IRP Quantitative Finance (ONLINE)

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Intensive Research Programme (IRP)
From May 31, 2021
to July 23, 2021

If you wish to register only for one of the activities, please choose the one you are interested in from the list



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 be held online from May 31st to July 23rd, 2021.
The program is composed of:
  • Two advanced courses focused on the mathematical and computational tools in Quantitative Finance.
  • ​A workshop devoted to the current challenges in option pricing and hedging in the financial industry and the latest academic developments.
  • A weekly seminar.


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



Natixis has funded this programme to help French students or doctors to participate in the activities.


For inquiries about the activity please contact the research programs coordinator Ms. Núria Hernández at nhernandez@crm.cat​​