An Isaac Newton Institute Workshop

QUANTITATIVE FINANCE: DEVELOPMENTS, APPLICATIONS AND PROBLEMS

4 - 8 July 2005

Organisers: V Henderson (Princeton), D Hobson (Bath), S Pliska (Illinois) and C Rogers (Cambridge).

Supported by the European Commission, Sixth Framework Programme - Marie Curie Conferences and Training Courses - MSCF-CT-2004-516558 and

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in association with the Newton Institute programme entitled
Developments in Quantitative Finance (24 January to 22 July 2005)

Programme | Participants | Web-Seminars

Theme of Conference:

The objective of this conference is to bring together academics from various fields, including mathematicians, but also researchers from economics and finance, together with industry practitioners, to discuss the latest developments in the theory of mathematical finance, the application of this theory to current issues facing the industry and to identify the substantive problems confronting academic researchers and finance professionals. Many individual themes within quantitative finance are covered elsewhere in the programme, and this conference will aim to promote the developments in those areas to a wider audience, whilst simultaneously providing a forum for the discussion of advances in other areas within the field.

Invited Speakers:

Y Ait-Sahalia (Princeton), P. Bank (Columbia), M. Baxter (Nomura), D. Becherer (Imperial), N. Branger (Frankfurt), M. Davis (Imperial), D. Duffie* (Stanford), B Dupire (Bloomberg), R Frey (Leipzig), S Hodges (Warwick), L. Hughston (Kings), R. Jarrow* (Cornell), E. Jouini (Ceremade), S Kou (Columbia), D. Kramkov (Carnegie-Mellon), M. Monoyios (Brunel), P. Mykland (Chicago), E Platen (UTS), J-C Rochet (Toulouse), S. Ross (MIT), S. Shreve (Carnegie-Mellon), R Sircar (Princeton) and M. Zervos (Kings).

(* = to be confirmed)

Location and Cost:

The Conference will take place at the Newton Institute and accommodation for participants will be provided in single study bedrooms with shared bathroom at Wolfson Court. The conference package, costing £440, includes accommodation, breakfast and dinner from dinner on Sunday 3 July to breakfast on Saturday 9 July 2005, and lunch and refreshments during the days that lectures take place.

Funding:

The Euro Training Course is supported by the European Community and funding is available, please indicate on the application form which EC category is applicable. Self-supporting participants are very welcome to apply.

Applications Forms:

Are available here. Invited participants to the semester long programme whose dates coincide with those of the workshop need not apply or pay any registration fee.

Closing Date:

The closing date for the receipt of applications is 28 February 2005

Scientific Enquiries:

Should be sent to V Henderson

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