Venue
Atlântico Búzios Convention Center
Atlântico Búzios Convention Center , Estrada da Usina, 294 Morro do Humaitá - Armaço de Buzios Rio de Janeiro - Brasil

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Event Date Sat Nov 24 EST - Wed Nov 28 EST (about 3 years ago)
Location Atlântico Búzios Convention Center
Estrada da Usina, 294 Morro do Humaitá - Armaço de Buzios Rio de Janeiro - Brasil
Region Americas
Details

Honoring Bruno Dupire’s 60th Birthday
Búzios, Rio de Janeiro, November 24 – 28, 2018

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 thirteenth 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.

Speakers

2018 Speakers:

Marco Avellaneda
(Courant Institute, USA)

Artur Avila
(IMPA)*

Carole Bernard
(Grenoble Ecole de Management & Vrije Universiteit Brussel), Option Implied Dependence

Guillaume Blacher
(Bank of America), Fixed Point Method for Fast Smile Calibration of Hybrid Model

Peter Carr
(NYU Tandon School of Engineering)

Giorgio Consigli
(Università degli Studi di Bergamo), Derivatives-based portfolio management via multistage stochastic programming

Stephane Crépey
(Université Evry Val d´Essonne), Uncertainty Quantification for XVA Applications

Raphael Douady
(SUNY Stony Brook)

Bruno Dupire
(Bloomberg, USA)

Ernst Eberlein
(Universität Freiburg) Multiple curve Lévy forward price model allowing for negative interest rates

Jean-Pierre Fouque
(University of California) On Fairness of Systemic Risk Measures

Martino Grasselli (Padova University, Italy & Devinci Research Center, France)
(Padova University, Italy & Devinci Research Center, France) Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)

Matheus Grasselli
(McMaster University, Canada)

Julien Guyon
(Bloomberg, USA) On the Joint Calibration of SPX and VIX Options

Lane Hughston
(Goldsmiths College, University of London, UK)

Sebastian Jaimungal (Univ. of Toronto)
(Univ. of Toronto) Mean Field Games with Differing Beliefs for Algorithmic Trading

Nicole el Karoui
(École Polytechnique, France) Ramsey Rule and Long Term Interest rates in public policy or regulation simulation

Alex Lipton
(École Polythechnique, France)

Jan Obloj
(University of Oxford) Robust Pricing and Hedging in Practice

Alberto Pinto
(University of Porto, Portugal) Implications of International Trade Agreements

Antoine Savine
(Danske Bank Copenhagen)

Uwe Schmock
(Vienna University of Technology) Geometry of Distribution-Constrained Optimal Stopping Problems

Martin Schweizer
(ETH Zürich) Dynamic mean-variance optimization problems with deterministic information

Josef Teichmann
(ETH Zürich) Scenario generation by machine learning techniques

Lakshithe Wagalath
(IÉSEG, France) Strategic Fire-Sales and Price-Mediated Contagion in the Banking System

*To be Confirmed

Sponsors & Partners

2018 Sponsors:

• Bloomberg
• Capes
• Chaire Risques Financiers
• FAPERJ
• FGV
• PROPPI
• UFF