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

这项资助将用于支持于2005年4月6日至8日在盖恩斯维尔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。丰富的金融主题和定量技术将被提出和讨论。金融主题包括税收约束下的投资组合优化、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。定量金融领域正在迅速发展。它影响着所有主要金融机构所遵循的风险管理策略的各个方面，这反过来又以非常重要的方式影响着整个社会。定量金融在理解和评估这些机构使用的各种新颖金融产品方面所发挥的重要作用将通过本次会议进一步加强，该会议将汇集来自工业界和学术界的主要研究人员。本次会议还将为金融、统计、数学和工程等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外地人数不足的群体。它还将帮助支付会议记录在一份评审期刊上的计划出版费用，这将有助于进一步传播研究。

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.