Second Purdue Minisymposium on Financial Mathematics; April 15-16, 2005; West Lafayette, IN

该提案要求提供资金，以支持将于2005年4月15日至16日举行的第二届普渡金融数学小型研讨会。第一次会议于2003年4月3日在普渡大学举行，有40人参加。这个简短会议的计划形式包括：下午一个下午，预计有60到80人参加；3个主要邀请的一小时的演讲，这些高级演讲者的全额旅费报销；6个25分钟的受邀演讲，3个初级演讲者的部分旅费报销；咖啡休息的适度资金，以及被邀请的演讲者的1个会议主持人；7名博士后学生或博士后学者(不超过3年前获得博士学位的人)的部分旅费补偿，以及可以在后续会议上介绍他们的工作。三位主要演讲者将是数量金融学的重要研究人员，他们在理论金融数学和应用定量金融学方面都以世界级的工作而闻名。P.I.这次会议的科学动机包括让与会者接触到一系列金融数学的前沿研究课题，包括期权定价中的随机波动、美国期权、部分信息下的随机控制和投资组合优化、金融中的交互粒子方法、蒙特卡洛金融模拟技术。普渡大学拟议的金融数学会议将向与会者提供证据，证明金融和数学之间的互动是双向的：除了收到应用问题的答案外，金融还为概率论、统计科学和应用数学提供了巨大的问题，激励了内在数学兴趣的新工具的开发，并帮助塑造和改善了普通非科学公众对数学的形象和目的。这次会议将为对数量金融感兴趣的研究生和初级研究人员的教育创造机会，通过让普渡大学的本地学生接触来自其他学术机构的志同道合的同行，通过提供角色模型--主要演讲者，以及通过启发和发现可能的新研究主题。P.I.将鼓励代表人数不足的少数群体参加会议，并将通过适当选择受邀演讲者和获得资助的毕业生和博士后参与者，针对这类群体提供资金支持。

This proposal requests funds to support the Second Purdue Minisymposium onFinancial Mathematics, to be held on April 15-16, 2005. A first editionwas held at Purdue University on April 3, 2003, gathering 40 participants.The planned format for this short conference includes: one afternoon onemorning, with expected attendance 60 to 80 participants; three maininvited one-hour talks, full travel reimbursement for these seniorspeakers, 6 invited 25-minute talks, with partial travel reimbursement for3 junior speakers; modest funds for coffee breaks, and one conferencedinner for invited speakers; partial travel reimbursement for 7 Ph.D.students or postdoctoral scholars (people who obtained their Ph.D. no morethan 3 years ago), and the possibility to present their work in a postersession. The three main speakers will be important researchers inquantitative finance, known for their world-class work in both theoreticalfinancial mathematics and applied quantitative finance. The P.I.'sscientific motivation for the conference includes exposing theparticipants to an array of cutting-edge research topics in financialmathematics, including stochastic volatility in option pricing, Americanoptions, stochastic control and portfolio optimization under partialinformation, interacting particle methods in finance, Monte-Carlofinancial simulation techniques.The proposed conference on Financial Mathematics at Purdue University willprovide evidence to the participants that the interaction between Financeand Mathematics is bidirectional: beyond receiving answers to its appliedquestions, Finance provides great problems for probability theory,statistical science, and applied mathematics, motivates the development ofnew tools of intrinsic mathematical interest, and helps mold and improvethe image and the purpose of Mathematics with the general non-scientificpublic. The conference will create an opportunity for the education ofgraduate students and beginning researchers with an interest inquantitative finance, by bringing local Purdue students in contact withlike-minded peers from other academic institutions, by providing rolemodels -- the main speakers, and by inspiring and uncovering possible newresearch topics. The P.I. will encourage underrepresented minorities toparticipate in the conference, and will target such groups for financialsupport by selecting invited speakers and supported graduate andpostdoctoral participants appropriately.