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

本提案请求资金支持将于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。首届会议于2003年4月3日在普渡大学举行，共有40人参加。这次简短会议的计划形式包括：一个下午和一个上午，预计有60至80名与会者；邀请3个主要的1小时演讲，高级演讲者全额报销，邀请6个25分钟的演讲，3个初级演讲者部分报销；适度的资金用于咖啡休息时间，并为受邀演讲者举办一次会议；7名博士研究生或博士后学者（获得博士学位不超过3年的人）的部分旅费报销，并有可能在博士后会议上展示他们的工作。三位主讲人将是定量金融领域的重要研究人员，他们在理论金融数学和应用定量金融方面的工作都是世界一流的。侦探会议的科学动机包括让参与者接触到金融数学领域的一系列前沿研究课题，包括期权定价的随机波动率、美式期权、部分信息下的随机控制和投资组合优化、金融中的相互作用粒子方法、蒙特卡罗金融模拟技术。普渡大学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相互作用是双向的：除了获得应用问题的答案外，金融学还为概率论、统计科学和应用数学提供了大量的问题，激发了对数学有内在兴趣的新工具的发展，并帮助塑造和改善数学在普通非科学公众中的形象和目的。这次会议将为研究生和对量化金融感兴趣的初级研究人员的教育创造机会，让普渡大学当地的学生与来自其他学术机构的志同道合的同龄人接触，提供榜样——主要演讲者，并激发和发现可能的新研究课题。P.I.将鼓励未被充分代表的少数群体参加会议，并将通过选择受邀演讲者和适当支持的研究生和博士后参与者来针对这些群体提供财政支持。

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.