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Fourth IMS-FPS workshop 2014

         

Fourth IMS-FPS workshop 2014

Second announcement

IMS-FPS-2014 Workshop, July 2-6, 2014, UTS, Sydney

 

This is the Fourth IMS-FPS (Institute for Mathematical Statistics - Finance, Probability and Statistics) workshop, it is a satellite workshop to the joint Australian Statistical Society and IMS Annual Meeting which will be held in Sydney (July 7-10). The previous IMS-FPS workshops were held in 2011 at Columbia University, in 2012 at the University of California at Berkeley and in 2013 at the National University of Singapore. The goal of the workshop is to bring together leading academic experts, practitioners and junior researchers, which will highlight important contributions to mathematical and computational finance made through the use of statistics and probability.

The sponsors of the workshop are the Australian Mathematical Science Institute (AMSI), the Australia Mathematical Society (AustMS)University of Technology, Sydney (UTS), the Quantitative Finance Research Centre (QFRC), the Institute of Mathematical Statistics (IMS) and ANU Mathematical Sciences Institute.

The main venue is the lecture theatre at Aerial UTS Function Centre which is located within the Broadway UTS Campus.

Plenary talks (45 min each) will be followed by two/three parallel sessions with invited talks (30 min each) and contributed talks (20 min each). There will be a poster session on July 3. The reception will be held on July 2, the conference dinner on July 4, and the cruise lunch in Sydney Harbour on July 6.

Several sessions of the workshop would be dedicated to practitioners. In addition there would be short course on Stochastic Optimal Control, designed for Graduate Students and Practitioners.

The International Programme and Organising Committee

Xin Guo (UC, Berkeley), Steven Kou (NUS, Singapore), Alex Novikov (UTS), Philip Protter (Columbia U)

The workshop topics include, but are not limited to:   

·        High frequency trading: data, models and strategies

·        Energy and weather derivatives

·        Change-point models

·        Volatility models

·        Stochastic optimal control

·        Decision Making with Incomplete Information

·        Retirement products

·        Exotic options

·        Irregular markets

·        Risk and Regulation


Workshop Structure

Plenary talks (45 min each) will be followed by two/three parallel sessions with invited talks (30 min each) and contributed talks (20 min each). There will be a poster session on July 3. The reception will be held on July 2, the conference dinner on July 4, and the cruise lunch in Sydney Harbour on July 6.

Several sessions of the workshop will be dedicated to practitioners. In addition there will be a short course on Stochastic Optimal Control, designed for postgraduate students and Practitioners.


Speakers for plenary sessions include

Rene Carmona (Princeton U), Carl Chiarella (UTS), Rong Chen (Rutgers U), Dilip Madan (U of Maryland),  Juri Hinz (UTS), Tze-Leung Lai (Stanford U), Eckhard Platen (UTS), Albert Shiryaev (Moscow State U), Xunyu Zhou (Chinese U, Hong Kong), John Jarrat (NAB).


Organisers
 and speakers for invited sessions include

Kostya Borovkov (Melbourne U), Andrew McClelland (Numerix, Nikolai Dokuchaev (Curtin U), Volf Frishling (NAB), Cheng-Der Fuh (NCU, Taiwan), Xin Guo (U of California, Berkeley), Olympia Hadjiliadis(City U, New York), Hardy Hulley (UTS), Masaaki Kijima (Tokyo Metropolitan U), Steve Kou (NUS), Ross Maller (ANU), Phil Protter (Columbia U), Igor Skryabin (ANU), Pavel Shevchenko (CSIRO, Sydney), Alex Tartakovski (U of Connecticut).


Proceedings of IMS-FPS-2014

Extended abstracts, short papers or full manuscripts are welcome for submission by 1 May 2014, by email submission to Tim Ling. All accepted short and full papers and extended abstracts will be published under on a CD-ROM assigned an ISBN. Selected papers will be published in a Special Issue of the "ANZIAM Journal" (http://journals.cambridge.org/action/displayJournal?jid=ANZ).

Registration will open on February 5, 2014.


To register use the link

Registration to Workshop

 

Registration fee:

 

Industry/non-academic

$500

Academic from university outside of AMSI, IMS and AustMS

$375

Academic from members of AMSI, IMS andAustMS

$300

Student

$150

 

The registration fee includes:

  • Access to conference sessions
  • Full conference materials including a programme booklet
  • Welcome drinks reception on July 2
  • Mid-session refreshments, as scheduled in the conference programme


On July 2 and 3 
Juri Hinz (UTS) will give a short course on
"Theory and applications of discrete-time stochastic control"
This short course presents modern developments of the theory and applications of discrete-time stochastic control. It includes topics on indirect observations, numerical treatment of high-dimensional problems, and applications arising in management of real assets.

Registration to Short Course (July 2)

 

Inquiries: please send all your inquiries to Tim Ling (the scientific secretary of the workshop), 
Timothy.Ling-1@uts.edu.au

 

Joint Australian Statistical Society and IMS Annual Meeting (ASC-IMS 2014)

Note that immediately following the IMS-FPS 2014 workshop is the Australian Statistical Conference in conjunction with the Institute of Mathematical Statistics Annual Meeting 2014, to be held on 7-10 July at the Australian Technology Park, Sydney. Please visit the website for more details: ASC-IMS 2014 site.


Download the poster 
here