Conference on Risk Management and Quantitative Approaches in Finance; April 5-7, 2005; Gainesville, FL

金融风险管理和定量方法会议；

• 批准号: 0507860
• 负责人: Farid AitSahlia
• 金额: $ 2.5万
• 依托单位: University of Florida
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2005
• 资助国家: 美国
• 起止时间: 2005-03-15 至 2006-02-28
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0507860&HistoricalAwards=false
• 关键词: Conference; Risk; Management; Quantitative; Approaches

This grant provides funding in support of an international conference entitled Risk Management and Quantitative Approaches in Finance to be held April 6 - April 8, 2005 at the University of Florida in Gainesville. A rich set of financial topics and quantitative techniques will be presented and discussed. Financial topics include portfolio optimization in the presence of tax constraints, portfolio value-at-risk estimation, path-dependent option pricing and option pricing in incomplete markets, credit risk derivatives valuation, hedge funds strategies, stock price modeling, bond pricing, volatility modeling, and mortgage refinancing. Quantitative techniques to address these topics are drawn from statistical estimation, nonlinear optimization, probability theory, data mining and digital control engineering. The field of quantitative finance is rapidly evolving. It affects all aspects of risk management strategies followed by all the major financial institutions, which in turn affect society at large in very significant ways. The important role played by quantitative finance in understanding and evaluating the various and novel financial products used by these institutions will be further enhanced through this conference, which will bring together leading researchers from both industry and academia. This conference will also provide an opportunity for further collaboration and development between the disciplines of finance, statistics, mathematics, and engineering. A significant portion of this grant will provide support to under-represented groups in the field. It will also help defray the planned publication costs of the conference proceedings in a refereed journal, which will help further disseminate the research.

这笔赠款为将于2005年4月6日至4月8日在盖恩斯维尔的佛罗里达大学举行的题为金融风险管理和定量方法的国际会议提供资金。一套丰富的金融主题和定量技术将提出和讨论。金融主题包括存在税收约束的投资组合优化，投资组合风险价值估计，路径依赖期权定价和不完全市场中的期权定价，信用风险衍生品估值，对冲基金策略，股票价格建模，债券定价，波动率建模和抵押贷款再融资。解决这些问题的定量技术来自统计估计，非线性优化，概率论，数据挖掘和数字控制工程。量化金融领域正在迅速发展。它影响到所有主要金融机构所遵循的风险管理战略的各个方面，而这些战略反过来又以非常重要的方式影响到整个社会。量化金融在理解和评估这些机构使用的各种新型金融产品方面所发挥的重要作用将通过本次会议得到进一步加强，该会议将汇集来自工业界和学术界的领先研究人员。本次会议还将为金融，统计，数学和工程学科之间的进一步合作和发展提供机会。这笔赠款的很大一部分将用于支助在外地任职人数不足的群体。它还将帮助支付计划在一份经评审的期刊上发表会议记录的费用，这将有助于进一步传播研究成果。