Research in Options 2014
Búzios, Rio de Janeiro, from 11/28 to 12/04, 2014
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 ninth 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.
Accommodation
Venue: Hotel Atlântico Búzios
IMPORTANT: Reservations to get the group rate should be made through our travel agent (micheleleite@mmxcongressos.com) Please do make a copy to eventos@impa.br of such communications
Arrival, Departure and Transportation
The arrival date for those that will participate in the minicourses is Friday (Nov. 28), and on Sunday (Nov. 30) for all others.
A bus will depart from IMPA on Friday and Sunday, November 28 and 30th, respectively, at 3PM and will return to IMPA in the morning of December 4th. The trip takes about 3 hours. Registered participants are welcome to join the bus on either way. To do that please make sure you register and send a message to eventos@impa.br with subject “transportation”. Participants requiring special arrangements due to time or physical constraints are kindly requested to contact us at the above email for further information..
Certificates
Committee
Organizing Committee
Marco Avellaneda – Courant Institute, USA
Bruno Dupire – Bloomberg, USA
Jorge Zubelli – IMPA, Brazil
Contributed Communications
Juan C. Arismendi de Almeida (ICMA-Centre, Henley Business School, Univ. of Reading)
An Analytic Approximation of the Implied Risk-neutral Density of American Multi-asset Options
Youngna Choi (MSU – Montclair State University)
Financial Instability Contagion: modeling and data calibration
José Faias and João Pereira de Almeida (Católica Lisboa School of Business and Economics)
Option-implied information and return prediction
Julien Guyon (Bloomberg, USA)
Rethinking the FIFA World Cup final draw
Ruth Kaila (Univ. of Helsink)
Integrated variance and the Heston model
Nikolai Kolev (University of São Paulo)
Extreme Dependence Modelling in Energy Markets using Sibuya-type Copulas
Juan Pablo Luna (UFRJ)
Benders Decomposition for Equilibrium Problems with Risk Aversion
Douglas Machado
Comments on a bid-ask model for liquid markets
Felipe Macias (IMPA)
Numerical Methods and Models for Portfolio Liquidation and Risk Quantification
Alberto Pinto (Porto)
Optimal Life Insurance, Consumption and Investment
Yuri Saporito (University of Santa Barbara, California, EUA)
Recent Developments on Functional Itô Calculus – Lie Bracket and Tanaka Formula
Max Oliveira de Souza (UFF)
A Hedged Monte Carlo Approach to Real Option Pricing
Gyorgy Varga (FGV – Brazil)
Equity Liquidity Premium in Brazil
Xu Yang (IMPA)
Options on the Bill of Lading
We will have a number of thematic sessions on topics of interest. To cite a few: Option Pricing, Portfolio Optimization, Risk Management, Real Options. These sessions will be composed of contributed communications of 30 minutes. Contributions should be sent to math.fin.impa@gmail.com using Contributed Communications as subject.
Event Webpage
Minicourse Program: click here.
Conference Program: click here.
Contributed Presentation Program: click here.
Plenary Talks and Abstracts
Marco Avellaneda (Courant Institute, USA)
The Measurement of Prepayment & Interest Rate Risks of Mortgage-Backed Securities
Carole Bernard (Waterloo University, Canada)
Implied dependence versus implied correlation
Raphael Douady (Riskdata, USA)
The Whys of the LOIS: Credit Skew and Funding Rates Volatility
Bruno Dupire (Bloomberg, USA)
A Few Myths in Quantitative Finance
Ernst Eberlein (University of Freiburg, Germany)
Valuation in illiquid markets and the Feynman-Kac representation
Matheus Grasselli (McMaster University, Canada)
A stock-flow consistent macroeconomic model for asset price bubbles
Emmanuel Gobet (École Polytechnique, France)
Rare Event Simulation Using Reversible Shaking Transformations
Julien Guyon (Bloomberg, USA)
Path-Dependent Volatility
Lane Hughston (Brunel University London, UK)
Interest in the Long Term
Sebastian Jaimungal (University of Toronto, Canada)
A Mean Field Game approach to Optimal Execution
Roger Lee (U. Chicago, USA)
Volatility skews of leveraged products in asymptotic regimes
Terence Ma (South Street Securities, USA)
The Measurement of Prepayment & Interest Rate Risks of Mortgage-Backed Securities
Teemu Pennanen (King’s College, UK)
Optimal investment and contingent claim valuation in illiquid markets
Chris Rogers (Cambridge, UK)
Combining different models
Claudia Sagastizabal (IMPA)
On Modelling and Solving Risk-Averse Stochastic Equilibrium Problems
Uwe Schmock (T.U. Vienna, Austria)
Conditional Weighted Expected Shortfall, Conditional Distortion Risk Measures, and Application to Risk Capital Allocation
Martin Schweizer (ETH Zurich)
A new look at stochastic Fubini theorems
Carlos Vázquez (A Coruña, Spain)
Speed up of derivatives pricing and calibration with SABR models in GPUs
Lakshithe Wagalath (IESEG, Paris)
Institutional investors and the dependence structure of asset returns
Jorge Zubelli (IMPA)
Commodities, Derivatives on Futures, and Multiscale Models
Minicourses
Matheus Grasselli (McMaster University, Canada)
Dynamical Systems and Financial Instability – new modelling insights and empirical validation
Sebastian Jaimungal (University of Toronto, Canada)
Algorithmic and High Frequency Trading: Data, Models & Methods
Lakshithe Wagalath (IESEG Paris, France)
Systemic risk and fire sales
Poster Session
Rafael Aguilera Mazzei (IME-USP)
Smile effect in a stochastic volatility model applied to vale PNA call options
Luciana S. Blatter (Puc-Rio), Cristiano Fernandes (Puc-Rio) and Jorge Zubelli (IMPA)
Risk analysis of a portifolio of commodities
David Evangelista (IMPA)
1. Analysis of a Multi-Factor Model for Commodities Futures
David Evangelista (IMPA), Juan Pablo Luna (COPPE) and Lucas Farias (IBMEC)
2. Market Neutral Portfolios
Leandro Ferreira,Jayme Pinto and Nikolai Kolev
Option Price Modeling via Extended Marshall-Olkin Distributions
Sérgio Maffra (Steel Works Engineering)
Non-Gaussian Conditional Volatility Estimates for Multivariate Returns
Arthur Mendes Alves (Univ. Federal do Rio Grande, RS)
Option Pricing:a probabilistic approach
Federico de Olivera (Univ. de La Republica, Uruguai)
Implied Volatility Smirk in Levy Markets
Andrés Sosa (Univ. de La Republica, Uruguai)
Dynamic modelling of interest rate for the Uruguayan debt
Xu Yang and Jorge Zubelli (Univ. Federal do Rio Grande, RS)
Some Generalizations of the Black-Litterman Approach for the Skew Normal Market
We will hold a poster session during part of the evenings so as to encourage the contribution of research and projects currently developed by students. Posters should be sent to:math.fin.impa@gmail.com using Poster Session as subject. The standard adopted for posters is size A0 vertical.
Proceedings and abstracts – Call for papers
We will have a peer reviewed volume of contributions accompanying the conference on research topics related to those of the conference.Guideline for contributions: Standard AMS proceedings LaTeX style of up to 10 pages. Guideline for the abstracts: Standard AMS proceedings LaTeX style of up to 1 page. Submissions should be sent to math.fin.impa@gmail.com using Proceedings and Abstracts as subject.
Deadline for submission of the contributions and abstracts: October 30th, 2014.
Program
Contributed Communications Program
Minicourse Program and Poster Session
Registration
Prices for Registration
| Category | Prices |
| Industry (and others that are not in academy) | R$ 1.000,00 |
| Academic | R$ 200.00 |
| Students (Master and Ph.D) | R$ 40.00 |
Registered Participants
Student Participation
Student participation from related areas to financial engineering and applied mathematics is highly encouraged. In order to encourage student participation a special fee was arranged. In order to qualify for such fee you must be able to provide a proof of current registration on an institution of higher education (“instituição de ensino superior” IES by Capes/MEC definition or by EU definition).
Deadline for application for student support: October 30th, 2014.
Venue: Hotel Atlântico Búzios
Postal Address: Instituto Nacional de Matemática Pura e Aplicada
Estrada Dona Castorina 110, Jardim Botânico
Rio de Janeiro, RJ, CEP 22460-320, Brasil
E-mail: eventos@impa.br
