19th Winter school on Mathematical Finance

Special Topics: Dealing with Market Frictions
Hedging in Markets with Price Impact

  



schedule abstracts registration participants




DATES and LOCATION

January 20-22, 2020 in Congrescentrum De Werelt
Travel directions: see here.
Maps: local map, Michelin map and Google map

visiting address: Westhofflaan 2
6741KH Lunteren
phone: +31 (0)88 - 000 1586
email: info@dewerelt.nl

MINI COURSES

The two mini courses of 5 hours each will be delivered by

SPECIAL INVITED LECTURES

The special invited lectures will be given by

SHORT LECTURES

The short lectures will be given by

Poster presentations

Participants who would like to present a poster will be given this opportunity. The precise format and scheduling of a poster session will be decided on later, depending on the number of such participants. Participants who want to present a poster are requested to contact the organizers.

Further information, brochure and poster

All information about the time schedule, abstracts, and registration is also be published in our brochure. A poster is also available. For further inquiries, please address the organizers (see below), NOT the staff of the conference center.

Organisers

Michel Vellekoop (Research group Actuarial Science & Mathematical Finance, Economics and Business, Universiteit van Amsterdam) and Peter Spreij (Korteweg-de Vries Institute for Mathematics, Universiteit van Amsterdam and IMAPP, Radboud Universiteit Nijmegen).

Support

The winter school is supported by
NWO (the Netherlands Organization for Scientific Research)
STAR (Dutch mathematics cluster on Stochastics - Theoretical and Applied Research))
Platform Wiskunde Nederland (Dutch national organization that promotes the position of mathematics in The Netherlands)

FWO WOG Grant

The FWO WOG research network Stochastic Modelling with applications in financial markets has made available a limited number of grants for young researchers (PhD students and postdocs) associated to the network to be used as a waiver of the registration fee for the winter school. For those researchers the grants completely cover the registration fee. For other young researchers a limited number of grants of 250 euro each is available as a reduction on the registration fee for the winter school. Eligible for the grants are with priority those whose supervisor is a member of the network (information about network members can be obtained from the institutional membership list), but others are invited to apply as well. Applications for the grant can be sent by email to both Michel Vellekoop and Peter Spreij (make sure that both are addressed). Applications are required to contain a brief motivation why the grant should be beneficial for the research of the applicant, a brief motivation why the applicant has a specific need for the grant, a (link to) a CV of the applicant and the name of her/his principal supervisor. The deadline for applications is January 7, 2020.

AMaMeF

The winter school has previously been supported by AMaMeF, the well established research programme on Advanced Mathematical Methods in Finance of the European Science Foundation (ESF). The programme has terminated in 2010 as an ESF activity, but many activities continue to be held under its flag. AMaMeF has continued as a network of researchers, active in mathematical finance.

Previous Winter Schools

Look at the OVERVIEW of all mini courses, special invited lectures and short contributions in the past winter schools. Below the full list of websites of all winter schools.