THEMATIC PROGRAMS

Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010

May 24 - 28, 2010
Workshop on Financial Derivatives and Risk Management

Scientific Committee: Peter Carr, Rama Cont, Darrell Duffie, Lane Hughston (chair), Roger Lee

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Topics:

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

Confirmed Speakers

Lorenzo Bergomi, Societe Generale Tomasz Bielecki, IIT Nicholas Bingham, Imperial College Dorje Brody, Imperial College* Hans Buehler, J. P. Morgan, HK Peter Carr, New York University 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 Lane Hughston, Imperial College 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

*not yet confirmed

Confirmed Participants as of February 5, 2010

Full Name	University/Affiliation
Alexandru-Gajura, Elena	McMaster University
Assa, Hirbod	Université de Montréal
Badescu, Alex	University of Calgary
Bayly, Alex	Imperial College London
Bentata, Amel	Université Pierre et Marie Curie (Paris 6)
Bergomi, Lorenzo	Société Générale Corporate and Investment Banking
Bernard, Carole	University of Waterloo
Bichuch, Maxim	Carnegie Mellon University
Bielecki, Tomasz	Illinois Institute of Technology
Bingham, Nicholas	Imperial College London
Bouille, Danaé	Universtät Oldenburg
Byelkina, Svitlana	Bank of Montreal
Campolieti, Joe	Wilfrid Laurier University
Carr, Peter	New York University
Cetin, Umut	London School of Economics
Chadam, John	University of Pittsburgh
Chakrabarty, Siddhartha	Indian Institute of Technology Guwahati
Chellathurai, Thamayanthi	Canadian Imperial Bank of Commerce
Chen, Christy	University of Toronto
Chung, Jaehun	CIBC
Costanzino, Nicola	Pennsylvania State University
Dang, Duy Minh	University of Toronto
De Maeseneire, Jeroen	Centre for Computational Mathematics in Industry and Commerce
Di Graziano, Giuseppe	Deutsche Bank AG
Dos Reis, Goncalo	Ecole Polytechnique
Draviam, Thangaraj
Ebert, Sebastian	Bonn Graduate School of Economics (University of Bonn)
Escobar, Marcos	Ryerson University
Evans, Michael	University of Toronto
Fayyad, Wael	McMaster University
Ferrando, Sebastian	Ryerson University
Fouque, Jean-Pierre	University of California, Santa Barbara
Fu, Yu	RBC
Gapeev, Pavel	London School of Economics
Gatheral, Jim	Merrill Lynch & Co. Inc
Gomez, Cesar	Intuto de Matematica Pura e Aplicada, IMPA
Grasselli, Matheus	McMaster University
Gravelle, Toni	Bank of Canada
Gretarsson, Hringur	Imperial College London
Guégan, Dominique	University Paris1 Sorbonne
Ha, Eugene	Fields Institute
Hamdouni, Mohamed
Han, Meng	University of Toronto
Hobson, David	University of Warwick
Horst, Ulrich	Humboldt University
Hoyle, Edward	Imperial College London
Huang, Yu-Jui	University of Michigan
Hughston, Lane	Imperial College
Hurd, Tom	McMaster University
Hyndman, Cody	Concordia University
Iori, Giulia	City University
Itkin, Andrey	Rutgers University
Jacquier, Antoine	Imperial College London
Jahanshah, Davoudi	University of Toronto
Jaimungal, Sebastian	University of Toronto
Jeanblanc, Monique	Université d'Evry
Jeon, Yoontae	University of Toronto
Jun, Doobae	Sungkyunkwan University
Kan, Yu Hang	Columbia University
Kapchinsky, Michael	Toronto Dominion Bank
Kawczak, Janusz	BMO
Khisti, Ashish	University of Toronto
Kim, Paul	BMO
Kokholm, Thomas	Aarhus University
Kou, Steven	Columbia University
Krasin, Vladislav	University of Alberta
Ku, Hyejin	York University
Kuznetsov, Alexey	York University
Lakhany, Asif	Algorithmics Incorporated
Lee, Kiseop	University of Louisville
Leung, Siu Tang (Tim)	Johns Hopkins University
Levin, Alex	RBC
Li, Sebastian	University of Toronto
Lin, Jen-Wen	TD Bank Financial Group
Lo, Yan Tai	Imperial College London
Lorig, Matthew	University of California - Santa Barbara
Lütkebohmert-Holtz, Eva	University of Bonn
Lyons, Simon	Imperial College
Ma, Xiaofang	BMO
Mackie, Ewan	Imperial College London
Macrina, Andrea	King's College London
Marri, Fouad	York University
Minca, Andreea	Paris 6 University
Moazeni, Somayeh	University of Waterloo
Monoyios, Michael	University of Oxford
Morales, Manual	Université de Montréal
Moreno, Santiago	Humboldt University Berlin
Muhina, Irina	Manulife
Niu, Shilei	University of Waterloo
Nobakhtian, Soghra	University of Isfahan
Obloj, Jan	University of Oxford
Onyango, Silas	Strathmore University
Pal, Janos	Bank of Montreal
Parbhoo, Priyanka	University of the Witwatersrand
Peña, Javier	Carnegie Mellon University
Peng, Xianhua	Columbia University
Peskir, Goran	The University of Manchester
Pestrikov, Alex	University of York
Pham-Dang, Benoit	Tohoku University
Pirvu, Traian	McMaster University
Pistorius, Martijn	Imperial College London
Pulido, Sergio	Cornell University
Qiao, Yun (Carrie)	York University
Rutkowski, Marek	University of New South Wales
Salisbury, Thomas	York University
Saunders, David	University of Waterloo
Schmidt, Thorsten	Chemnitz University of Technology
Sezer, Deniz	University of Calgary
Shen, Jerry	Bank of Montreal
Shreve, Steven	Carnegie Mellon University
Silla, Sebastiano	Polytechnic University of Marche
Sotomayor, Luz	Georgia State University
Tarrant, Wayne	Wingate University
Taylor, David	Wits University
Tourin, Agnes
Touzi, Nizar	Ecole Polytechnique
Tsui, Lung Kwan	University of Pittsburgh
Tysk, Johan	Uppsala University
Vaz, Anthony	Manulife Financial
Wagalath, Lakshithe	Université Paris VI
Walker, Michael	University of Toronto
Wang, Jinlian	York University
West, Graeme	Financial Modelling Agency
West, Lydia	University of Stellenbosch
Wu, Tao	Illinois Institute of Technology
Xing, Hao	Boston University
Yang, Xun	Imperial College London
Yi, Chuang	Bank of Montreal
Zervos, Mihail	London School of Economics
Zhang, Jingrui	CIBC
Zhou, Zhuowei	McMaster University
Zubelli, Jorge	IMPA

 

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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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