THEMATIC PROGRAMS

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)
Program Sponsors

Mailing List : To receive updates on the program please subscribe to our mailing list at www.fields.utoronto.ca/maillist

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, 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. We have preliminary acceptance of a number of international researchers, principally academics in mathematics, economics and statistics departments, to 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 as a high-profile part of a weekly schedule of research seminars to be given by program participants. We anticipate having two one-hour talks given in the late afternoon of Wednesday each week of the program.

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. The topics suggested below give an idea of the scope we envisage.

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

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

Coxeter Lecturers Spring 2010
Nicole El Karoui, Professor of Applied Mathematics,Center for Applied Mathematics, Ecole Polytechnique

Additional Lectures of interest

April 16, 2010
The Nathan and Beatrice Keyfitz Lectures in Mathematics and the Social Sciences
Robert C. Merton, Harvard Business School

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.

• March 26-27, 2010 - Operational Risk
  (Organizer: S. Carrillo Menendez)
• April 9-10, 2010 - Commodities, energy markets, and emissions trading
  (Organizers: R. Carmona and M. Davison)
• April 15-16, 2010 - Credit-Hybrid Risk
  (Organizers: T. Bielecki, S. Crepey and M. Jeanblanc)
• May 17-18, 2010 - Systemic stability and liquidity
  (Organizer: M. Gordy and M. Reesor)
• (TBA) Hedge Funds
  (Organizer: L. Seco)
• June 21, 2010 - Financial Engineering and Insurance Mathematics
  (Organizer: M. Milevsky)

E. June 17,18,19 --2010
14 International Congress on Insurance: Mathematics and Economics
University of Toronto

F. 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: Numerical Methods in 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
Ming Ji, PhD (Southern California) Kyoung-Kuk (Ken) Kim, PhD (Columbia) Marri, Fouad, PhD (Waterloo	Klaas Schulze, PhD (Bonn) Vladimir Surkov, PhD (Toronto) Hao Xing, PhD ( Michigan)

---

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

Back to Top