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THEMATIC PROGRAMS |
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| December 22, 2024 |
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2010 (Winter/Spring) Thematic Program on Quantitative Finance:
Foundations and Applications
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| 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) |
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Mailing List : To receive updates on the program please subscribe to our mailing list at www.fields.utoronto.ca/maillist
Outline of Scientific Activities
The program will run with full intensity throughout the 6-month duration. Beyond the core program of weekly seminars plus independent and collaborative research, there will be a series of workshops, forums and graduate courses.
A. Core Program
A variety of activities will be ongoing throughout the duration of the program. A number of international researchers, principally academics in mathematics, economics and statistics departments, will be participants for periods longer than one month. In addition, we intend to host senior visitors from industry, business schools, and other non-mathematical areas for shorter periods. Overall, we hope to maintain numbers at ten to fifteen senior participants throughout the duration of the program. Besides engaging in independent research and research collaborations with each other, a principal responsibility of our senior visitors will be to communicate with and mentor the junior participants, who will include local and international doctoral students plus upwards of fifteen international postdoctoral fellows.
We will incorporate the well-established Fields Quantitative Finance Seminar Series and the PRMIA Risk Manangement Seminar Series as part of the Program. In addition there will be a weekly schedule of visitors seminars to be given by program participants on Tuesday afternoons.
B. Workshops
There will be four workshops during the program, each conducted at a moderate pace with around five invited talks per day, given by senior researchers. The first workshop will concentrate on mathematical aspects of finance and be of primary interest to academics, while the other three will reach to a broader audience including industry practitioners.
January 11-15, 2010
Workshop on Foundations of Mathematical FinanceMarch 22- 24, 2010
Workshop on Computational Methods in FinanceApril 23-24, 2010
Workshop on Financial EconometricsMay 24- 28, 2010
Workshop on Financial Derivatives and Risk Management
C. Lecture Series
Coxeter Lecture Series, April 6-8, 2010
Nicole El Karoui, Professor of Applied Mathematics, Center for Applied Mathematics, Ecole Polytechnique
Nathan and Beatrice Keyfitz Lectures in Mathematics and the Social Sciences, Thursday, April 15, 2010
Robert C. Merton, John and Natty McArthur University Professor, Harvard Business SchoolDistinguished Lecture Series, April 21-23, 2010
Darrell Duffie, Dean Witter Distinguished Professor of Finance at The Graduate School of Business, Stanford University
D. Industrial-Academic Forums
These will be two-day meetings, which aim to bring together industry practitioners and academics. We envisage a format with several longer “plenary” talks by established experts, followed by shorter more speculative talks from industry and academia. An important part of any forum will be a roundtable bringing together academics and practitioners, which we intend to schedule before the forum banquet.
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Affiliated Activities
E. April 30, 2010
How I Became a Quant
A panel discussion for students interested in a career in quantitative finance, followed by a special reception with recruiters.
Moderator: John Hull (Toronto)
Panelists: Raphael Douady (Riskdata), Marco Avellaneda (NYU)
Petter Kolm (NYU), Chuang Yi (RBC Capital Market)
F. May 19 - 21, 2010
Workshop
on Financial Networks and Risk Assessment
The workshop is part of the MITACS International Focus Period on
Advances in Network Analysis and its Applications (FP-Nets)
G. June 17,18,19 --2010
14 International Congress on Insurance:
Mathematics and Economics
University of Toronto
H. June 22-26, 2010
6th World Congress of the Bachelier
Society
Hilton Hotel, Toronto
To bring the thematic program to a conclusion we will host the 6th World Congress of the Bachelier Finance Society. This is the premier event in the international quantitative finance calendar, attracting over 500 participants every two years. Past venues have been Paris (2000), Crete (2002), Chicago (2004), Tokyo (2006), and London (2008).
G. Graduate Courses
Course 1: Foundations of Mathematical Finance (Instructor: M. Grasselli. Guest lecturers: M. Frittelli, E. Platen, S. Pliska)
- Portfolio selection problem
- Fundamental theorem of asset pricing
- Semimartingale theory
- Primal and dual utility optimization problems
- Risk measure
Course 2: Interest rates and credit risk (Instructor: T. Hurd. Guest lecturer: T. Bjork and K. Giesecke)
- Spot rate models
- Heath-Jarrow-Morton theory
- Libor market models
- Structural credit risk models
- Reduced form credit risk models
- Multifirm default and correlation modeling
- Basket credit derivative
Course 3: Stochastic control, BSDEs, and applications to finance (Instructor: N. Touzi)
- Numerical partial differential equations
- Numerical solution of forward and backward stochastic DEs
- Monte Carlo and quasi Monte Carlo methods
- Statistical estimation of econometric models
- Spectral and Lattice method
H. Confirmed Participants
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Fields Research Immersion Fellow
Agnes Tourin, McMaster University
Postdoctoral Fellows
The Thematic Program on Quantitative Finance: Foundations and Applications is pleased to welcome the following Postdoctoral Fellows to the Program:
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