NSF/CBMS Regional Conference on Convex Duality Method in Mathematical Finance

Event Date: 

Sunday, June 22, 2008 to Friday, June 27, 2008

Event Date Details: 

Location: Engineering Science Building (ESB), Room 1001.

Participants staying on-campus receive a complimentary parking permit.

NSF/CBMS Regional Conference on Convex Duality Method in Mathematical Finance

The conference will be held on the seaside campus of the University of California at Santa Barbara. The program will focus sharply on recent developments in applications of the convex duality method to problems in finance.

The basic structure of the meeting is designed to provide an opportunity for graduate students, new Ph.D.'s, young scientists, and senior researchers to learn from one another. The meeting is designed to benefit both researchers already working in this field and those who are interested in entering the field. There will be no contributed talks, however, afternoons are reserved for informal discussion sessions modeled on the successful example of the Seminar on Stochastic Processes series of conferences. The informal sessions are designed to encourage interaction between young researchers and more senior ones by devoting a large part of its program time to informal discussion and problem sessions.

Meeting schedule

Principal Lecturer

Dr. Marco Frittelli is Professor of Mathematical Finance at the University of Milano, Italy, having held positions at Florence, Milano, and Urbino Universities and visiting scholar positions in several universities in the USA and Europe. He is a member of the Editorial board of The Annals of Applied Probability and a member of the Scientific Council of the Bachelier Finance Society.

Dr. Marco Frittelli will deliver 10 lectures on the topic of Convex Duality Methods in Mathematical Finance.

Invited speakers

One-hour talks will be presented by the following invited speakers:
Sara Biagini (Perugia, Italy)
Alexander Schied (Cornell)
Mihai Sirbu (UT Austin)
Mike Tehranchi (Cambridge) 
Mingxin Xu (UNC Charlotte) 
Thaleia Zariphopoulou (UT Austin)

List of presentations and abstracts