
EURANDOM
Eindhoven, The Netherlands
Website
Thursday, May 07, 2009
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
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
Friday, May 29, 2009
in conjunction with 23rd IEEE International Parallel and Distributed Processing Symposium - IPDPS 2009, May 25-29, 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
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
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
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:
Organizers:
Krishna Kumar, Barclays
Jan Vecer, Columbia University
Libor Pospisil, Columbia University
Linda Heinig, REvolution Computing
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
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
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
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.
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)
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
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
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
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