Second Purdue Minisymposium on Financial Mathematics
Confirmed Speakers
- *Peter Carr, NYU and Bloomberg Quant. Fin. Research, New York, Robust Replication of Volatility Derivatives
- *Paul Glasserman, Graduate School of Business, Columbia University, Rare Events in Portfolio Credit Risk
- *Per Mykland, Department of Statistics, University of Chicago, The determination of time-varying volatility: A tale of two time scales
- Natalia V. Batalova, Bank of America Securities, London, UK, Selection of an Optimal Portfolio with Stochastic Volatility and Discrete Observations
- Luciano Campi, Fin. & Actu. Math., Vienna U. of Technology, Austria, Assessing Credit with Equity: A CEV (Constant Elasticity of Variance) Model with Jump to Default
- Alex d'Aspremont, ORFE, Princeton, Sparse PCA (Principal Component Analysis) with applications in finance
- Oana Mocioalca, Mathematics, Kent State University, Portfolio Management for a cost-constrained investor
- Kumar Muthuraman, IE, Purdue University, A simulation based optimization scheme for large portfolios with transaction costs
* denotes a principal speaker
This short conference will cover a broad range of topics in the mathematical and other quantitative aspects of finance. It will feature three principal one-hour talks and five or six secondary talks by more junior participants.
Registration and Conference Venue
There is no fee for attending the conference. Registration will be at the door starting at 1:45 pm on the day of the conference. The conference venue will be on the campus of Purdue University in West Lafayette, Indiana in RAWLS Hall (Room 1062).Funding opportunity for young researchers
This conference is being supported with modest funds from the National Science Foundation. Graduate students and young investigators (less than three years beyond the Ph.D.) can receive reimbursement for most of their travel costs (airfare plus one hotel night based on double occupancy). To apply for these funds, send a message to Frederi Viens (viens@purdue.edu) by March 1, 2005, indicating your interest in the conference, and provide the name of one reference (e.g. Ph.D. advisor or postdoctoral mentor).Hotel Information
Blocks of hotel rooms for the night of Friday, April 15 have been reserved at the following hotels (these blocks will not be held past March 10; when making reservations, call before March 10, and mention the Math/Stat mini-conference block on April 15):- Holiday Inn Select Lafayette City Center (765) 423-1000 and (800) 423-1137. This brand new hotel in Downtown Lafayette is a 20 minute walk to the conference venue on the Purdue campus. They also have a shuttle to campus.
- University Inn (765) 463-5511. This full-service hotel in West Lafayette also has a shuttle service to campus.
Transportation
The closest airport to West Lafayette is IND, Indianapolis International Airport. There is a shuttle service from IND airport to the Purdue campus (90 minute shuttle ride): http://lafayettelimo.com/. Renting a car is also a good option.Schedule
All events are at Purdue University, West Lafayette IN, RAWLS Hall Room 1062- Friday, April 15, 2005
- 1:45 - 2:25 pm Registration
- 2:25 - 2:30 pm Introduction
- 2:30 - 3:30 pm Per Mykland (University of Chicago)
- 3:30 - 4:00 pm Natalia V. Batalova (Bank of America, London)
- 4:00 - 4:30 pm Coffee break
- 4:30 - 5:00 pm Alex d'Aspremont (Princeton)
- 5:00 - 6:00 pm Paul Glasserman (Columbia University)
- Saturday, April 16, 2005
- 9:00 - 10:00 am Peter Carr (NYU and Bloomberg, New York)
- 10:00 - 10:30 am Luciano Campi (Vienna U. of Technology, Austria
- 10:30 - 11:00 am Coffee break
- 11:00 - 11:30 am Oana Mocioalca (Kent State University)
- 11:30 am - 12:00 pm Kumar Muthuraman (Purdue University)
