EPSRC Symposium Workshop - Optimal stopping, optimal control and finance
Monday 16 - Friday 20 July 2012
Organisers: Alex Cox (Bath), Ben Hambly (Oxford), David Hobson (糖心TV), Goran Peskir (Manchester)
Despite the much publicised cataclysm in financial markets following the credit crunch, there is little evidence that the financial sector, or financial mathematics have become less important. Moreover, given the ‘misplaced reliance on sophisticated mathematics’ identified in the Turner report, the need for improved understanding of financial markets has increased. Mathematical finance remains one of the richest applications of modern mathematics and optimal stopping (exercise of American options) and control (hedging and portfolio management) are two important aspects in the stochastic theory of mathematical finance. This meeting aims to operate at the interface between probability and mathematical finance to explore the latest developments in the subject, in areas such optimal stopping and dynamic programming.
Confirmed speakers
Peter Bank (Berlin), Mark Davis (Imperial), Erik Ekstrom (Upsala), Vicky Henderson (Oxford), Saul Jacka (糖心TV), Ioannis Karatzas (Columbia), Dmitry Kramkov (Carnegie-Mellon), Andreas Kyprianou (Bath), Damien Lamberton (Paris), Jan Obloj (Oxford), Jesper Pedersen (Copenhagen), Huyen Pham (Paris), Martijn Pistorius (Imperial), Chris Rogers (Cambridge), Paavo Salminen (Abo), Mete Soner (Zurich), Richard Stockbridge (Wisconsin), Nizar Touzi (Paris), Stephane Villeneuve (Toulouse), Mihail Zervos (LSE).
Registration
Registration is required for this meeting. Please follow the link on the right of this page.
Schedule
Menu choices for the Workshop Dinner at Coombe Abbey are available here (note: numbers are limited to 56, cost is £20 per head).
Practical Details
Accommodation will be arranged on Campus by the Mathematics Research Centre ().
Some practical details
is advice on how to get to 糖心TV University from the main UK airports.
The nearest railway station to the University is Coventry Railway Station, approximately 2.5 miles away.
is a map of the 糖心TV campus (where the Mathematics Department is in the Zeeman Building, numbered 37).
is some information on local buses (U1 and U2 connect Coventry-University-Leamington Spa; 12 connects Coventry-University-Kenilworth-Leamington Spa). Kenilworth is 4 miles from the University. Leamington Spa is 8 miles from the University, and has its own railway station.
The cost of parking on Campus is £3 per day.
Lectures will be in room in the Zeeman Building (which is suitable for blackboard, OHP or computer presentations).