Research In Options 2008

Angra dos Reis, Rio de Janeiro, November 24 – 26, 2008 

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 third conference hosted by IMPA on the subject. It  is a follow up of two highly successful previous ones. Namely, Math. and Finance: From Theory to Practice and Math. and Finance: Research in Options. Each one had in its attendance about 100 participants evenly spread from academia and industry. This year we will focus on different aspects of option pricing ranging from fixed income and volatility trading to real options. We will also have special sessions on risk management and portfolio optimization.

Organizing Committee

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

Real Options Matheus Grasselli

Commodity Derivatives – Sebastian Jaimungal

15 Years of Local Volatility – Bruno Dupire


Apresentações especiais:

  • Weak approximations of wiener functionals, Alberto Ohashi e Dorival Leão
  • First Passage for stochastic volatility models, Marc Jeannin
  • Term structure of CDOs, Ludger Overbeck
  • Approximate Calibration of the SABR smile, Fabricio Tourrucôo
Postal Address: Instituto Nacional de Matemática Pura e Aplicada 
Estrada Dona Castorina 110, Jardim Botânico
Rio de Janeiro, RJ, CEP 22460-320, Brasil