Conference


The Financial Mathematics community has successfully established several series of major international conferences. These include, for example, the biennial SIAM Financial Mathematics and Engineering conference organized by the SIAM Activity Group on Financial Mathematics, and the biennial World Congress of the Bachelier Finance Society. The Western Conference on Mathematical Finance (WCMF) continues a recently established tradition aiming to complement these events by emphasizing, geographically, Western United States. The first WCMF was held at Stanford University in 2007, followed by University of Texas at Austin in 2008, and University of Califoria at Santa Barbara in 2009. The University of Southern California Mathematical Finance program is proud to serve as the host for the 2011 conference.

The objective of the conference is to present recent work in the cutting-edge topics of Financial Mathematics and related fields of Stochastic Analysis, Applied Probability and Statistics. The specific topics that are expected to be represented in the conference include, but are not limited to:

  • Modeling of  liquidity in financial markets
  • Dynamic risk measures and financial regulation
  • Nonlinear pricing in less developed and "young" markets
  • Equilibrium properties in markets with heterogeneous agents
  • Analysis of high-frequency financial data
  • Modeling of limit order and electronic market and high frequency trading
  • Finding optimal contracts for compensation of managers and executives

Information


The Symposium will feature two keynote speakers and several invited speakers. All invited addresses are scheduled for 45 minutes each, and there will also be some shorter presentations for junior researchers/graduate students. For details see conference Schedule.
The two keynote speakers are:

  • Nicole El Karoui (Universite Paris VI, France)
  • George Papanicolau (Stanford University, USA)

The conference will be followed immediately by the 6th Symposium on Backward SDEs and Applications, which will be held at USC on June 8-10, 2011.

IMPORTANT DEADLINES

Registration: March 1st, 2011

Hotel Reservation (group rate):  TBA

Organizing and Scientific Committee


Scientific Committee:

  • Jean-Pierre Fouque, UCSB
  • Kay Giesecke, Stanford University
  • Xin Guo, UC Berkeley
  • George Papanicolaou, Stanford University
  • Thaleia Zariphopoulou, UT Austin and Oxford U.


Local Organizers:

  • Jin Ma, USC
  • Jianfeng Zhang, USC
  • Jaksa Cvitanic, Caltech
  • Amy Yung, USC
  • Nicole Jamison, USC

Contact Person:

  • Nicole Jamison