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2015 Fifth International IMS-FIPS Workshop
First Announcement
June 25 - 27, 2015, Rutgers University, New Brunswick, NJ, USA

Hosted By

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Workshop Description

The primary purpose of the Fifth IMS-FIPS workshop is to bring together a global cast of leading academic experts, practitioners and junior researchers to share research that underscores the contributiions of Probablillity and Statistics to  the development of   quantitative models, methods, techniques and technologies in the fields of Finance and Insurance. The fifth workshop has three specific supporting goals or themes. These are:

• To highlight the role of statistics and data analysis in modeling and understanding transaction and event driven issues in finance and insurance.

• To extend the discussion of application areas to include the insurance industry and the practice of risk management. 

• To sharpen the focus on areas that align with the interests of practitioners and to incorporate the contributions of research done by practitioners.

Workshop Venue and Directions

The workshop will be held at the Rutgers Student Center at 126 College Avenue, New Brunswick. This location has convenient car and public transportation access from all points of the New York City metropolitan area and from Newark International Airport.  The New Brunswick train station and downtown New Brunswick hotels and restaurants are within easy walking distance of the venue.  The venue also has it's own food court with a variety of attractive lunch menu options. For directions, use the following links: Driving and Parking, Travelling By Train from NYC and Airport and Walking From the Train Station.

Workshop Structure and Program Agenda

Day 1: Thursday, June 25
Click here  on this date for any agenda updates for the day

  • Three plenary sessions
  • Six invited sessions in two main parallel tracks with each focused, respectively, on Mathematics and Statistics research and applications in finance and insurance.
  • Two contributed "short talk" sessions
  • End of Day Reception and Networking

Day 2: Friday, June 26

• Three plenary sessions
• Six invited sessions in two main parallel tracks with each focused, respectively, on Mathematics and Statistics research and applications in finance and insurance.
• Two contributed "short talk" sessions
• A short course over two consecutive sessions on "A Modern Approach to Multi-period Portfolio Optimization with Transaction Costs". 

Day 3: Saturday, June 27
Saturday Features A Predominance of Talks By Industry Practitioners

  • A Plenary Session Featuring Jonathan Sokobin, Chief Economist at FINRA, "Role of Anaytics in the Regulation of the Securities Markets"
  • Nine invited sessions for presentations by practitioners and regulators of research, mathematical or statistical applications  and  industry issues related to regulation.
  • End of Day Reception and Networking

Click here for the  program agenda by day

 Click her to download abstracts by session

Plenary Speakers

Speakers for the seven plenary sessions, three on each of Thursday and Friday, and one on Saturday,  have been confirmed and are:

Richard Davis, Columbia University

RDphotoCarlRichard Davis is the Howard Levene Professor of Statistics and Chair of Statistics at Columbia University. He is also president-elect of the Institute of Mathematical Statistics.  He received his Ph.D. degree in Mathematics from the University of California at San Diego in 1979 and has held academic positions at MIT and Colorado State University in addition to numerous visiting positions.  Recently he was a Hans Fischer Senior Fellow at the Technical University of Munich and Villum Kan Rasmussen Visiting Professor at the University of Copenhagen.  Davis is a fellow of the Institute of Mathematical Statistics and the American Statistical Association, and is an elected member of the International Statistical Institute. He is co-author (with Peter Brockwell) of the bestselling books, "Time Series: Theory and Methods", "Introduction to Time Series and Forecasting", and the time series analysis computer software package, "ITSM2000".  Together with Torben Andersen, Jens-Peter Kreiss, and Thomas Mikosch, he co-edited the "Handbook in Financial Time Series." In 1998, he won (with collaborator W.T.M Dunsmuir) the Koopmans Prize for Econometric Theory.

He has served on the editorial boards of major journals in probability and statistics and most recently was Editor-in-Chief of Bernoulli, 2010-2012.  He has advised/co-advised 31 PhD students and presented numerous short courses on time series and heavy-tailed modeling in Europe and South America.   His research interests include time series, applied probability, extreme value theory, and spatial-temporal modeling.


EW (Jed) Frees, University of Wisconsin-Madison

Frees Jed 150x188Edward W. (Jed) Frees is the Assurant Health Insurance Professor of Actuarial Science at the University of Wisconsin-Madison. He received his Ph.D. in mathematical statistics in 1983 from the University of North Carolina at Chapel Hill and is a Fellow of both the Society of Actuaries (SoA) and the American Statistical Association (the only Fellow of both organizations). Professor Frees has provided extensive service to the profession, including serving as the founding chairperson of the SoA Education and Research Section, a member of the SoA Board of Directors, a Trustee of the Actuarial Foundation, the Editor of the North American Actuarial Journal, and as an actuarial representative to the Social Security Advisory Board’s Technical Panel on Methods and Assumptions. At the UW School of Business, he served as department chair and as Associate Dean for Research and Ph.D. Programs. He has written three books; his most recent was published in 2010 by Cambridge University Press, entitled Regression Modeling with Actuarial and Financial Applications. Regarding his research, Professor Frees has also written over fifty articles that have appeared in the leading refereed academic journals and has won several awards for the quality of his work. He has won the Society of Actuaries’ Annual Prize for best paper published by the Society, the SoA’s Ed Lew Award for research in modeling, the Casualty Actuarial Society’s Hachmeister award, and the Halmstad Prize for best paper published in the actuarial literature (four times).


Tom Hurd, McMaster University

TomHurdPortraitTom Hurd is Professor of Mathematics at McMaster University in Canada. He turned to the mathematical study of financial markets in the late 1990s, following his earlier research in mathematical physics. Since then he has written on a wide range of financial topics, with publications in portfolio theory, interest rate modeling, and credit risk. Over the past few years, his work has focussed on the mathematical modelling of systemic risk, that is, the stability of financial networks. He is currently writing a book on the subject. In addition to founding the M-Phimac Master program in Financial Mathematics at McMaster, which he continues to direct, he has supervised numerous undergraduate, M.Sc., Ph.D. and Postdoctoral researchers working in financial mathematics.


Ronnie Sircar, Princeton University

SIRCARRonnie Sircar is a Professor of Operations Research and Financial Engineering at Princeton University, and is affiliated with the Bendheim Center for Finance, the Program in Applied and Computational Mathematics and the Andlinger Center for Energy and the Environment. He received his doctorate from Stanford University, and taught for three years at the University of Michigan in the Department of Mathematics. He has received continuing National Science Foundation research grants since 1998. He was a recipient of the E-Council Excellence in Teaching Award for his teaching in 2002, 2005 and 2006, and the Howard B. Wentz Jr. Junior Faculty Award in 2003. His research interests center on Financial Mathematics, stochastic volatility models, energy markets, credit risk, asymptotic and computational methods, portfolio optimization and stochastic control problems, utility indifference valuation, and stochastic differential games. He is a co-author of the book ``Multiscale Stochastic Volatility for Equity, Interest-Rate and Credit Derivatives'', published by Cambridge University Press in 2011.

Steven Shreve, Carnegie Mellon University

SHREVE PHOTO Sep 2014Steven Shreve is the Orion Hoch and University Professor of Mathematics at Carnegie Mellon University, where he co-founded the CMU Master's degree in Computational Finance, now in its 19th year, with campuses in New York and Pittsburgh. Shreve received his MS in electrical engineering and his PhD in mathematics from the University of Illinois.
Shreve's book ``Stochastic Calculus for Finance'' won the 2004 Wilmott award for ``Best New Book in Quatitative Finance.''  Shreve is co-author of the books ``Brownian Motion and Stochastic Calculus'' and ``Methods of Mathematical Finance,'' advisory editor of of journal ``Finance and Stochastics,'' and past-President of the Bachelier Finance Society. He has published over forty articles in scientific journals on stochastic calculus, stochastic control, and the application of these subjects to finance, including the effect of transaction costs on option pricing, the effect of unknown volatility on option prices, pricing and hedging of exotic options, and models of credit risk.

 

Zhiliang Ying, Columbia University

ying fipsZhiliang Ying is a Professor of Statistics in the Department of Statistics, Columbia University. He received his Ph.D from Columbia University in 1987, with Tze Leung Lai as his doctoral advisor. He was the Director of the Institute of Statistics at Rutgers University from 1997 to 2001. His wide research interests cover Survival AnalysisSequential Analysis, Longitudinal Data Analysis, Stochastic Processes,Semiparametric InferenceBiostatistics and Educational Statistics. He is a co-editor of Statistica Sinicaand has been Associate Editor of JASAStatistica SinicaAnnals of StatisticsBiometrics, and Lifetime Data Analysis. Ying has supervised, collaborated with and encouraged many researchers. He has written or co-authored more than 100 research articles in professional journals.

 

Jonathan S. Sokobin, FINRA 

SokobinJonathan S. Sokobin, Chief Economist and Senior Vice President at FINRA, oversees the Office of the Chief Economist. In this role, he works closely with the Office of General Counsel and other departments in developing new rules, and analyzing the regulatory impact, including costs and benefits, of existing and potential rulemakings. He leads a team of researchers who gather and analyze data on securities firms and markets in order to inform policymaking at FINRA. Previously, Mr. Sokobin was Acting Deputy Director, leading the Research Center in the Office of Financial Research at the U.S. Treasury Department. He joined the U.S Treasury Department in 2011 as Chief of Analytical Strategy in the Office of Financial Research. Prior to joining the Treasury Department, Mr. Sokobin was Acting Director of the SEC's Division of Risk, Strategy, and Financial Innovation. He joined the SEC staff in 2000 and held various positions, including Deputy Chief Economist and Director of the former Office of Risk Assessment. From 1998 to 2000, he was a Senior Research Fellow at the SEC. Mr. Sokobin began his career as a member of the faculty of the Cox School of Business at Southern Methodist University. He received his Ph.D. and MBA in finance from the Graduate School of Business at the University of Chicago, and his bachelor's degree in economics from the Ohio State University.

 

20.5 GARP CPD CREDITS

Workshop attendence earns 20.5 GARP FRM and ERP Continuing Professional Development credits: see http://www.garp.org/#!/cpd/

Advisory Board Members

Rene Carmona, Princeton University, Rong Chen, Rutgers University &  FSRM*, Xin Guo, UC Berkeley (co-chair)
Steven Kou, National University of Singapore, T.L. Lai, Stanford University (co-chair), W.K. Li, University of Hong Kong
Dilip Madan, University of Maryland, Alex Novikov, University of Tech. Sydney, Philip Protter, Columbia University (co-chair)

*Financial Statistics and Risk Management

Sharing the Event

The workshop hashtag  is #FIPS2015 and a copy of the workshop flyer can be downloaded here. Please use the conference flyer and hashtag to share news about the conference and to invite others to register.

Registration

To reserve your place in this exciting event, whether for the full 3-days or for Saturday only,  please visit the registration page now if you have not done so before.

Recommended Area Hotel Accommodations

The Heldrich Hotel
10 Livingstone Avenue
New Brunswick, NJ 08901
Phone: +1 732-729-4670
Fax: +1 732-729-4672
www.theheldrich.com

This is a nice downtown hotel within walking distance of the Student Center. Hoever, late June is a busy period for them, so the earlier you reserve the better chance of their having a room and the better the rate. Thet do have "as available" shuttle service for guests if you do not feel like walking. Also, the Rutgers University bus has stop right outside the hotel.

Rutgers University Inn & Conference Center
178 Ryders Lane
New Brunswick, NJ 08901
Phone:732-932-9144
Fax:732-932-6952

While not within walking distance of the Student Center, this hotel has lower rates  ($75 - $99) and convenient campus bus service to and from the Student Center. Campus buses leave every 20 minutes and drop off right at the Student Center. Trip takes about 15 minutes.

Hilton East Brunswick
Three Tower Center Boulevard
East Brunswick, NJ 08816
Direct: (732) 339-6273 | Fax: (732) 545-7239

Also not within walking distance of the Student Center, this hotel has room availability at the Rutgers negotiated rate of $142.00.
You should quote the Corporate ID 5719222 , when making a reservation.
You would have to rely on the hotel shuttle service - so make sure you ask about it if you chose or investigate this option.
   

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