Research in Options 2010

Angra dos Reis, Rio de Janeiro, de 26/11 até 02/12, 2010

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. The conference aims at showing the applications of theoretical advances to practitioners, with a special focus to Brazil.

This is the fifth conference hosted by IMPA on the subject. It is a follow up of four highly successful previous ones. Each one had in its attendance about 100 participants evenly spread from academia and industry.

This year, we will precede the conference with two days of minicourses. The minicourses will be aimed at practioners and students. They are

Risk Management in the Financial Industry (Geraldo Filgueiras)
Stochastic Volatility with Fast Mean Reversion (Jean-Pierre Fouque)
Asset Price Bubbles: Economics, Mathematics and Statistics (Matheus Grasselli)
Dimensionality Reduction and Factor Modelling (Luiza Miranyan)

Organizing Committee

Marco Avellaneda – Courant Institute, USA
Bruno Dupire – Bloomberg, USA
Jorge Zubelli – IMPA, Brazil


Path-Dependence Properties of Leveraged Exchange-Traded Funds: Compounding, Volatility and Option Pricing
Marco Avellaneda (Courant Institute, USA)

High frequency trading
Marco Avellaneda (Courant Institute, USA)

Timer-style options, Design, Pricing and Practice
Carole Bernard (Waterloo, Canada)

Historical moments
Bruno Dupire (Bloomberg, USA)

Heston 1.5
Jean-Pierre Fouque (UCSB, USA)

On Quasiconvex Dynamic Risk Measures
Marco Fritelli (Milano, Italy)

The priority option: the value of being a leader in complete and incomplete markets
Matheus Grasselli (McMaster University, Canada)

From Spot Volatilities to Implied Volatilities
Julien Guyon (Société Générale)

Implied Density Models for Dynamics Asset Pricing
Lane Hughston (Imperial College London, UK)

Asymptotics of Implied Volatility
Roger Lee (U. Chicago, USA)

Trading to Stops
Chris Rogers (Cambridge, UK)

Stochastic Differential Games and Applications to Energy and Consumer Goods Markets
Ronnie Sircar (Princenton, USA)

Minicourses / Special Sessions

Risk Management in the Financial Industry (Geraldo Filgueiras)

Multiscale Stochastic Volatility Models and Perturbations Methods (J-P. Fouque)

Asset Price Bubbles: Economics, Mathematics and Statistics (Matheus Grasselli)

Dimensionality Reduction and Factor modelling (Luiza Miranyan)

Conclusioin Minicourse on Factor Modelling (Luiza Miranyan)

Poster Session

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 using Poster Session as subject. The standard adopted for posters is size A0 vertical. Deadline for submission of posters: October 23rd, 2010.

List of Posters

Calibration of Volatility Surface with Market Data
Vinicius V. L. Albano

Iterative Calibration of Local Volatility Surface
Adriano de Cezaro

A Level Set Approach to Optimal Stopping Time in American Options
Fabiana Travessini de Cezaro

Markov-Chain Approximation Method for a Class of Lévy Processes
Francesco Mina (Imperial College London)

A Maximum Principle for Multidimensional BSDEs
Sumit Sinha

Contributed Communications

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 using Contributed Communications as subject. Deadline for submission of the contributions and posters: October 23rd, 2010.

Contributed Program

List of Contributed Communications

Forward e quations for option prices in semimartingale models
Amel Bentata (École Normale Superieure de Paris, France)
WEDNESDAY, 01 – 5:00 – 5:30PM

Statistical Arbitrage, Long-Short Equity Pairs Trading, A Cointegration Approach Applied to Brazilian Market Data
João F. Caldeira (Sicredi Asset Management e PPGE-UFRGS)
WEDNESDAY, 01 – 3:00 – 3:30PM

Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator
Youngna Choi (Montclair State University)
WEDNESDAY, 01 – 3:30 – 4:00PM

Properties of Doubly Stochastic Poisson Process with affine intensity
Alan de Genaro
WEDNESDAY, 01 – 6:30 – 7:00PM

The smile in stochastic volatility models
Julien Guyon (Société Générale)
TUESDAY, 30 – 6:30 – 7:00PM

The implied integrated variance a Bayesian approach
Ruth Kaila (Helsinki University of Technology)
WEDNESDAY, 01 – 4:00 – 4:30PM

Exploration and Exhaustibility in Dynamic Cournot Games
Mike Ludkovski (Santa Barbara, CA)
WEDNESDAY, 01 – 2:30 – 3:00PM

Efficient Monte Carlo For Discrete Variance Derivatives
Nicolas Merener (Business School, UTDT)
TUESDAY, 30 – 7:00 – 7:30PM

On improving the responsiveness of the fundamental factor models
Luiza Miranyan (Bloomberg, USA)
WEDNESDAY, 01 – 5:30 – 6:00PM

Investment Decision in a New Credit Score System
Gyorgy Varga (FCE Consulting)
WEDNESDAY, 01 – 7:00 – 7:30PM

Special Sessions

Special Session on Brazilian Markets

Special Session on Commodities and Energy

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: September 30th, 2010.


As you may know, Hotel Portogalo (where the conference will take place) is located in Angra dos Reis, about 150 kilometers from Rio de Janeiro.
Transportation will be provided as follows:

Going to Hotel Portogalo – From Rio de Janeiro to Angra dos Reis


Bus 1 – The bus will leave from IMPA (Estrada Dona Castorina, 110 – Jardim Botanico) at 8 a.m., on November 27, stopping by the international airport, (Terminal 2) in the exit of AF 442 flight and then leave the airport by 9 a.m. heading to Angra dos Reis. The trip takes about 3 hours.

BUS 1 LIST November 27th


Bus 2 – The bus will leave from IMPA (Estrada Dona Castorina, 110 – Jardim Botanico) at 3 p.m., on November 28, heading to Angra dos Reis. The trip takes about 3 hours.

BUS 2 LIST November 28th

Back from Angra dos Reis to Rio de Janeiro


The bus will leave Hotel Portogalo on Thursday, December 2th, at 8:00 a.m. stopping at the international airport and the final stop will be at IMPA.

If you intend to use this service, please send us an e-mail to confirming in which bus you would like to register.

There are also several regular bus lines from Rio de Janeiro to Angra dos Reis.
Click here to visit the site in Portuguese.

Visa Information

Please check the link Visa Information to find out whether you need a VISA to enter Brazil (US and Canadian citizens do; citizens from most European countries do not). Let us know in case you do need a VISA, so we can provide an invitation letter.

Please send any inquiries to


Registration Fees (due upon arrival):

Industry (and others that are not in academy):
R$ 1000

R$ 200

R$ 40

Registered Participants


Conference and Minicourse Schedule

Tentative Programs


Conference Program

Event Webpage


Venue: Hotel Portogalo


Hotel Reservation

IMPORTANT: Reservations to get the group rate should be made through our travel agent ( Please do make a copy to of such communications.

IMPORTANT NOTE TO INDUSTRY PARTICIPANTS: Please make your reservation asap. We cannot guarantee availability of hotel space for reservations after 15/11/2010. We urge you to make your reservation before this date.

IMPORTANTE: Reservas devem ser feitas o mais cedo possível. Após 15/11/2010 os quartos da reserva em bloco que efetuamos e que não foram utilizados serão liberados.

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 using Proceedings and Abstracts as subject. Deadline for submission of the contributions and abstracts: October 23rd, 2010.




Activity – December 2nd

On Thursday, December 2nd, 2010, we will have a small meeting at IMPA to cellebrate the agreement between the Brazilian Agency CAPES and the Canadian MITACS.

The plan is to have a seminars on the topic of Mathematical Finance and Risk Management between some of the scientists from both sides participating in the network. The meeting will finish with a small presentation by Dr. Olga Stachova, representing MITACS and a cocktail.

The schedule goes as follows:

2:30-3:20PM – Carole Bernard (Waterloo)
Cost-efficiency and Bounds for insurance prices

3:30-4:20PM – Matheus Grasselli (McMaster)
Interbanking network: formation, topology and contagion

4:30-5:20PM – Jorge P. Zubelli (IMPA)
Real Option Valuation with Uncertain Costs

5:30-6:30 PM – Olga Stachova
Description of the MITACS program.

6:30 – 7:00PM – Closing

7:00 PM – Cocktail.


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