Research in Options 2016


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 eleventh 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:

Minicourse Program

Sebastian Jaimungal
(Univ. of Toronto, Canada)
Algo Trading: From theory to practice
Part 1

download

Sebastian Jaimungal 
(Univ. of Toronto, Canada)
Algo Trading: From theory to practice 
Part 2

download

Bruno Dupire
(Bloomberg)
Volatility derivatives andtrading
Part 1

download

Bruno Dupire 
(Bloomberg)
Volatility derivatives andtrading
Part 2

download

Stephane Crépey
(University of Evry, France)
Counterparty Risk, Cost of Funding, Cost of Capital and Central Clearing
Part 1

download

Stephane Crépey
(University of Evry, France)
Counterparty Risk, Cost of Funding, Cost of Capital and Central Clearing 
Part 2

download

Marco Avellaneda
(New York University, USA)
Risk and liquidity management: for equity derivatives, credit derivatives & fixed-income
Part 1

download

Marco Avellaneda
(New York University, USA)
Risk and liquidity management: for equity derivatives, credit derivatives & fixed-income
Part 2

download

Risk & Derivatives (part I)
Bruno Dupire (Bloomberg)
Marco Avellaneda
(NYU, USA)
download

Risk & Derivatives (part II)
Matheus Grasselli (McMaster, Canada)
Julien Guyon
(Bloomberg)
download

Emmanuel Gobet (Polytechnique, France)
Lakshithe Wagalath (IESEG , France)
download

Statistics in Finance
Nikolai Kolev (USP,Brazil)
Umberto Cherubini (U. Bologna, Italy)
Sabrina Mulinacci (U. Bologna, Italy)
download

High Frequency Trading
Sebastian Jaimungal (Toronto, Canada)
Chris Rogers (Cambridge, UK)
download

Carole Bernard (Grenoble, France)
Martino Grasselli (U. Padova, Italy)
download

Risk & Derivatives (part III)
Yuri Saporito (FGV, Brazil)
Uwe Schmock (TU Vienna)
Rodrigo Targino (FGV, Brazil)
download

Portfolio Management
Teemu Pennanen (King´s College)
Stephane Crépey (U. Evry, France)
download

Lane Hughston (Brunel University, UK)
Alberto Pinto (Porto U., Portugal)
download

Jorge P. Zubelli (IMPA, Brazil)
download

________________________________________________________________________________