Research in Options 2015

The use of sophisticated mathematical tools in financial engineering ranging from partial differential equations to stochastic analysis and numerical methods has been growing steadily during the past few decades. On the one hand, the mathematical tools and results have impacted the way financial phenomena are modeled and understood, and how risk is assessed and managed. On the other hand, the financial industry has been presenting a number of mathematical and computational challenges to researchers. 

This is the tenth conference hosted by IMPA's group on Math Finance on the subject. It is a follow up of the highly successful previous editions. Each one had in its attendance about 100 participants evenly spread from academia and industry. This year we will focus on different aspects of mathematical finance including (but not limited to) option pricing, fixed income, volatility trading, real options, commodities, algorithmic trading, portfolio and risk management.

We will precede the conference with two days of minicourses. The minicourses will be aimed at both practioners and students.

Youtube Playlist:



Download:


Monday, 30

PANEL 1
Bruno Dupire (Bloomberg) - download
Marco Avallaneda (Courant Institute, USA) - download
QUESTIONS FOR PANEL 1 - download

PANEL 2
Nicole El Karoui (École Polytechhnique, France) - download
Carlos Vazquez (A Coruña, Spain) - download
QUESTIONS FOR PANEL 2 - download

PANEL 3
Chris Rogers (University of Cambridge, UK) - download
Sebastian Jaimungal (University of Toronto, Canada) - download
QUESTIONS FOR PANEL 3 - download

Round Table on Math Finance Training and Industry - download

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Tuesday, 1

PANEL 1

Lane Hughston (Brunel University London, UK) - download
Raphael Douady (Riskdata, USA) - download
QUESTIONS FOR PANEL 1 - download

PANEL 2
Teemu Pennanen (King´s College London, UK) - download
Marco Fritelli (Università di Milano) - download
QUESTIONS FOR PANEL 2 - download

Special Session - Brazilian Issues
Introducing uncertainty in Brazil's Oil Supply Chain
J.P. Luna, W.Oliveira, P.Ribas & C. Sagastizábal
soon

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Wednesday, 2


PANEL 1
Uwe Schmock (Vienna University of Technology, Austria) - It was not recorded
Lakshithe Wagalath (IESEG Business School, Paris) - download
QUESTIONS FOR PANEL 1 - download

PANEL 2
Carole Bernard (Waterloo University, Canada) - download
Matjaž Omladič (University of Primorska, Slovenia) - download
QUESTIONS FOR PANEL 2 - download

PANEL 3
Matheus Grasselli (McMAster University, Canada) - download
J.P. Zubelli (IMPA, Brazil) - download
QUESTIONS FOR PANEL 3 - download

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