Research in Options 2019

IMPA, Rio de Janeiro, November 29 – December 05, 2019

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 fourteenth 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.   

***Official hotels and agencies are not allowed to contact participants, unless he/she had already contact the hotel previously. To make a reservation, please contact the hotel of your choice directly.*** 

• Certificates
• Group Picture
• Live Streaming
• Videos of the Talks
• Minicourse Program
• General Program
• Contributed Talk Program
• Minicourses
• Invited Speakers
• Contributed Talks
• Visa Information
• Previous meetings and pictures

Scientific Committee

Marco Avellaneda (Courant Institute)
Bruno Dupire (Bloomberg)
Jorge P. Zubelli (IMPA & Khalifa University)

Local Committee

Yuri Saporito (FGV)
Max Souza (UFF)
Jorge P. Zubelli (IMPA & Khalifa University)
Rodrigo Targino (FGV) 
Suely Lima (IMPA) 

Contact

Postal Address: Instituto de Matemática Pura e Aplicada 
Estrada Dona Castorina 110, Jardim Botânico
Rio de Janeiro, RJ, CEP 22460-320, Brasil 
E-mail: math.fin.impa@gmail.com
or lamca@impa.br