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Thematic Program
on Quantitative Finance: Foundations and Applications January -
June, 2010
May 24 - 28, 2010
Workshop 4: Financial Derivatives and Risk Management
Scientific Committee: Peter Carr, Rama Cont, Darrell Duffie, Lane
Hughston (chair), Roger Lee
Mailing List : To receive
updates on the program please subscribe to our mailing list at www.fields.utoronto.ca/maillist
Topics:
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- Equity, interest rate and foreign exchange derivatives
- Volatility derivatives
- Credit risk modelling
- Structured product design and functionality
- Liquidity risk
- Default contagion
- Systemic risk in OTC market - clearing, transparency,
and collateral rehypothecation
- Partial information models for asset pricing and their
applications
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Invited Speakers
Lorenzo Bergomi, Societe
Generale
Tomasz Bielecki, IIT
Nicholas Bingham, Imperial College
Dorje Brody, Imperial College
Hans Buehler, J. P. Morgan, HK
Umut Cetin, London School of Economics
Rama Cont, Paris VI-VII
Giuseppe Di Graziano, Deutsche Bank London
Bjorn Flesaker, Bloomberg
Rudiger Frey, Leipzig
Jim Gatheral, Merrill Lynch, NY
David Hobson, Warwick
Monique Jeanblanc, Evry
Yu Hang Kan, Columbia
Thomas Kokholm, Aarhus |
Roger Lee, Chicago
Andrea Macrina, King's College
Gustavo Manso, MIT
Aleksandar Mijatovic, Imperial College
Andreea Minca, Paris VI
Jan Obloj, Oxford
Goran Peskir, Manchester
Martijn Pistorius, Imperial College
Marek Rutkowski, Sydney
Thorsten Schmidt, Leipzig
Steve Shreve, Carnegie Mellon
Stuart Turnbull, Houston
Johan Tysk, Uppsala
Marc Yor, Pierre et Marie Curie
Mihail Zervos, London School of Economics |
Confirmed Participants as of November 17, 2009
| Full Name |
University/Affiliation |
| Andreea, Minca |
Paris 6 University |
| Arunakirinathar, Kanagaratnam |
University of Kwa-Zulu Natal |
| Assa, Hirbod |
Université de Montréal |
| Badescu, Alex |
University of Calgary |
| Bayly, Alex |
Imperial College London |
| Bentata, Amel |
Université Pierre et Marie Curie (Paris 6) |
| Bernard, Carole |
University of Waterloo |
| Bichuch, Maxim |
Carnegie Mellon University |
| Bouille, Danaé |
Universtät Oldenburg |
| Brito, Francisco |
SPE |
| Byelkina, Svitlana |
Bank of Montreal |
| Campolieti, Joe |
Wilfrid Laurier University |
| Chadam, John |
University of Pittsburgh |
| Chakrabarty, Siddhartha |
Indian Institute of Technology Guwahati |
| Chellathurai, Thamayanthi |
Canadian Imperial Bank of Commerce |
| Costanzino, Nicola |
Pennsylvania State University |
| De Maeseneire, Jeroen |
Centre for Computational Mathematics in Industry and Commerce |
| Draviam, Thangaraj |
|
| Ebert, Sebastian |
Bonn Graduate School of Economics (University of Bonn) |
| Evans, Michael |
University of Toronto |
| Fayyad, Wael |
McMaster University |
| Fouque, Jean-Pierre |
University of California, Santa Barbara |
| Gapeev, Pavel |
London School of Economics |
| Gomez, Cesar |
Intuto de Matematica Pura e Aplicada, IMPA |
| Gretarsson, Hringur |
Imperial College London |
| Ha, Eugene |
Fields Institute |
| Horst, Ulrich |
Humboldt University |
| Hoyle, Edward |
Imperial College London |
| Hu, Xueying |
University of Michigan |
| Huang, Junming |
University of Pittsburgh |
| Huang, Yu-Jui |
University of Michigan |
| Hughston, Lane |
Imperial College |
| Hyndman, Cody |
Concordia University |
| Iori, Giulia |
City University |
| Itkin, Andrey |
Rutgers University |
| Jacquier, Antoine |
Imperial College London |
| Jaimungal, Sebastian |
University of Toronto |
| Jeanblanc, Monique |
Université d'Evry |
| Khisti, Ashish |
University of Toronto |
| Kou, Steven |
Columbia University |
| Ku, Hyejin |
York University |
| Lee, Kiseop |
University of Louisville |
| Leung, Siu Tang (Tim) |
Johns Hopkins University |
| Levin, Alex |
RBC |
| Lin, Jen-Wen |
TD Bank Financial Group |
| Lorig, Matthew |
University of California - Santa Barbara |
| Lütkebohmert-Holtz, Eva |
University of Bonn |
| Lyons, Simon |
Imperial College |
| Mackie, Ewan |
Imperial College London |
| Macrina, Andrea |
King's College London |
| Marri, Fouad |
York University |
| Monoyios, Michael |
University of Oxford |
| Morales, Manual |
Université de Montréal |
| Moreno, Santiago |
Humboldt University Berlin |
| Onyango, Silas |
Strathmore University |
| Ouyang, Xiaoyu |
University of Waterloo |
| Pandey, Dayanand |
Bank Melli Iran Dubai |
| Peskir, Goran |
The University of Manchester |
| Pestrikov, Alex |
University of York |
| Pham-Dang, Benot |
Tohoku University |
| Pirvu, Traian |
McMaster University |
| Pulido, Sergio |
Cornell University |
| Ruf, Johannes |
Columbia University |
| Shreve, Steven |
Carnegie Mellon University |
| Silla, Sebastiano |
Polytechnic University of Marche |
| Touzi, Nizar |
Ecole Polytechnique |
| Tsui, Lung Kwan |
University of Pittsburgh |
| Wagalath, Lakshithe |
Université Paris VI |
| Wang, Jinlian |
York University |
| Wang, Yiqi |
University of Waterloo |
| West, Graeme |
Financial Modelling Agency |
| Wu, Tao |
Illinois Institute of Technology |
| Xing, Hao |
University of Michigan |
| Yang, Xun |
Imperial College London |
| Yu, Hang |
Carnegie Mellon University |
| Zhou, Zhuowei |
McMaster University |
| Zubelli, Jorge |
IMPA |
Apply to the Program:
All scientific events are open to the mathematical sciences community.
Visitors who are interested in office space or funding are
requested to apply by filling out the application
form. Additional support is available (pending NSF funding)
to support junior US visitors to this program. Fields scientific programs
are devoted to research in the mathematical sciences, and enhanced
graduate and post-doctoral training opportunities. Part of the mandate
of the Institute is to broaden and enlarge the community, and to encourage
the participation of women and members of visible minority groups
in our scientific programs. For additional information contact thematic(at)fields.utoronto.ca
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