The workshop will take place at Stevens Institute of Technology between July 10 and July 12 2009.
Conference website
Sunday, June 14, 2009
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
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
Website
Courant Institute, Room 109
251 Mercer Street
New York, NY 10012
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
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
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
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