SCIENTIFIC PROGRAMS AND ACTIVITIES

November 27, 2014
THE FIELDS INSTITUTE FOR RESEARCH IN MATHEMATICAL SCIENCES

Quantitative Finance Retrospective Workshop
October 27-30, 2013

Organizers:
Marco Frittelli (Milan), Matheus Grasselli (McMaster),
Lane Hughston (Brunel University and University College London), Thomas R. Hurd (McMaster),
Catherine Lubochinsky (Global Risk Institute),
Mathieu Rosenbaum (University Pierre and Marie Curie, Paris 6)

Registration
Fees: Academics $100, Students $50, Industry $200
On site Oct. 27
Video of talks
Draft Schedule Abstracts Map to Fields

Overview:
The purpose of this four-day workshop is to bring together top researchers worldwide for a retrospective of the Thematic Program that took place at the Fields Institute from January to June 2010 and covered the entire spectrum of Quantitative Finance up to then.

In the three years since the Thematic Program, Quantitative Finance is developing in new directions while continuing to expand in the established channels. Some of the notable new areas are counterparty credit risk, the development of robust methods and the inclusion of Knightian uncertainty in models, the role of backward stochastic differential equations, the study of algorithmic trading and the limit order book, the impact of behavioural finance, liquidity, multi-agent modelling, and ever increasing tie-ins with macroeconomics and systemic risk.

With that aim in mind, we invited the biggest thinkers in our subject to give forward-looking talks that can give us a broad perspective on crucial issues, ranging from the technical to the conceptual.

The Fields Institute for Research in Mathematical Sciences is pleased to embark on a new partnership with the Global Risk Institute for Financial Services (GRI), created in 2012 and based in Toronto, and this workshop is the first major event in this new relationship.

At the same time, the workshop dates are correlated with a three-day workshop on Mathematics for New Economic Thinking cosponsored by the Fields Institute and the Institute for New Economic Thinking (INET). We aim to create a synergy between the two events, with a number of participants electing to attend both.

Confirmed Speakers to date:

Viral Acharya, NYU
Rob Almgren, Quantitative Brokers
Torben Andersen, Northwestern
Dorje Brody, Brunel University
Igor Cialenco, Illinois Institutes of Technology
Laurent Clerc, Banque de France
Rama Cont, Imperial College London
Tom Hurd, McMaster University
Sebastian Jaimungal, University of Toronto
Monique Jeanblanc, Université d'Evry Val d'Essonne
Michael Kupper, Berlin
Marcel Nutz, Columbia
Anna Obizhaeva, Maryland
Teemu Pennanen, King's College London
Martijn Pistorius, Imperial College London
Joshua Reed, NYU
Mete Soner, ETH - Zurich
Sasha Stoikov, Cornell
Nizar Touzi, Ecole Polytechnique