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  1. Courses
  2. 2012 Conference on Financia...

2012 Conference on Financial Mathematics and Engineering

22 Course items

The 2012 Conference on Financial Mathematics and Engineering was held from July 9-11 in Minneapolis, Minnesota, jointly with the SIAM Annual Meeting and sponsored by the SIAM Activity Group on Financial Mathematics and Engineering. The SIAG/FME focuses on research and practice in financial mathematics, computation, and engineering. Its goals are to foster collaborations among mathematical scientists, statisticians, computer scientists, computational scientists, and researchers and practitioners in finance and economics, and to foster collaborations in the use of mathematical and computational tools in quantitative finance in the public and private sector. The activity group promotes and facilitates the development of financial mathematics and engineering as an academic discipline.

Use the search box in the upper right to search for a speaker, talk title, or topic. Select "Content" to see the list of other SIAM meetings with presentations available for viewing.

Optimal Execution in a General One-Sided Limit Order Book

Section: 1 Presentation

Small-time asymptotics and adaptive simulation schemes for stopped Lévy processes

Section: 1 Presentation 1 Link

Optimal Order Placement in Limit Order Books

Section: 1 Presentation

Quantitative Absence of Arbitrage and Equivalent Changes of Measure

Section: 1 Presentation 1 Link

Systemic Risk

Section: 1 Presentation 1 Link

AWM-SIAM Sonia Kovalesky Lecture: The Role of Characteristics in Conservation Laws- A Legacy of Sonia Kovalevsky

Section: 1 Presentation 1 Link

The John von Neumann Lecture: Liquid Crystals for Mathematicians

Section: 1 Presentation 1 Link

Past President's Address: Reflections on SIAM, Publishing, and the Opportunities Before Us

Section: 1 Presentation 1 Link

W. T. and Idalia Reid Prize Lecture: Large Algebraic Properties of Riccati Equations

Section: 1 Presentation 1 Link

I.E. Block Community Lecture: Creating Reality: The Mathematics behind Visual Effects

Section: 1 Presentation 1 Link

SIAG/FME Junior Scientist Prize: Market-Based Approach to Modeling Derivatives Prices

Section: 1 Presentation 1 Link

Limit Order Books

Section: 3 Presentations 3 Links

Portfolio Theory

Section: 4 Presentations 4 Links

Stochastic Control in Finance

Section: 3 Presentations 2 Links

Systemic Risk

Section: 4 Presentations 2 Links

Risk in Interacting Stochastic Systems

Section: 3 Presentations 1 Link

Jump Processes in Finance: Modeling, Statistics and Option Pricing

Section: 4 Presentations 4 Links

New Developments in Optimal Portfolio Choice Problems

Section: 2 Presentations 2 Links

Stochastic Analysis and Partial Differential equations in finance

Section: 1 Link

Matrix-valued Processes and their Applications to Multivariate Stochastic Volatility Modeling

Section: 2 Presentations 1 Link

Calibration and Inverse Problems in Finance

Section: 2 Presentations 2 Links

Mathematical Modeling of Interest Rates: Challenges and New Directions

Section: 1 Presentation 1 Link
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