Sponsored by the SIAM Activity Group on Financial Mathematics and Engineering.
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To RSVP to the conference on Facebook and connect with other attendees, find roommates etc., please visit https://www.facebook.com/events/1761265380751561/.If you are tweeting about the conference, please use the designated hashtag to enable other attendees to keep up with the Twitter conversation and to allow better archiving of our conference discussions. The hashtag for this meeting is #SIAMFM16.
Tim Leung, Columbia University, USA
Mike Ludkovski, University of California, Santa Barbara, USA
Carlo Acerbi, MSCI Inc., Switzerland
Fred Espen Benth, University of Oslo, Norway
Bruno Bouchard, Université Paris-Dauphine, Ceremade, France
Jaksa Cvitanic, California Institute of Technology, USA
Peter Forsyth, University of Waterloo, Canada
Vicky Henderson, University of Warwick, United Kingdom
Jan Obloj, University of Oxford, United Kingdom
Thaleia Zariphopoulou, University of Texas at Austin
The Activity Group on Financial Mathematics and Engineering focuses on research and practice in financial mathematics, computation, and engineering. Its goals are to foster collaborations among mathematical scientists, statisticians, computer scientists, computational scientists, and researchers and practitioners in finance and economics, and to foster collaborations in the use of mathematical and computational tools in quantitative finance in the public and private sector. The activity group promotes and facilitates the development of financial mathematics and engineering as an academic discipline.
SIAM and the Conference Organizing Committee wish to extend their thanks and appreciation to the U.S. National Science Foundation for its support of this conference.
- Algorithmic Trading, Market Making and Optimal Execution
- Central Counterparty Clearing
- Commodities and Energy Markets
- Computational Finance and Numerical Analysis
- Credit and Further Valuation Adjustments
- Dynamic Risk and Performance Measures
- High Frequency Market Microstructure, Liquidity, and Limit Order Books
- Mean Field Games
- Model Uncertainty and Robust Hedging
- Monte Carlo Methods
- Real Options
- Statistical Finance & Econometrics
- Stochastic Portfolio theory
- Stochastic Volatility Modeling
- Stochastic Financial Equilibria
- Systemic Risk and Financial Networks
- Transaction Costs
April 18, 2016: Minisymposium Proposal Submissions
May 16, 2016: Contributed Lecture, Poster and Minisymposium Presentation Abstracts
TRAVEL FUND APPLICATION DEADLINE
May 6, 2016: SIAM Student Travel Award and Post-doc/Early Career Travel Award Applications
October 13, 2016: Disconnect time is 4:00 PM EDT
HOTEL RESERVATION DEADLINE
October 13, 2016