November 26, 27 and 29, 2004

This interdisciplinary event aims to bring together high-level mathematicians and participants from the financial industry to explore the potential of mathematical and computational modeling techniques, particularly in the pricing of derivatives, credit instruments, and risk analysis.

Main Topics Covered

  • Stochastic Volatility Models
  • Model Calibration and Inverse Problems in Finance
  • Risk Analysis and Modeling
  • Computational Methods in Finance

Organizers

  • Marco Avellaneda, Courant Institute of Mathematical Sciences, NYU
  • Bruno Dupire, Bloomberg, NY
  • Pedro Paulo Schirmer, IME-USP
  • Jorge P. Zubelli, IMPA

Lectures

  • Expedito Afonso (Banco do Brasil) – Risk Management in Banks
  • Aloisio Araujo, IMPA – General Equilibrium with Bankruptcy and Its Consequences
  • Vladimir Belitsky, IME – USP – Identification of change in asset's dependence in market booms and crises via implicit coefficient of extreme dependence
  • Elsa Cortina, IAM – Buenos Aires – Valuation of Argentine and Brazilian sovereign debt during the Argentine debt crisis.
  • Bruno Dupire, Bloomberg – Volatility Derivatives: Products, Modeling and Arbitrage
  • Rosane Riera Freire, PUC-Rio – The Statistical Physics of the Financial Market
  • Caio Ibsen, IBMEC – Affine Processes, Arbitrage-Free Term Structures of Legendre Polynomials and Option Pricing
  • Eduarda La Rocque, Risk Control – Risk Management
  • Beatriz Vaz de Melo Mendes, DME-IM/UFRJ – Assessing asymmetric extreme interdependencies using copulas
  • Helio S. Migon, UFRJ – Bayesian Modeling of Time-varying Variances: a survey with applications to the Brazilian Market
  • Marcelo Nazareth, NETQUANT – Portfolio Selection with Stochastic Transaction Costs
  • Guy Perelmuter, Banco Pactual – Risk Control Systems
  • Fernando Pigeard, IME-USP – Multiple market equilibria, bubbles and crashes explained by heterogeneity of fundamental value evaluations and social susceptibilities
  • Fernando Quineche, NETQUANT – Using Robustness in Resource Allocation
  • Claudia Sagastizábal, IMPA – Optimization of Energy Contract Portfolios via CVaR.
  • Max Souza, UFF – Asymptotic Behavior of the Black-Scholes Model with Stochastic Volatility.
  • Gyorgy Varga, FCE – Some Problems of Quantitative Finance in Brazil

Information

zubelli@impa.br
ensino@impa.br