In October, 2011, Vietnam Institute of Mathematics collaborated with National Centre of Scientific Research of France - CNRS (“Centre National de la Recherche Scientifique”) to organize “Vietnamese- French Colloquium School in Mathematical Methods applied to Economics and Finance” in Đo Son, Hai Phong. Following up this success, with the collaboration from Vietnamese - French Cooperation Program (ARCUS), The University of Economics and Law (UEL) collaborates with John Von Neumann Institute (JVN) - Vietnam National University to organize “International Summer School in Financial Mathematics” from August 13th to 17th, 2012.
The main purpose of this summer school is to introduce to audience concepts and key tools of mathematics in finance and in economics such as risks management instruments, security valuing models, financial statistics methods, “games” theory in economics, etc. Participants are expected to acquire states-of-the-art in these areas.
Sponsors:
- University of Economics and Law – Vietnam National University- Ho Chi Minh City.
- JVN Institute - Vietnam National University- Ho Chi Minh City .
- National Centre of Scientific Research of France - CNRS.
- Vietnamese - French Cooperation Program - ARCUS
(Other sponsors will be updated later)
Board of organizers: Doctor Nguyen Tien Dung (UEL, Head-organizer); Professor Duong Nguyen Vu ( JVN, Head - organizer), Associate Professor Nguyen Ngoc Đien (UEL, Vice- head organizer), Doctor Tran Nam Dung (The University of Sciences), Doctor Nguyen Quang ( JVN), Associate Professor Le Anh Vu (UEL).
Scientific Consulting Council : Professor Xuan Huyen Pham (University of Paris 7, France), Professor Nguyen Tien Zung ( University of Toulouse 3, France).
Board of secretaries: Nguyen Thi Kim Dung, Huynh To Uyen, Nguyen Minh Hien (Department of Mathematics and Economic Statistics, UEL, Vietnam National University- Ho Chi Minh City).
Board of lecturers:
1. CAMPI, LUCIANO, Professor from University of Paris 13, France (lcncmp@gmail.com) - CV.
2. ROSENBAUM, MATHIEU, Professor from General University of Pierre et Marie Curie, A member of Centre of Economic Research and Statistics - CREST, France) (mathieu.rosenbaum@upmc.fr).
3. PHAM, XUÂN HUYÊN, Professor from JVN Institute (huyen.pham@jvn.edu.vn).
Audiences:
- Researchers from institutes or research centre as well as staff, lecturers from universities all over Vietnam who are interested in financial mathematics and economics.
- Senior students (last year students), post - graduate and doctorate candidates majoring in mathematics, finance and economics.
- Staff working in the fields of finance and economics.
Notes: To make sure for the quality of this colloquium, the course will only
accept a number of below 100 participants - learners.
Time and location:
This summer school colloquium will take place from Monday, August 13th, 2012 to Friday, August 17th, 2012 at the University of Economics and Law and Centre of Excellence- JVN.
Deadline for register: Before July 10th, 2012. Please fill in the application form below.
Attendance Fee: 1.500.000 vnd/ person (Include tax, 5 buffet lunches, 9 coffee-breaks, travel fees, training material, school fees)
Language during the course: English
Study program
Summary of lectures
1. CAMPI, LUCIANO: Pricing and hedging in energy markets (6h).
Summary: In these lectures we will survey the main modeling approaches to electricity prices. In particular we will focus on how to model those features that differentiate energy markets from usual stock markets, e.g. non-storability and spikes. Moreover, we will treat in details a joint model for prices of electricity and fuels used in the production process. In this model, we will study no-arbitrage relations among fuels and electricity, the pricing and hedging of the more liquid options traded in energy markets, e.g. futures, options on spread and options on futures.
2.ROSENBAUM, MATHIEU: Optimal High Frequency Trading (6h)
Summary: The availability of ultra high frequency data together with a finer understanding of microstructure phenomena have opened new directions in quantitative finance.
In particular, the high frequency trading has emerged as a will
to optimize transactions in this new context. Its recent development has been made possible thanks to the design of original methods in
mathematical finance and statistics, which are today used by an increasing number of banks or hedge funds.
The goal of this course is to explain both the optimal trading strategies and the associated statistical procedures
3. PHAM, XUAN HUYEN: Stochastic control in finance (15 hours)
Summary: The aim of these lectures is to present an introduction to stochastic control, a classsical topic in applied mathematics, which has known important developments over the last years inspired especially by problems in mathematical finance. We give an overview of the main methods and results in this area.
We first present the standard approach by dynamic programming equation and verification, and point out the limits of this method. We then move on to the viscosity solutions approach: it requires more theory
and technique, but provides the general mathematical tool for dealing with stochastic control in a Markovian context. The last lecture is devoted to an introduction to the theory of Backward stochastic differential equations (BSDEs), which has emerged as a major research topic with significant contributions in relation with stochastic control beyond the Markovian framework. The various methods presented in these lectures will be illustrated by several applications arising in conomics and finance.
Proposed schedule
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Session
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Monday
August 13th
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Tuesday
August 14th
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Wednesday
August 15th
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Thursday
August 16th
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Friday
August 17th
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8:30-11: 30 AM
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Pham, Xuan Huyen
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Pham, Xuan Huyen
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Pham, Xuan Huyen
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Pham, Xuan Huyen
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Pham, Xuan Huyen
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13:30-16:30 PM
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Campi, Luciano
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Campi, Luciano
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Free
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Rosenbaum, Mathieu
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Rosenbaum, Mathieu
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Beside the lectures, Summer School will arrange a meeting with a financial expert in Vietnam to discuss and exchange ideas about the need, training and research development plan in the fields of financial mathematics and economics in Vietnam.
Knowledge requirement
Audiences need to have background knowledge of mathematics( advanced mathematics, statistical probability), economics and finance. UEL, JVN and institute of mathematics can arrange a course for supplementing learners with basic knowledge of those fields if they are in need (only in case there are 30 learners or more registering).
Notes: If you have further questions, please contact the following email addresses.
hiennm@uel.edu.vn, uyenht@uel.edu.vn, dungntk@uel.edu.vn, vula@uel.edu.vn