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

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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.