Models, Algorithms and Practice with application to derivatives pricing, risk measures and CVA

The 6th Summer School in Mathematical Finance is being held at AIMS from 21 to 23 February 2013. This workshop forms part of the MPE2013 initiative.

The International Cramér Symposium on Insurance Mathematics will be held at Stockholm University on 11-14 June, 2013.

The symposium is organised by the Department of Mathematics (Institute of Insurance Mathematics and Mathematical Statistics) at Stockholm University in cooperation with the Scandinavian Actuarial Journal. Participation in the symposium is open to researchers, students, practitioners in business and industry and other specialists from all countries.

The symposium is dedicated to the memory of the outstanding Swedish mathematician, Harald Cramér, the former Vice-Chancellor of Stockholm University, and the head of the Institute of Insurance Mathematics and Mathematical Statistics at Stockholm University founded by him in 1929.

The symposium will also mark the centenary of the Scandinavian Actuarial Journal. Harald Cramér was for many years the Editor-in-Chief of this journal.

The International Cramér Symposium on Insurance Mathematics will be organized as a high level scientific forum, where innovative results, new ideas and problems in the area of insurance mathematics will be presented and discussed. The symposium intends to stimulate cooperation between academic research groups and people from the insurance business in the area of insurance mathematics; to promote further development of graduate and postgraduate actuarial education; to update and to spread knowledge about the history of insurance mathematics; and to discuss the future development of insurance mathematics.

The main topics of the symposium are:

The use of sophisticated mathematical tools in financial engineering ranging from partial differential equations to stochastic analysis and numerical methods has been growing steadily during the past few decades. On the one hand, the mathematical tools and results have impacted the way financial phenomena are modeled and understood, and how risk is assessed and managed. On the other hand, the financial industry has been presenting a number of mathematical and computational challenges to researchers. The conference aims at showing the applications of theoretical advances to practitioners, with a special focus to Brazil.

The 2012 High Frequency Data Conference will focus on sharing the latest research and applications of models for data sampled with high frequency. This four-day conference will gather key thought leaders from academia, industry and government from across the globe in the areas of mathematical finance, financial engineering, quantitative finance, stochastic processes applications and more.

This course concentrates on the thinking behind risk management rather than the execution and considers every aspect of a strategy, from design through to execution and beyond.

This course concentrates on the thinking behind risk management rather than the execution and considers every aspect of a strategy, from design through to execution and beyond.

Topics during the discussion will include:

Dodd-Frank, and Operational Risk Impacts from Regulation