AMS / SMF Joint Congress

Special Session / Session Speciale:

Mathematical Methods in Financial Modeling.

Méthodes mathematiques en finance.

Ecole Normale Superieure de Lyon (France), 17-20 July 2001.

Session Organizers:

Marco Avellaneda
Courant Institute of Mathematical Sciences, New York University.

Rama Cont
Centre de Mathematiques Appliquees
Ecole Polytechnique.

The Special Session on Mathematical Methods in Financial Modeling will bring together academic researchers and practitioners in an effort to present to researchers in pure and applied mathematics a panorama of current research on quantitative methods in financial modeling and their applications in financial engineering. Presentations will be 35 minutes each, followed by 5 minutes of discussion.
La Session Spéciale sur les Méthodes mathématiques en Finance réunira des chercheurs et des praticiens dans l'objectif de présenter un panorama de la modélisation mathématique en finance, ses applications en ingenierie financieres et les problémes mathématiques nouveaux qu'elle pose a travers 18 exposés repartis sur trois journées.

Topics :

Pricing and hedging of derivative instruments.
Model calibration and inverse problems in financial modeling.
Credit risk modeling and credit derivatives.
Optimization problems in risk management.
Partial differential equations in option pricing.
Stochastic volatility models.
Interest rate models.
Numerical methods in finance.

Invited Speakers:

Marco AVELLANEDA ( Courant Institute of Mathematical Sciences ) : Arbitrage pricing of equity basket options.

Philippe BALLAND ( Merril Lynch ) : Implied volatility models.

Ole BARNDORFF-NIELSEN ( Aarhus University ): Non-Gaussian Ornstein Uhlenbeck stochastic volatility models.

Jerome BUSCA ( Université de Tours ): Model Asymptotics, Calibration and Pricing

Tomas BJORK ( Stockholm School of Economics ): A Geometric View of Interest Theory.

Rama CONT ( CMAP, Ecole Polytechnique ): Dynamical modeling of implied volatility surfaces..

Mark DAVIS ( Imperial College, London ): Stochastic volatility: a hedger's perspective.

Laurent DENIS ( Universite du Mans ): Superhedging in the presence of model uncertainty.

Raphael DOUADY ( CMLA - ENS Cachan ): A rating diffusion model for credit derivatives.

Nicole EL KAROUI ( Ecole Polytechnique): Optimal Design of derivatives in illiquid markets.

Philippe HENROTTE ( HEC School of Management ): A stochastic integral for self financing strategies.

Lane HUGHSTON ( Kings College, London ): Entropy and Information in the Interest Rate Term Structure.

Monique JEANBLANC ( Université d'Evry ): Hedging defaultable contingent claims.

Elyes JOUINI ( Universite de Paris IX- Dauphine ) : Arbitrage with fixed costs in interest rate models.

Jean Pierre FOUQUE (North Carolina State University): Stochastic Volatility Asymptotics.

Jean Michel LASRY ( CPR ): Liquidity effects in dynamics hedging.

Huyen PHAM ( Universite de Paris VII ): A large deviations approach to optimal long term investment.

Chris ROGERS  ( University of Bath ): Monte Carlo valuation of American options.

Philipp SCHONBUCHER ( University of Bonn ): A Libor Market Model with Default Risk.

Michael STUTZER ( University of Iowa ): Performance analysis of funds with benchmarks: a large deviations approach.

Josef TEICHMANN ( Technical University of Vienna ): Finite dimensional realizations of HJM models.

Nizar TOUZI ( Université de Paris I ): Hedging, target reachability and geometric flows.


The Special Session will begin on Tuesday July 17 at 1.30 Pm and end on Friday July 20 at 12.25.
The schedule for the talks will be announced on this website.

Practical details:

To participate in this special session, you should register for the AMS-SMF Congress.
Pour participer a cette session speciale, il faut s'inscrire au Congres AMS-SMF.
  • Information on the AMS - SMF congress.
  • Information on Ecole Normale Superieure de Lyon.
  • Information on Lyon.