April 24, 2014

2010 (Winter/Spring) Thematic Program on Quantitative Finance: Foundations and Applications
January - June, 2010

Organizing Committee:  
Y. Ait-Sahalia (Princeton)
M. Grasselli (McMaster)
V. Henderson (Oxford Man Institute)
T. Hurd (McMaster)
M. Rindisbacher (Toronto)
Dan Rosen (R2 Financial Technologies)
Gold Sponsors
Silver Sponsors
Bronze Sponsors

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Outline of Scientific Activities

The program will run with full intensity throughout the 6-month duration. Beyond the core program of weekly seminars plus independent and collaborative research, there will be a series of workshops, forums and graduate courses.

A. Core Program

A variety of activities will be ongoing throughout the duration of the program. A number of international researchers, principally academics in mathematics, economics and statistics departments, will be participants for periods longer than one month. In addition, we intend to host senior visitors from industry, business schools, and other non-mathematical areas for shorter periods. Overall, we hope to maintain numbers at ten to fifteen senior participants throughout the duration of the program. Besides engaging in independent research and research collaborations with each other, a principal responsibility of our senior visitors will be to communicate with and mentor the junior participants, who will include local and international doctoral students plus upwards of fifteen international postdoctoral fellows.

We will incorporate the well-established Fields Quantitative Finance Seminar Series and the PRMIA Risk Manangement Seminar Series as part of the Program. In addition there will be a weekly schedule of visitors seminars to be given by program participants on Tuesday afternoons.

B. Workshops

There will be four workshops during the program, each conducted at a moderate pace with around five invited talks per day, given by senior researchers. The first workshop will concentrate on mathematical aspects of finance and be of primary interest to academics, while the other three will reach to a broader audience including industry practitioners.

January 11-15, 2010
Workshop on Foundations of Mathematical Finance

March 22- 24, 2010
Workshop on Computational Methods in Finance
April 23-24, 2010
Workshop on Financial Econometrics
May 24- 28, 2010
Workshop on Financial Derivatives and Risk Management

C. Lecture Series

Coxeter Lecture Series, April 6-8, 2010
Nicole El Karoui
, Professor of Applied Mathematics, Center for Applied Mathematics, Ecole Polytechnique

Nathan and Beatrice Keyfitz Lectures in Mathematics and the Social Sciences, Thursday, April 15, 2010
Robert C. Merton, John and Natty McArthur University Professor, Harvard Business School

Distinguished Lecture Series, April 21-23, 2010
Darrell Duffie
, Dean Witter Distinguished Professor of Finance at The Graduate School of Business, Stanford University

D. Industrial-Academic Forums

These will be two-day meetings, which aim to bring together industry practitioners and academics. We envisage a format with several longer “plenary” talks by established experts, followed by shorter more speculative talks from industry and academia. An important part of any forum will be a roundtable bringing together academics and practitioners, which we intend to schedule before the forum banquet.

Register individually for the forums on their web page


Affiliated Activities

E. April 30, 2010
How I Became a Quant

A panel discussion for students interested in a career in quantitative finance, followed by a special reception with recruiters.

Moderator: John Hull (Toronto)
Panelists: Raphael Douady (Riskdata), Marco Avellaneda (NYU)
Petter Kolm (NYU), Chuang Yi (RBC Capital Market)

F. May 19 - 21, 2010
Workshop on Financial Networks and Risk Assessment

The workshop is part of the MITACS International Focus Period on Advances in Network Analysis and its Applications (FP-Nets)

G. June 17,18,19 --2010
14 International Congress on Insurance: Mathematics and Economics

University of Toronto

H. June 22-26, 2010
6th World Congress of the Bachelier Society
Hilton Hotel, Toronto

To bring the thematic program to a conclusion we will host the 6th World Congress of the Bachelier Finance Society. This is the premier event in the international quantitative finance calendar, attracting over 500 participants every two years. Past venues have been Paris (2000), Crete (2002), Chicago (2004), Tokyo (2006), and London (2008).

G. Graduate Courses

Course 1: Foundations of Mathematical Finance (Instructor: M. Grasselli. Guest lecturers: M. Frittelli, E. Platen, S. Pliska)
  • Portfolio selection problem
  • Fundamental theorem of asset pricing
  • Semimartingale theory
  • Primal and dual utility optimization problems
  • Risk measure
Course 2: Interest rates and credit risk (Instructor: T. Hurd. Guest lecturer: T. Bjork and K. Giesecke)
  • Spot rate models
  • Heath-Jarrow-Morton theory
  • Libor market models
  • Structural credit risk models
  • Reduced form credit risk models
  • Multifirm default and correlation modeling
  • Basket credit derivative
Course 3: Stochastic control, BSDEs, and applications to finance (Instructor: N. Touzi)
  • Numerical partial differential equations
  • Numerical solution of forward and backward stochastic DEs
  • Monte Carlo and quasi Monte Carlo methods
  • Statistical estimation of econometric models
  • Spectral and Lattice method

H. Confirmed Participants

University of Toronto, Faculty of Arts and Science
Dean's Distinguished Visiting Professor

NIZAR TOUZI, Centre de Mathématiques Appliquées, Ecole Polytechnique
The University of Toronto, Faculty of Arts and Science Dean's Distinguished Visiting Professor/ Fields Senior Scholar program is designed to intensify the mathematical research and interaction at Fields by enabling distinguished senior mathematicians to visit for one to two semesters each year, and be active participants in the program activities at the Fields Institute during their tenure.

Fields Research Immersion Fellow

Agnes Tourin, McMaster University

Postdoctoral Fellows

The Thematic Program on Quantitative Finance: Foundations and Applications is pleased to welcome the following Postdoctoral Fellows to the Program:

Fields Ontario Postdoctoral Fellows

Xianhua Peng, PhD (Columbia)

Dejun Xie, PhD (Pittsburgh)

Fields Postdoctoral Fellows

Arash Fahim, PhD (Polytechnique France & Sharif Univ. of Tech. Iran)
Kyoung-Kuk (Ken) Kim, PhD (Columbia)
Fouad Marri, PhD (Waterloo)

Klaas Schulze, PhD (Bonn)
Vladimir Surkov, PhD (Toronto)
Hao Xing, PhD (Michigan)

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