SAMSI Program on Financial Mathematics, Statistics and Econometrics

				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]
Programs Propose a Program Visitor Info
		2005-06 Program on Financial Mathematics, Statistics and Econometrics Research Foci Description of Activities Working Groups Further Information Research Foci 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), John Lehoczky (Carnegie-Mellon University; National Advisory Committee Liaison), Ronnie Sircar (Princeton), Ralph Smith (SAMSI; Directorate Liaison) 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. The Transition Workshop is February 27-28, 2006. 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:Program Courses Advanced Topics in Financial Econometrics Special Topics in Financial Mathematics Working Groups Computational Issues Credit Risk Levy Processes Model Uncertainty Portfolio Management 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 2006-07. For postdoctoral appointments, consult Postdoctoral Positions for 2006-07. For other questions, send E-mail to [email protected]. Final Program Report
		Entire site © 2001-2008, Statistical and Applied Mathematical Sciences Institute. All Rights Reserved.