11/12/2020

Research in Options maintains the 'spirit' of the area, says Imbuzeiro.

With a broader range of topics and the participation of renowned researchers from around the world, Research in Options concludes its 15th edition with positive results, and even more consolidated. Organized virtually by IMPA in early December, the conference brought together professionals from academia and industry to discuss problems and solutions in the field of finance. The presentations by the 33 invited speakers addressed different subjects, such as options pricing, volatility trading, real options, commodities, algorithmic trading, and risk management. More than 800 certificates were issued to participants.

“It is very important to be aligned with market realities in order not to lose sight of the area's objectives and to contribute significantly to decisions in the world of finance. Contact is important to maintain this spirit. It is through this interaction that it becomes clear to academics what the problems of companies are and, for industry, what tools we have to offer,” commented IMPA researcher Roberto Imbuzeiro , a member of the event's scientific committee.

According to Imbuzeiro, the greater variety of topics in this year's program confirms that the conference is keeping an eye on market trends. “Some topics, such as midfield games, which serve to model the behavior of market investors, had already appeared before. But this year we had more lectures on artificial intelligence and machine learning for investment strategies, which, from a mathematical point of view, are still poorly understood topics.”

Jorge Zubelli , a researcher at IMPA until 2019, who is currently at Khalifa University, highlighted some new features of this year's edition. “The virtual format already allowed participants to present a pre-recorded video, which is becoming a trend in virtual conferences. We also innovated by opening virtual chat rooms during the coffee break.” A member of the conference's scientific committee, which he has coordinated since 2006, he considers that the 15th edition of Research in Options “exceeded all expectations.”

Osvaldo Assunção, who holds a Master's degree from IMPA in mathematical methods in finance, took advantage of his Sunday off from Guide Investimentos, where he works as a data scientist, to attend the first day of the conference, which he was participating in for the third time. “I always try to participate in these events to stay updated on research topics. The presentations are usually very advanced for me, but I like to know what is being researched and to be familiar with the bibliography,” he commented.

Professor Jean-Pierre Fouque's (University of California) lecture was one of his favorites, Osvaldo recounts. "I'm biased because I was his student and I simply love his presentations, so it was my favorite. Even more so because I saw that he's combining a subject he's been researching for a long time, mean field games , with machine learning , which is all the rage right now."

Looking ahead, the idea is to transform the conference into a traveling, semi-virtual event, so that part of the group can participate via videoconference, Zubelli anticipated.

The 15th meeting was a continuation of previous editions of Research in Options, which brought together around 100 participants each time, distributed between academia and industry. The conference was designed to bring together academics and professionals in a relaxed and productive interaction, based on IMPA's tradition of providing qualified training in cutting-edge applied mathematical research.