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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), National Australia Bank (NAB), Numerix, the Institute of Mathematical Statistics (IMS) and the Special Year in Probability and Statistics, ANU Mathematical Sciences Institute.

 

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

The reception will be held on July 2 and the conference dinner on July 4.

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
 

The IMS-FPS-2014 Pre-Workshop: High Frequency Trading: Data, Models and Strategies

The pre-workshop is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area of Finance, Probability and Statistics.

Pre Workshop 

High frequency trading: data, models and strategies

The pre-workshop is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area of Finance, Probability and Statistics.

 

Workshop Structure
Plenary talks (45 min each) will be followed by two parallel sessions with invited talks (30 min each) and contributed talks (20 min each). The reception will be held on July 2 and the conference dinner on July 4.

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

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 Jarratt (NAB)

 

Organisers and speakers for invited sessions include

Kostya Borovkov (Melbourne U), Alan Brace (NAB), Andrew McClelland (Numerix), Volf Frishling (NAB), Cheng-Der Fuh (National Central University, 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), Song-Ping Zhu (U of Wollongong)

 

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

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.

To register for this course use the link
Registration

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

Download the program booklet here