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2nd IMA Conference on Mathematics in Finance

Date: 18 - 19 June 2015
Location: Chancellors Hotel and Conference Centre, University of Manchester

PROGRAMME

The purpose of the conference is to bring together academics and practitioners interested in mathematical modelling in finance. We invite researchers whose research work contains a strong Mathematical element to attend. We have included a broad range of topics  with the aim to expose participants to models, ideas and techniques that they may not be aware of, and to foster future collaborations.

In recent years many of the underpinning assumptions of classical Mathematical Finance have been under attack, and now efficient markets can no longer be assumed by default. The result is that many more complex real world interactions need to be taken into account, meaning that the techniques and models from other areas such as Real Options and Operations Research will be important for the future of Mathematics in Finance.

We invited papers on the following themes:

Computational Finance

    • high dimensional problems,
    • simulation techniques,
    • PDE methods

Energy Markets

    • market regulation and monitoring,
    • competition and investment,
    • commodity pricing and risk management

Risk

    • credit risk modelling
    • liquidity risk
    • counterparty risk

Operations Research

    • game theory
    • network optimisation
    • revenue management

Real Options

    • competition,
    • optimal investment

Invited Speakers

Rui Carvalho (University of Cambridge)
Tim Johnson (Heriot-Watt University)
Christoph Reisinger (University of Oxford)
Alex Weissensteiner (Technical University of Denmark)

Conference Fees

IMA Member £205
Non-IMA Member £250
IMA Student £135
Non-IMA Student £145

To register for this event, please download, complete and return the application form.

Single en suite B&B accommodation is available on site for the night of 18 June for £55 per night and rooms will be allocated on a first-come-first-service basis. Please contact the IMA Conferences Department directly for availability for other nights.

Programme Committee

Paul Johnson (University of Manchester) - Chair
Tim Johnson (Heriot-Watt University) - Deputy Chair
Rama Cont (Imperial College London)
Andrea Macrina (University College London)
Arne Strauss (Warwick Business School)

Contact information

For general conference queries please contact Lizzi Lake, Conference Officer
E-mail: conferences@ima.org.uk              Tel: +44 (0) 1702 354 020
Institute of Mathematics and its Applications, Catherine Richards House, 16 Nelson Street, Southend-on-Sea, Essex, SS1 1EF, UK.

 

Conference supported by