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CRM > English > Activities > Curs 2019-2020 > INTENSIVE RESEARCH PROGRAM IN QUANTITATIVE FINANCE
INTENSIVE RESEARCH PROGRAM IN QUANTITATIVE FINANCE
COVID-19: For the moment we are plannning to maintain this activity/research program as announced. However, we are monitoring the situation and we will update this information on April 14th.


​June 8th - July 24th, 2020

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General inform​ation
  


Descr​iption
  
This intensive program focuses in hot topics in Quantitative Finance. In the last decades, problems emerging in the financial industry have been a starting point for the development of  quantitative techniques. These techniques cover a wide spectrum of mathematical fields, from probability theory to numerical and computational tools. A huge volume of research has done in the academia inspired by these problems. In the contrary direction, the financial industry is using more and more advanced (from the mathematical point of view) tools and concepts, due to the increasing complexity of markets, that can only be addressed with high-level quantitative methods. This program has been designed to create a bridge between the academia and the industry and it is thought to be a forum to gather professionals working in this area. This means, from the academia, the financial industry and specialized software companies. The program will last for two months and it will take place at the Centre de Recerca Matemàtica during the period June-July 2020. 

The program is composed of:

  1. a) Two advanced courses focused on the mathematical and computational tools in Quantitative Finance.
  2. ​b) A workshop devoted to the current challenges in option pricing and hedging in the financial industry and the latest academic developments.
  3. c) A weekly seminar for researchers.
  4. d) A weekly seminar for students.

Organiz​ers

​Elisa Alòs​​​​​​ ​​Universitat Pompeu Fabra
​Luis Ortiz-Gracia ​Universitat de Barcelona
​Josep Vives

​Universitat de Barcelona-IMUB

 Scientific com​mittee
   
​Elisa Alòs​ ​Universitat Pompeu Fabra
​José Manuel Corcuera ​Universitat de Barcelona
​Maria Elvira Mancino ​Università di Firenze
​Cornelis W. Oosterlee ​Delft University of Technology and CWI
​Luis Ortiz-Gracia ​Universitat de Barcelona
​Carlos Vázquez Cendón ​Universidade da Coruña
​Josep Vives ​Universitat de Barcelona-IMUB​
  
Invited ​visiting researchers
 ​​  
AlessandraAimiUniversità degli studi di Parma29/06/202003/07/2020
ElisaAlòsUniversitat Pompeu Fabra01/06/202030/07/2020
FabioAntonelliUniversità degli Studi dell'Aquila12/07/202023/07/2020
ArgimiroArratiaUniversitat Politècnica de Catalunya13/07/202017/07/2020
CaroleBernardVrije Universiteit Brussel12/07/202018/07/2020
Duy-MinhDangUniversity of Queensland
MasaakiFukasawaOsaka University12/07/202018/07/2020
DariusGatarekInstitute PAS12/07/202018/07/2020
EduardGimenezCaixabank s.a.12/07/202018/07/2020
ChiaraGuardasoniUniversità degli studi di Parma29/06/202010/07/2020
Karel in'tHoutAntwerp University12/07/202018/07/2020
AntoineJacquierImperial College London
MoniqueJeanblancUniversité d'Evry Val d'Essonne13/06/202021/06/2020
Jorge A.LeónCINVESTAV04/07/202025/07/2020
MattLorigUniversity of Washington14/06/202030/07/2020
VladimirLucicMacquarie Group13/07/202017/07/2020
ClaudeMartiniZeliade Systems13/07/202017/07/2020
IsmaelMorenoVidaCaixa SA
Cornelis W.OosterleeCentrum Wiskunde and Informatica (CWI)07/06/202012/06/2020
LuisOrtizUniversitat de Barcelona01/06/202030/07/2020
ThorstenRheinländerVienna University of Technology01/07/202017/07/2020
SimonaSanfeliciUniversità degli studi di Parma29/06/202003/07/2020
WimSchoutensKatholieke Universiteit Leuven12/07/202018/07/2020
JosepVivesUniversitat de Barcelona01/06/202030/07/2020
UweWystupMathFinance AG13/07/202017/07/2020
​​

 Main activities of the programme​​
  
Weekly seminars for researchers​. June 22nd to July 24th, 2020
 
Acknowledgements​
Natixis has funded this programme to help French students or doctors to participate in the activities.

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 Further informati​on
  
For inquiries about the program please contact the research programme's coordinator Ms. Núria Hernandez at nhernandez@crm.cat​
 
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