IMS-Finance, Probability and Statistics 2014 (IMS-FPS-2014)

 In Workshop reports

University of Technology Sydney, 3–5 July 2014

This event was the fourth workshop of the Finance, Probability and Statistics (FPS) group under the auspices of the Institute for Mathematical Statistics (IMS, USA). A satellite of the joint Australian Statistical Conference/IMS Annual meeting, the workshop brought together leading academic experts, practitioners and junior researchers who have contributed to mathematical finance using probability and statistics.

During the High Frequency Trading pre-workshop Professors Philip Protter, Rene Carmona, and Xin Guo presented their research on new models for analysing trading strategies—an area of high interest within mathematical finance and applications research. Other main topics of the workshop were: analytical and numerical methods for pricing financial contracts, retirement products and insurance, stochastic optimal control, risk management and regulation, stochastic analysis, energy markets, Monte Carlo methods and empirical properties of financial markets.

The workshop provided a great opportunity to mix with people from academia and industry.

The Australian practitioners session organised by National Australia Bank (NAB) Head of Market Research Quantitative Support, Dr Volf Frishling, featured a plenary talk by Dr John Jarratt, Head of Operational Risk Quantitative Analysis NAB on Developments in operational risk modelling. LIBOR market model (known as the BGM Model) co founder, Dr Alan Brace discussed some open problems in the area of interest rate modelling.

Selected papers from the event will be published in a special issue of the ANZIAM Journal devoted to recent advances in Financial Mathematics and Applied Stochastic Analysis.

A great success, attendees (students, academics and practitioners) benefited from the program’s breadth of research and the quality of the international speakers. Questions and answer session following most talks generated opportunities for robust discussion.

MathSciNet Classification
91G80, 91G70, 91G80

Program structure
Running over four days, the workshop included 13 plenary and 45 invited talks. It was a great opportunity to mix with people from academia and industry.

Web Links
www.qfrc.uts.edu.au/IMS-FPS-2014/

Other Sponsors
IMS, AustMS

Contact
Timothy Ling, University of Technology Sydney
Timothy.Ling-1@uts.edu.au

Organisers

Professor Philip Protter, Columbia University
Professor Alex Novikov, University of Technology Sydney
Professor Xin Guo, University of California, Berkeley
Professor Steven Kou, Columbia University
Professor Kostya Borovkov, The University of Melbourne
Professor Ben Goldys, The University of Sydney
Associate Professor Juri Hinz, University of Technology Sydney
Professor Erik Shlogl, University of Technology Sydney
Adjunct Professor Pavel Shevchenko, University of Technology Sydney
Adjunct Professor Volf Frishling, University of Technology Sydney

Special presenters

Professor Rene Carmona, Princeton University
Research interests: probability, statistics, financial mathematics and commodity
and energy markets
Professor Xunyu Zhou, University of Oxford
Research interests: quantitative finance, stochastic control, applied probability
and mathematical behavioural finance
Professor Tze Lai, Stanford University
Research interests: clinical trial design and analysis, molecular therapeutics
for cancer, population pharmacokinetics and pharmacodynamics, biostatistics,
econometrics, quantitative finance and risk management, signal processing and
engineering systems control, probability theory and statistical inference
Professor Dilip Madan, University of Maryland
Research interests: mathematical analysis, economic theory, statistical
methodology and financial markets

Participant Summary

Attendees

NUMBER OF ATTENDEES

XX

  • Academic

    64%

  • Postdocs

    0%

  • Post Graduates

    28%

  • Students

    8%

  • Industry

    0%

Gender

Gender Breakdown

State Breakdown
Victoria
50%
Australian Capital Territory
50%
New South Wales
50%
Queensland
0%
South Australia
0%
Western Australia
0%
Tasmania
0%
Northern Territory
0%
International
0%
Citizenship Status
Domestic - 60%
50%
International - 40%
50%
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