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:
For research visits, including New Researcher Fellowships and SAMSI-University Fellowships, consult Visiting and Employment Opportunities for 2005-06.
For postdoctoral appointments, consult Postdoctoral Positions for 2005-06.
For other questions, send E-mail to [email protected].
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