Overview

The recent global financial crisis has made risk management and financial stability a foremost concern of regulatory agencies and corporations worldwide. Given the rapidly expanding scope and complexity of risk-aware financial management, mathematical innovation is central to the field. For example, numerical optimization can automate the construction of portfolios to best meet specified requirements. Optimization techniques serve as important tools for financial institutions and companies aiming to find better solutions and improve decision-making.

The list of the topics to be covered during the workshop includes, but not limited to:

-Modeling and optimization in finance and risk management
-Large-scale financial optimization
-Optimization algorithms and software
-Stochastic optimization
-Robust optimization
-Multi-objective optimization
-Portfolio selection and management
-Optimizing risks in risk management
-Asset and liability management
-Capital budgeting and allocation
-Asset pricing and index funds

With many theoretical, numerical and computational advances recently developed in the field of optimization, their potential applicability in finance and risk management remains to be established. This workshop aims to bridge the gap between academic research and practical financial and risk management applications. It aims to bring together both academia and industrial practitioners. In addition, a third party needs to be involved, namely the developers of commercial and open-source optimization solvers and modeling languages that provide the interface between financial optimization models and their solution.

Establishing research links between industry and academia as well as promoting organizations such as the Fields Institute, Mitacs, CORS and PRMIA that support such collaborations is another workshop goal. The first Industrial-Academic Workshop on Optimization in Finance and Risk Management took place on October 3-4, 2011 at the Fields Institute and was attended by more than 80 participants. The second Industrial-Academic Workshop on Optimization in Finance and Risk Management took place on September 23-24, 2013 at the Fields Institute and was attended by more than 90 participants. The idea of transforming this workshop into a regular event was highly supported by the previous workshops’ participants.

 

For more information, please visit the official congress website here: www.optimization-in-finance.ca

Program

To keep up-to-date with the Workshop schedule, please visit: http://www.optimization-in-finance.ca/final-program

 

 

Registered Participants

Ali Al-Aradi, University of Toronto
Michael Andrushchenko, Ontario Teachers' Pension Plan
Pavan Aroda, York University
Kwadwo Asamoah, Stony Brook University
Mina Attari, McMaster University
Andrew Aziz, IBM
B. Ross Barmish, University of Wisconsin
Ali Bashiri, University of Toronto
Azamat Berdyshev, University of Toronto, Faculty of Applied Science and Engineering
Sriram Bhakth, Dalhousie University
Christopher Briggs-Lawrance, TD Bank Group
Navin Chari, Dalhousie University
Simon Clift, dS/S Computational Finance Inc
Shaun Cumby, Enfield Capital
Yingjun Deng, University of Waterloo
Trang Do, University of Waterloo
David Farahany, University of Toronto
Maxime Fender, Artelys Canada
Jackson Feng
Marcelo Figueroa, JP Morgan
Surinder Singh Gerwal, Verka Milk Plant
Roumen Grozev, OSFI
Peiliang Guo, University of Toronto
Jean-Paul Haddad, OSFI
Andres Hernandez, IBM Risk Analytics
Andrew Heunis, University of Waterloo
Xuancheng Huang, University of Toronto
Jitin Krishnan, George Mason University
Alexey Kuznetsov, York University
Roy Kwon, University of Toronto
Yuri Lawryshyn, University of Toronto
Suzanne Ledderhof, TD Bank
Chi-Guhn Lee, University of Toronto
Jonathan Li, University of Ottawa
Mufan Li, University of Toronto
Yuying Li, University of Waterloo
Liping Liu, Lakehead University
Paulo Machado, RBC Capital Mkts
Xin Man, McMaster University
Helmut Mausser, IBM
Kirill Mayorov, Royal Bank of Canada
Yuri Medvedev, Bank of Montreal
Shuchao Meng, McMaster University
Yasaman Mohseni, McMaster University
Mir Hashem Moosavi Avonleghi, University of Western Ontario
Mikhail Nediak, Queen's University
Ke Nian, University of Waterloo
Amir Nosrati, University of Alberta
Dessislava Pachamanova, Babson College
Eric Peng, FINCAD
Oksana Pichugina, Brock University
Zhen Qin, University of Toronto
Oleksandr Romanko, IBM
David Romero, University of Toronto
Anton Rubisov, University of Toronto Institute for Aerospace Studies
Tom Salisbury, York University
David Saunders, University of Waterloo
Azam Shamsi Zamenjani, McMaster University
Quentin Shao, McMaster University
Pooyan Shirvani, Sunnybrook Research Institute
Paolo Sironi, IBM
Florin Spinu, OMERS
Anton Tenyakov, TD
Tuan Tran, McMaster University
Charles Tsang, Scotiabank
Simon Vaysman, TD Bank
Luyu Wang, University of Waterloo
Sukun Wang, York University
Xuhui Wang, McMaster University
Yijia Wang, Mcmaster University
Naomi Lynne Wolfson, TD Bank
Dexter Wu, University of Toronto
Grace Yan
Alex Yang, University of Toronto
Fenghao Yang, York University
Yi leng Yao, York University
Michael Zerbs, Scotiabank
Xing Shuo Zhai, University of Toronto
Han Zhang, Mcmaster University
Minyao Zhou, McMaster University


Last updated October 8