WORKSHOP ON OPTIMIZATION IN FINANCE

Optimization models and methods play an increasingly important role
in financial decision making. Many problems in quantitative finance,
originating from asset allocation, risk management, derivative pricing,
and model fitting, are now routinely and efficiently solved using
modern optimization techniques. This workshop will bring together
researchers in the rapidly growing field of financial optimization
and intends to provide a forum for innovative models and methods
on new topics, novel approaches to well-known problems, success
stories, and computational studies in this exciting field. Participants
are encouraged to present and discuss their recent work and new,
possibly controversial, approaches are particularly welcome.
The targeted audience for this workshop includes graduate students
and faculty members working in applied mathematics, operations
research, and economics, who have been interested in mathematical
finance or plan to do so. The workshop will also be attractive
for those doing quantitative modeling in the financial market.
Invited speakers to the workshop include:
J. R. Birge (Northwestern University)
J. M. Mulvey (Princeton University)
R. T. Rockafellar (University of Washington)
N. Touzi (CREST, France)
S. Uryasev (University of Florida)
S. A. Zenios (University of Cyprus)
A one-day short-course, intended for optimization researchers
interested in quantitative finance as well as finance researchers
and practitioners interested in optimization models and methods,
will precede the scientific program of the workshop.
Short-course lectures will be delivered by Stefano Herzel
(Optimization Problems in Pricing and Hedging Options) and
Reha Tutuncu (Robust Optimization in Finance).
Invited and contributed presentations will be scheduled during the
remaining three days. Participants who wish to present a talk are
invited to submit a title and an abstract to [email protected] by
April 1, 2005. Notification of acceptance will occur before May 1, 2005.
Additional information regarding registration, contributed talks,
deadlines, accommodation etc.