Research in Options 2014

Búzios, Rio de Janeiro, from 11/28 to 12/04

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 ninth 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.


Venue: Hotel Atlântico Búzios

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

Arrival, Departure and Transportation

The arrival date for those that will participate in the minicourses is Friday (Nov. 28), and on Sunday (Nov. 30) for all others.

A bus will depart from IMPA on Friday and Sunday, November 28 and 30th, respectively, at 3PM and will return to IMPA in the morning of December 4th. The trip takes about 3 hours. Registered participants are welcome to join the bus on either way. To do that please make sure you register and send a message to with subject “transportation”. Participants requiring special arrangements due to time or physical constraints are kindly requested to contact us at the above email for further information..

Bus list:




Poster Lecture


Organizing Committee

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

Contributed Communications

Juan C. Arismendi de Almeida (ICMA-Centre, Henley Business School, Univ. of Reading)
An Analytic Approximation of the Implied Risk-neutral Density of American Multi-asset Options

Youngna Choi (MSU – Montclair State University)
Financial Instability Contagion: modeling and data calibration

José Faias and João Pereira de Almeida (Católica Lisboa School of Business and Economics)
Option-implied information and return prediction

Julien Guyon (Bloomberg, USA)
Rethinking the FIFA World Cup final draw

Ruth Kaila (Univ. of Helsink)
Integrated variance and the Heston model

Nikolai Kolev (University of São Paulo)
Extreme Dependence Modelling in Energy Markets using Sibuya-type Copulas

Juan Pablo Luna (UFRJ)
Benders Decomposition for Equilibrium Problems with Risk Aversion

Douglas Machado
Comments on a bid-ask model for liquid markets

Felipe Macias (IMPA)
Numerical Methods and Models for Portfolio Liquidation and Risk Quantification

Alberto Pinto (Porto)
Optimal Life Insurance, Consumption and Investment

Yuri Saporito (University of Santa Barbara, California, EUA)
Recent Developments on Functional Itô Calculus – Lie Bracket and Tanaka Formula

Max Oliveira de Souza (UFF)
A Hedged Monte Carlo Approach to Real Option Pricing

Gyorgy Varga (FGV – Brazil)
Equity Liquidity Premium in Brazil

Xu Yang (IMPA)
Options on the Bill of Lading

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.

Event Webpage


Minicourse Program: click here.

Conference Program: click here.

Contributed Presentation Program: click here.

Plenary Talks and Abstracts

Marco Avellaneda (Courant Institute, USA)
The Measurement of Prepayment & Interest Rate Risks of Mortgage-Backed Securities

Carole Bernard (Waterloo University, Canada)
Implied dependence versus implied correlation

Raphael Douady (Riskdata, USA)
The Whys of the LOIS: Credit Skew and Funding Rates Volatility

Bruno Dupire (Bloomberg, USA)
A Few Myths in Quantitative Finance

Ernst Eberlein (University of Freiburg, Germany)
Valuation in illiquid markets and the Feynman-Kac representation

Matheus Grasselli (McMaster University, Canada)
A stock-flow consistent macroeconomic model for asset price bubbles

Emmanuel Gobet (École Polytechnique, France)
Rare Event Simulation Using Reversible Shaking Transformations

Julien Guyon (Bloomberg, USA)
Path-Dependent Volatility

Lane Hughston (Brunel University London, UK)
Interest in the Long Term

Sebastian Jaimungal (University of Toronto, Canada)
A Mean Field Game approach to Optimal Execution

Roger Lee (U. Chicago, USA)
Volatility skews of leveraged products in asymptotic regimes

Terence Ma (South Street Securities, USA)
The Measurement of Prepayment & Interest Rate Risks of Mortgage-Backed Securities

Teemu Pennanen (King’s College, UK)
Optimal investment and contingent claim valuation in illiquid markets

Chris Rogers (Cambridge, UK)
Combining different models

Claudia Sagastizabal (IMPA)
On Modelling and Solving Risk-Averse Stochastic Equilibrium Problems

Uwe Schmock (T.U. Vienna, Austria)
Conditional Weighted Expected Shortfall, Conditional Distortion Risk Measures, and Application to Risk Capital Allocation

Martin Schweizer (ETH Zurich)
A new look at stochastic Fubini theorems

Carlos Vázquez (A Coruña, Spain)
Speed up of derivatives pricing and calibration with SABR models in GPUs

Lakshithe Wagalath (IESEG, Paris)
Institutional investors and the dependence structure of asset returns

Jorge Zubelli (IMPA)
Commodities, Derivatives on Futures, and Multiscale Models


Matheus Grasselli (McMaster University, Canada)
Dynamical Systems and Financial Instability – new modelling insights and empirical validation

Sebastian Jaimungal (University of Toronto, Canada)
Algorithmic and High Frequency Trading: Data, Models & Methods

Lakshithe Wagalath (IESEG Paris, France)
Systemic risk and fire sales

Poster Session

Rafael Aguilera Mazzei (IME-USP)
Smile effect in a stochastic volatility model applied to vale PNA call options

Luciana S. Blatter (Puc-Rio), Cristiano Fernandes (Puc-Rio) and Jorge Zubelli (IMPA)
Risk analysis of a portifolio of commodities

David Evangelista (IMPA)
1. Analysis of a Multi-Factor Model for Commodities Futures

David Evangelista (IMPA), Juan Pablo Luna (COPPE) and Lucas Farias (IBMEC)
2. Market Neutral Portfolios

Leandro Ferreira,Jayme Pinto and Nikolai Kolev
Option Price Modeling via Extended Marshall-Olkin Distributions

Sérgio Maffra (Steel Works Engineering)
Non-Gaussian Conditional Volatility Estimates for Multivariate Returns

Arthur Mendes Alves (Univ. Federal do Rio Grande, RS)
Option Pricing:a probabilistic approach

Federico de Olivera (Univ. de La Republica, Uruguai)
Implied Volatility Smirk in Levy Markets

Andrés Sosa (Univ. de La Republica, Uruguai)
Dynamic modelling of interest rate for the Uruguayan debt

Xu Yang and Jorge Zubelli (Univ. Federal do Rio Grande, RS)
Some Generalizations of the Black-Litterman Approach for the Skew Normal Market

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 using Poster Session as subject. The standard adopted for posters is size A0 vertical.

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 30th, 2014.


General Workshop Program

Contributed Communications Program

Minicourse Program and Poster Session


Prices for Registration

Category Prices
Industry (and others that are not in academy) R$ 1.000,00
Academic R$ 200.00
Students (Master and Ph.D) R$ 40.00


Registered Participants


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: October 30th, 2014.

Venue: Hotel Atlântico Búzios



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