The two-week Summer School in Financial Mathematics will be held at Princeton University from June 17 to 28, 2013. It is sponsored by the NSF RTG (Research Training Group) grant on Stochastic Analysis & Applications. The summer school will cover modern and developing topics in Financial Mathematics, specifically Systemic Risk, High-Frequency Trading & Limit Order Books, Commodities & Energy Markets and Portfolio Optimization & Dynamic Games, with two lecturers on each topic. There will also be some special topic guest lectures, and plenty of time for discussion and interaction between participants.
The school is targeted for graduate students and young researchers interested in research in this area, and who have some background in probability, stochastic calculus and applied mathematics. Students accepted to the school will be sent background material and references a few months beforehand.
Financial support is available for students who are US citizens or permanent residents.
The school is now full, and we cannot consider any new applications.
- Systemic Risk
- High-Frequency Trading & Limit Order Books
- Commodities & Energy Markets
- Portfolio Optimization, Transaction Costs & Dynamic Games
- Rene Carmona (Princeton University)
- Rama Cont (Imperial College London)
- Michael Coulon (Princeton University)
- Jean-Pierre Fouque (UC Santa Barbara)
- Johannes Muhle-Karbe (ETH Zurich)
- Alexander Schied (University of Mannheim)
- Ronnie Sircar (Princeton University)
- Glen Swindle (Scoville Risk Partners LLC & NYU)