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Conferences and Special Events

Here you will find details of our forthcoming and past special events and conferences. If you require any further information on this, please feel free to contact Events.

Forthcoming special events and conferences 

Current challenges in financial mathematics and economics
Monday 24 August 2015 to Friday 28 August 2015
A week-long series of workshops

When you register a place to attend this conference we recommend that you also email Ian Marshall (I.marshall@lse.ac.uk) to confirm that you have done this.

The recent and on-going financial crisis motivates a scrutinised study in the field of Financial Mathematics. In order to obtain better models, imperfections and complexity of real financial markets must be taken into account. Rather than assuming that arbitrary quantities of assets can be traded without impacting the market, liquidity risk needs to be carefully analysed.

Facing imperfections, good models must be robust, placing less emphasis on particular model assumptions which tend to be unrealistic in practical applications. A better understanding of such issues is of strategic importance to maintain a healthy financial system, and is currently attracting considerable interest from researchers, industry practitioners, as well as regulators.

Any model of liquidity risk will be incomplete without a detailed analysis of the dynamics of supply and demand and the causes of their imbalance. In particular it is important to understand how this imbalance evolve in time in an equilibrium framework where strategic agents trade to maximise their utility.  In order to analyse  interacting, possibly heterogeneous, agents, one often needs a diverse set of tools from filtering theory, multi-dimensional backward stochastic differential equations and mean-field games.

Recent years have also witnessed substantial developments in path-wise stochastic analysis and martingale transport theory. These results have found applications in obtaining robust financial models for derivative pricing.  The aim of this workshop is to bring together researchers to discuss the latest developments in three aforementioned themes: liquidity, mean field games, and robust finance.

Please send any questions to Ian Marshall.

Complex Systems in Time Series
Friday 4 and Saturday 5 December 2015

When you register a place to attend this conference we recommend that you also email Ian Marshall (i.marshall@lse.ac.uk) to confirm that you have done this.  

Complex systems can be observed from complex social networks and its evolution to transportation and electric power generation; from physical flow of fluids to neurological circuits in our brains; from spatio-temporal dependence of macroeconomic and financial; time series to the spread of disease. Understanding any patterns and providing good forecasts in these systems is of paramount importance in decision or policy making. Since data involved is usually high dimensional in nature and dependence among variables can be strong, techniques in handling such data are all evolving to adapt to the new challenges. New research in this direction includes temporal network analysis, statistical and machine learning, parametric and nonparametric inferences and dimension reduction in stationary and non-stationary time series.

The aim of this two-day workshop is to bring together expertise in these areas to create possible new research opportunities. Researchers from relevant scientific fields can also gain valuable information on new data analytics.

Please send any questions to Ian Marshall.