Research in Options 2020

IMPA, Rio de Janeiro, November 29 – December 02, 2020 – Turned into an online event



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 fifteenth 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.


Scientific Committee

Marco Avellaneda (New York University)
Bruno Dupire (Bloomberg & New York University)
Luciano Irineu de Castro (IMPA)
Roberto Imbuzeiro (IMPA)
Alfredo Iusem (IMPA)
Jorge Zubelli (Khalifa University)


Local Committee

Luciano Irineu de Castro (IMPA)
Alfredo Iusem (IMPA)
Roberto Imbuzeiro (IMPA)
Yuri Saporito (FGV)
Max Souza (UFF)
Rodrigo Targino (FGV)
Jorge Zubelli (Khalifa University)
Suely Lima (IMPA)











Postal Address: Instituto de Matemática Pura e Aplicada 
Estrada Dona Castorina 110, Jardim Botânico
Rio de Janeiro, RJ, CEP 22460-320, Brasil