Research in Options 2021

Announcement RiO 2021

R i O 2021

Research in Options 2021

UFSC, Online

Nov. 21 - Nov. 24, 2021

Rio View

Description of the Research in Options 2021

    During the period of November 21-24, 2021, we are organizing the event "Research in Options: RiO 2021" in a virtual format.

    The meeting will take place from 10AM till 4PM NY Time (12NOON till 6PM in Rio de Janeiro).

    This is the sixteenth edition of a highly successful meeting that has been hosted by IMPA in the past and had the presence of a large number of scientists, mathematicians, and practitioners working on the interface of mathematics and finance. This time around it will be hosted by FGV EMAp and the Math Department at Khalifa University, UAE.

    The use of sophisticated mathematical tools in financial engineering ranging from partial differential equations to stochastic analysis and numerical methods has been growing steadily during the past few decades. On the one hand, the mathematical tools and results have impacted the way financial phenomena are modeled and understood, and how risk is assessed and managed. On the other hand, the financial industry has been presenting a number of mathematical and computational challenges to researchers.

    This is the tenth conference hosted by LAMCA's group on Math Finance on the subject. It  is a follow up of the highly successful previous editions. Each one had in its attendance about 100 participants evenly spread from academia and industry. This year we will focus on different aspects of mathematical finance including (but not limited to) option pricing, fixed income,  volatility trading, real options, commodities, algorithmic trading, portfolio and risk management.

Scientific Committee:

Marco Avellaneda
Courant Institute, NYU, USA
Bruno Dupire
Bloomberg, USA
Jorge P. Zubelli
Khalifa University, UAE & IMPA (retired)

Local Committee:
Vinicius Albani (Coordinator)
UFSC, Brazil
Edson Junior
FGV, Brazil
Fabio J. Margotti
UFSC, Brazil
Yuri Saporito
FGV, Brazil
Max O. De Souza
Dep. de Matematica, UFF, Brazil
Rodrigo Targino
FGV, Brazil

International Participants:

Carole Bernard (Grenoble Ecole de Management)
Giorgio Consigli (Khalifa University, Abu Dhabi)
Stephane Crepey (Universite de Paris, France)
Raphael Douady (Univ. Paris 1 and CNRS, France)
Bruno Dupire (Bloomberg & New York University, USA)
Ernst Eberlein (Universitat Freiburg, Germany)
Jean-Pierre Fouque (University of California, USA)
Jim Gatheral (Baruch College, USA)
Alan De Genaro (FGV, Brazil)
Emmanuel Gobet (Ecole Polythechnique, France)
Martino Grasselli (Padova University, Italy & Devinci Research CenterParis la Defense, France)
Matheus Grasselli (McMaster University, Canada)
Julien Guyon (Bloomberg, USA)
Brian Huge (Saxo Bank, Denmark)
Lane Hughston (Goldsmiths University of London, UK)
Sebastian Jaimungal (University of Toronto, Canada)
Alex Lipton (Abu Dhabi Investment Authority)
Teemu Pennanen (King's College London, UK)
Alberto Pinto (Universidade do Porto, Portugal)
Marcos Lopez de Prado (Abu Dhabi Investment Authority)
Antoine Savine (Danske Bank Copenhagen, Denmark)
Josef Teichmann (ETH Zurich,Switzerland)

To participate, you must register.

To register, please follow this link.

If you need a certificate, please also register HERE (in Portuguese only).

Venue: Online

Abstracts: Click here.

General Program: Click here.
Daily Program
    Nov.21 Click here.
    Nov.22 Click here.
    Nov.23 Click here.
    Nov.24 Click here.

Special Issue:
    We are pleased to announce the special issue "Computational Mathematics and Data Science Methods in Quantitative Finance" in the new open-access elsevier journal at Journal of Computational Mathematics and Data Science, with Jorge Zubelli. Yuri Saporito and Vinicius Albani, serving as guest editors. For this special issue, the publisher has waived all fees.

Please, take note of the deadlines:
Submission: January 31, 2022.
Editorial acceptance: June 1, 2022.

More information on this special issue: Click here.
Submission: Click here.