Second Purdue Minisymposium on Financial Mathematics; April 15-16, 2005; West Lafayette, IN

Purdue University, West Lafayette IN

Investigators

Abstract

This proposal requests funds to support the Second Purdue Minisymposium on Financial Mathematics, to be held on April 15-16, 2005. A first edition was held at Purdue University on April 3, 2003, gathering 40 participants. The planned format for this short conference includes: one afternoon one morning, with expected attendance 60 to 80 participants; three main invited one-hour talks, full travel reimbursement for these senior speakers, 6 invited 25-minute talks, with partial travel reimbursement for 3 junior speakers; modest funds for coffee breaks, and one conference dinner for invited speakers; partial travel reimbursement for 7 Ph.D. students or postdoctoral scholars (people who obtained their Ph.D. no more than 3 years ago), and the possibility to present their work in a poster session. The three main speakers will be important researchers in quantitative finance, known for their world-class work in both theoretical financial mathematics and applied quantitative finance. The P.I.'s scientific motivation for the conference includes exposing the participants to an array of cutting-edge research topics in financial mathematics, including stochastic volatility in option pricing, American options, stochastic control and portfolio optimization under partial information, interacting particle methods in finance, Monte-Carlo financial simulation techniques. The proposed conference on Financial Mathematics at Purdue University will provide evidence to the participants that the interaction between Finance and Mathematics is bidirectional: beyond receiving answers to its applied questions, Finance provides great problems for probability theory, statistical science, and applied mathematics, motivates the development of new tools of intrinsic mathematical interest, and helps mold and improve the image and the purpose of Mathematics with the general non-scientific public. The conference will create an opportunity for the education of graduate students and beginning researchers with an interest in quantitative finance, by bringing local Purdue students in contact with like-minded peers from other academic institutions, by providing role models -- the main speakers, and by inspiring and uncovering possible new research topics. The P.I. will encourage underrepresented minorities to participate in the conference, and will target such groups for financial support by selecting invited speakers and supported graduate and postdoctoral participants appropriately.