Conference on Modeling, Optimization and Risk Management in Finance

University Of Florida, Gainesville FL

Investigators

Abstract

This award provides travel and logistical support for the first major workshop on financial engineering to grow out of NSF's recent ventures into engineering the service sectors. The meeting involves 40-50 participants and takes place March 5-7, 2003 at the University of Florida in Gainesville. Workshop participants will discuss all topics on which DMII's Service Engineering Program is beginning to provide support, including portfolio optimization, risk management, and modeling of financial derivatives. The workshop will offer both a mini-symposium on recent developments and an effort to set the agenda for future research. Beyond NSF, support will also come from the University and from companies interested in financial engineering. Financial institutions are among the most rapidly growing part of the service sector of the economy. The associated modeling and analysis activity, known collectively as "financial engineering," is a growing area of research which is highly mathematical and well suited to the skills and backgrounds of the operations research community. This workshop has the potential to cement that relationship by assembling all the interested communities for the first time under NSF auspices.