Research in Options 2009

Buzios, Rio de Janeiro, November 23 – 25, 2009  

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 fourth conference hosted by IMPA on the subject. It  is a follow up of three highly successful previous ones. 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.



Julien Guyon (Société Générale) – Numerical Methods for Nonlinear Problems in Quantitative Finance

Marco Avellaneda (NYU) – Statistical Arbitrage and Systematic Trading Strategies

Matheus Grasselli (McMaster) – Real Options and Game Theory

Sasha Stoikov (Cornell) – Market Microstructure


Organizing Committee:

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


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