International seminar brings together experts to discuss aspects of mathematical finance
19th edition of Research in Options is organized by FGV EMAp, with support from FAPERJ and Bloomberg.
Between December 4 and 8, Fundação Getulio Vargas’ School of Applied Mathematics (FGV EMAp) will hold the 19th edition of its Research in Options seminar. The event will be conducted entirely in English, attended by scientists, mathematicians and professionals working at the interface between mathematics and finance.
Following on from previous editions, this year the focus will be on different aspects of mathematical finance, including option pricing, fixed income, volatility trading, real options, commodities, algorithmic trading, and portfolio and risk management. The use of sophisticated mathematical tools in financial engineering, from partial differential equations to stochastic analysis and numerical methods, has grown steadily in recent decades. On the one hand, mathematical tools and results have impacted the way financial phenomena are modeled and understood, and how risk is assessed and managed. On the other hand, the financial industry has presented researchers with a series of mathematical and computational challenges.
In this edition, the organizers have reversed the usual schedule and will host the academic talks from Wednesday to Friday and the minicourses on Saturday and Sunday. The minicourses will be aimed at both practitioners and students. The topics covered will be Risk Budget Portfolios, Optimal Execution Models, Incomplete Markets, and Volterra Processes in Quantitative Finance.
The seminar’s organizing and scientific committee is made up of the following researchers: Vinicius Albani (Santa Catarina Federal University, Brazil), Bruno Dupire (Bloomberg & New York University), Sebastian Jaimungal (University of Toronto), Yuri Saporito (FGV EMAp), Max O. Souza (Fluminense Federal University, Rio de Janeiro), Rodrigo Targino (FGV EMAp) and Jorge P. Zubelli (Khalifa University, Abu Dhabi).
Event details
Date: December 4 to 8
Time: 1 p.m.
Venue: FGV’s main building, 190 Praia de Botafogo, Rio de Janeiro
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