Kent-Purdue Minisymposium on Financial Mathematics (3rd edition)

Confirmed Speakers

*Tomas Bjork, Stockholm School of Economics, On the geometry of interest rate models.
*Thaleia Zariphopoulou, University of Texas, Investment performance measurement, risk tolerance and optimal portfolio choice.
Erhan Bayraktar, University of Michigan, Remarks on the American Put Option for Jump Diffusions.
Sara Biagini, Princeton University, On the Extension of Namioka Theorem and on the Fatou Property for Risk Measures.
Jose Enrique Figueroa-Lopez, University of California, Santa Barbara, State-dependent utility maximization in Levy markets.
Ionut Florescu, Stevens Institute of Technology, Estimating parameters for Diffusion Equations with a hidden factor
Kazim Khan, Kent State University, Applications of CuSum Stopping Rule in Trading.
Michael Levine, Purdue University, Consistent estimators for the long-memory parameter in LARCH and fractional Brownian models.
Cristina Mariani, New Mexico State University, Extreme events in financial markets.
Ciprian Tudor, Universite de Paris I Pantheon-Sorbonne, Donsker theorem for fractional processes and a binary market model.

To see the abstracts and when they will be presented, click here.

* denotes a principal speaker

Friday, April 27, 2007 at 2pm

to

Saturday, April 28, 2007 at 6pm

Schedule (Tentative)

This short conference will cover a broad range of topics in the mathematical and other quantitative aspects of finance. It will feature two principal one-hour talks and seven or eight 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 2:00 pm on the day of the conference. The conference venue will be on the campus of Kent State University in Kent, Ohio, in Room 101, LCM (Samsung Auditorium).

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/gas plus one hotel night based on double occupancy).
To apply for these funds, send a message to Oana Mocioalca (oana@math.kent.edu) by April 1st, 2007, indicating your interest in the conference, and provide the name of one reference (e.g. Ph.D. advisor or postdoctoral mentor).

Posters

All junior researchers are encouraged to contribute a poster, and should signify their intent to do so by e-mailing Oana Mocioalca, oana@math.kent.edu, as early as possible; posters will be presented during a dedicated poster session.

Hotel Information

Blocks of hotel rooms for the nights of Friday April 27 and Saturday April 28 have been reserved at the following hotels (these blocks will not be held past April 20th; when making reservations, call before April 20th, and mention the Kent-Purdue mini-conference block on April 27, 28):

Microtel Inn and Suites, Streetsboro, 330-422-1234
Hampton Inn Kent, Kent, 330-673-8555

A few rooms were reserved at:

Fairfield Inn, Marriott, Streetsboro, 330-422-1166

Transportation

For driving directions and maps of the university please visit: http://imagine.kent.edu/directions/

The closest airports to Kent are Akron Fulton International Airport, Akron/Canton Regional Airport which is convenient for people coming from New York City, and Cleveland Hopkins International Airport which is a hub for Southwest. We will schedule pick-up from the airport if advance notice will be provided.

Schedule (Tentative)

All events are at Kent State University, in Room 101, LCM (Samsung Auditorium).

Friday, April 27, 2007

2:00 - 2:55pm Registration

2:55 - 3:00pm Introduction

3:00 - 4:00pm Tomas Bjork, Stockholm School of Economics

4:00 - 4:30pm Coffee

4:30 - 5:00pm Ionut Florescu, Stevens Institute of Technology

5:05 - 5:35pm Michael Levine, Purdue University

Saturday, April 28, 2007

9:30 - 10:00am Cristina Mariani, New Mexio State University

10:05 - 10:35am Sara Biagini, Princeton University

10:35 - 11:05am Coffee

11:05am - 12:05pm Thaleia Zariphopoulou, University of Texas

2:30 - 3:30pm Poster session

3:30 - 4:00pm Erhan Bayraktar, University of Michigan

4:05 - 4:35pm Jose Enrique Figueroa-Lopez, University of California, Santa Barbara

4:40 - 5:00pm Coffee

5:00 - 5:30pm Ciprian Tudor, Universite de Paris I Pantheon-Sorbonne

5:35 - 6:00pm Kazim Khan, Kent State University

Contact

For any other questions about the conference, please write to oana@math.purdue.edu, viens@purdue.edu, or mlevins@purdue.edu, or call Janice Baker at 330-672-2430.