EPSRC Symposium Workshop - Optimal stopping, optimal control and finance

Monday 16 - Friday 20 July 2012

Organisers: Alex Cox (Bath), Ben Hambly (Oxford), David Hobson (Warwick), Goran Peskir (Manchester)

Despite the much publicised cataclysm in financial markets following the credit crunch, there is little evidence that the financial sector, or financial mathematics have become less important. Moreover, given the ‘misplaced reliance on sophisticated mathematics’ identified in the Turner report, the need for improved understanding of financial markets has increased. Mathematical finance remains one of the richest applications of modern mathematics and optimal stopping (exercise of American options) and control (hedging and portfolio management) are two important aspects in the stochastic theory of mathematical finance. This meeting aims to operate at the interface between probability and mathematical finance to explore the latest developments in the subject, in areas such optimal stopping and dynamic programming.

Confirmed speakers

Peter Bank (Berlin), Mark Davis (Imperial), Erik Ekstrom (Upsala), Vicky Henderson (Oxford), Saul Jacka (Warwick), Ioannis Karatzas (Columbia), Dmitry Kramkov (Carnegie-Mellon), Andreas Kyprianou (Bath), Damien Lamberton (Paris), Jan Obloj (Oxford), Jesper Pedersen (Copenhagen), Huyen Pham (Paris), Martijn Pistorius (Imperial), Chris Rogers (Cambridge), Paavo Salminen (Abo), Mete Soner (Zurich), Richard Stockbridge (Wisconsin), Nizar Touzi (Paris), Stephane Villeneuve (Toulouse), Mihail Zervos (LSE).

Registration

Registration is required for this meeting. Please follow the link on the right of this page.

Schedule

Schedule available here

Menu choices for the Workshop Dinner at Coombe Abbey are available here (note: numbers are limited to 56, cost is £20 per head).

Practical Details

Accommodation will be arranged on Campus by the Mathematics Research Centre (MRC).

Some practical details

Here is advice on how to get to Warwick University from the main UK airports.

The nearest railway station to the University is Coventry Railway Station, approximately 2.5 miles away.

Here is a map of the Warwick campus (where the Mathematics Department is in the Zeeman Building, numbered 37).

Here is some information on local buses (U1 and U2 connect Coventry-University-Leamington Spa; 12 connects Coventry-University-Kenilworth-Leamington Spa). Kenilworth is 4 miles from the University. Leamington Spa is 8 miles from the University, and has its own railway station.

The cost of parking on Campus is £3 per day.

Lectures will be in room MS.01 in the Zeeman Building (which is suitable for blackboard, OHP or computer presentations).

How to get here

Internet Access at Warwick:
Where possible, visitors should obtain an EDUROAM account from their own university to enable internet access whilst at Warwick.

If you need WiFi whilst at Warwick, click here for instructions (upon arrival at Warwick)

Registration:
You can register for any of the symposia or workshops online. To see which registrations are currently open and to submit a registration, please click here.

Contact:
Mathematics Research Centre
Zeeman Building
University of Warwick
Coventry CV4 7AL - UK
E-mail:
MRC@warwick.ac.uk