Statistical and Applied Mathematical Sciences Institute
19 T. W. Alexander Drive
P.O. Box 14006
Research Triangle Park, NC 27709-4006
Tel: 919.685.9350 FAX: 919.685.9360
[email protected]

 

2005-06 Program on
Financial Mathematics, Statistics and Econometrics

 

The  goal of a SAMSI program in Financial Mathematics, Statistics, and Econometrics is  to bring together these disciplines, and focus on the major challenges in the three essential tasks: modeling, data analysis and computation, in applications ranging from financial and energy derivatives to real options and defaultable securities.  

 

To inquire about participation in the program as a fellow, go to Visiting & Employment Opportunities.  To inquire about participation as a long-term visitor or in workshops, contact the program leader or write to [email protected].

 

Program Leaders:  Marco Avellaneda (NYU), Jean-Pierre Fouque (NC State),  Eric Ghysels (UNC),  Ronnie Sircar (Princeton),  Ruey Tsay (University of Chicago), and Thaleia Zariphopoulou (University of Texas Austin).

 

Scientific Committee:  Ole E. Barndorff-Nielsen (Centre for Mathematical Physics and Stochastics, Aarhus, Denmark),  Rene Carmona (Princeton University),  Darrell Duffie (Stanford University),  Nicole ElKaroui (Ecole Polytechnique, France),  Lars Hansen (University of Chicago), and  Robert Jarrow (Cornell University). 

 

Description of Activities

Workshops:  The Opening Workshop is scheduled  on September 18-21, 2005. Other meetings TBA.

Research:   SAMSI will provide a platform for interdisciplinary collaborations through carefully designed plans for interactive research activities that will span a semester and beyond.  To foster collaboration and individual projects, SAMSI will complement repeat visits of key people by the spontaneous workshops.

Education:  Courses TBA 

 

Program Activities

Tutorials and Opening Workshop

September 18-21, 2005

 

Stochastic Modeling for Financial Mathematics

CRM, University of Montreal

June 1-5, 2005

 

Closing Workshop

TBA

 

 

Program Courses

 

Fall 2005

 

Advanced Topics in Financial Econometrics

Tuesdays, 4:30-7:00pm

(beginning August 30, 2005)

 

Special Topics in Financial Mathematics

Wednesdays, 4:30-7:00pm

(beginning August 31, 2005)

 

 

 

Further Information

Additional information about the program and opportunities to participate in it is available:

 

 

 

 

 

 

SAMSI Home Page
 

 

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