Financial Mathematics
(2 November - 23 December 2009)

Jointly organized with Risk Management Institute, NUS

 

Organizing Committee · Visitors and Participants · Overview · Activities · Funding for Young Scientists

 

Organizing Committee

 

Chair

• Paul Embrechts (Swiss Federal Institute of Technology (ETH) Zurich)

 

Members

• Min Dai (National University of Singapore)
• Hanqing Jin (University of Oxford)
• Juri Hinz (National University of Singapore)
• Kian-Guan Lim (Singapore Management University)
• Defeng Sun (National University of Singapore)
• Jianming Xia (National University of Singapore)

 

Visitors and Participants

 

• Overseas visitors
• Local visitors
• Graduate students
• Registered local participants

 

Overview

 

Financial Mathematics is a fast-growing area of modern applied science. Over the last three decades, the subject has grown into a substantial body of knowledge, where quantitative methodologies have become part and parcel of the functioning of the world’s financial institutions. Based on results from probability theory and stochastic calculus, problems of portfolio selection and fair contract valuation have been solved within a sound mathematical framework. The gained insights broke new grounds and the resulting concepts have been successfully generalized in both mathematical and practice directions.

This program will be focusing on, but not limited to, the following three areas:
1) Risk measures and robust optimization in finance;
2) Pricing and hedging of environmental and energy-related financial derivatives;
3) Optimal stopping and singular stochastic control problems in finance.

These areas form the substance of 3 workshops in the two-month long program. The workshops are intended for researchers working in the specific areas to congregate, cross-pollinate ideas, exchange knowledge, and together advance the mathematical frontiers in publishing and disseminating rigorous pieces of scholastic work.

 

Activities

 

1. Topics on Risk measures and robust optimization in finance;
   Period: 12 – 23 Nov 2009
   • Tutorials on Risk measures, robust preferences, and robust portfolio choice: 12 – 14 Nov 2009
   
   

   The tutorials are given by Professor Hans Föllmer of the Humboldt Universität zu Berlin, Professor Alexander Schied of the Mannheim University and Professor Stefan Weber of the Gottfried Wilhelm Leibniz Universität Hannover.
   
   This set of 6 tutorial sessions comprising 2 hours each session will be based on the survey paper "Robust preferences and robust portfolio choice," by H. Föllmer, A. Schied and S. Weber found in the Handbook of Numerical Analysis, XV, Bensoussan & Zhang (Editors), Mathematical Modeling and Numerical Methods in Finance, 29-89, (2009).
   
   Attending academics, research students, and audience, can obtain a copy of the above materials from the following web link, and print it for use during the tutorials. http://www.ims.nus.edu.sg/Programs/ financialm09/files/Handbook_Articlefile3.pdf
   
   It is an exciting topic at the cutting edge of research in this field and doctoral students and academic researchers, as well as industry and bank risk professionals and analysts are most welcome to attend.

   
   
   • Public lecture
     Title: Mathematics and the Financial Crisis
     Date & Time: 16 Nov 2009, 6.30pm - 7.30pm
     Speaker: Paul Embrechts, Swiss Federal Institute of Technology (ETH), Zurich
     Venue: LT33, Block S17,
                 Level 2, Faculty of Science,
                 National University of Singapore,
                 Singapore 119260
     
   • Workshop: 16 – 20 Nov 2009
     
   
   
2. Topics on the Pricing and hedging of environmental and energy-related financial derivatives;
   Period: 4 – 9 Dec 2009
   
   • Round table discussion: 4 Dec 2009
   • Workshop: 7 – 8 Dec 2009
   • Special lectures: 9 Dec 2009
     
     
3. Topics on Optimal stopping and singular stochastic control problems in finance.
   Period: 9 – 18 Dec 2009
   
   • Workshop: 9 – 15 Dec 2009
   • Tutorials on Stochastic control problems in finance: 14 – 18 Dec 2009
     

 

The visitors are also invited to participate in more than one topic and workshop during the period from November to December 2009.

 

Online registration: Students and researchers who are interested in attending these activities and who do not require financial aid are requested to complete the online registration form.

The following do not need to register:

• Those invited to participate.
• Those applying for financial support.

 

Venue

 

• IMS Auditorium
• Detailed instruction on how to get to the institute by public or private transport
  

 

Funding for Young Scientists

 

The Institute for Mathematical Sciences has limited funds to cover partial support for travel and living expenses for young scientists interested in participating in the program. Applications should be received at least three (3) months before the commencement of the program. Application form is available in (MSWord|PDF|PS) format for download.

 

More information is available by writing to:
Secretary
Institute for Mathematical Sciences
National University of Singapore
3 Prince George's Park
Singapore 118402
Republic of Singapore
or email to imssec(AT)nus.edu.sg.

 

For enquiries on scientific aspects of the program, please email Min Dai at matdm(AT)nus.edu.sg.

 

 

 

Organizing Committee · Visitors and Participants · Overview · Activities · Funding for Young Scientists