Financial Mathematics Modeling for Graduate Students

We are grateful to the School of Mathematics for help with the organization and funding of this workshop.

January 6-15 (Thursday-Saturday), 2011

Organizer:
Scot Adams	Associate Director, Master of Financial Mathematics and Fundamentals of Quantitative Finance,                                                                                                                   University of Minnesota

Schedule	Participants	Program Application	Feedback
Project Descriptions		Maps	Dining Guide

Description:

The School of Mathematics at the University of Minnesota is holding a 10-day workshop on Mathematical Modeling in Industry. The workshop is designed to provide graduate students and qualified advanced undergraduates with first hand experience in industrial research.

Format:

Students will work in teams of up to 6 students under the guidance of a mentor from industry. The mentor will help guide the students in the modeling process, analysis and computational work associated with a real-world industrial problem. A progress report from each team will be scheduled during the period. In addition, each team will be expected to make an oral final presentation and submit a written report at the end of the 10-day period.

Projects and Industry Mentors:

There will be 3 teams participating in the workshop.

Team	Mentors	Affiliation	Topic
1	Christopher Bemis	Whitebox Advisors	A Study of Efficiency in CVaR Portfolio Optimization          Project website          FINAL PRESENTATION          FINAL REPORT
2	Christopher Prouty	Cargill	Constructing a no-arbitrage volatility surface in liquid and illiquid commodity markets          Project website          FINAL PRESENTATION          FINAL REPORT
3	Jason Vinar	Ameriprise	Analysis of the Models Used in Variance Swap Pricing          Project website          FINAL PRESENTATION          FINAL REPORT

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Schedule
Thursday, January 6
All Day	Workshop Outline: Posing of problems by the 3 industry mentors. Half-hour introductory talks in the morning followed by a welcoming lunch. In the afternoon, the teams work with the mentors. The goal at the end of the day is to get the students to start working on the projects.		STSS 131A
9:00am-9:30am	Coffee and Registration		STSS 131A
9:30am-9:40am	Welcome	Scot Adams (University of Minnesota)	STSS 131A
9:40am-10:00am	Team 1: A Study of Efficiency in CVaR Portfolio Optimization                                                       SLIDES                                                       Team 1 website	Christopher Bemis (Whitebox Advisors)	STSS 131A
10:00am-10:20am	Team 2: Constructing a no-arbitrage volatility surface in liquid and illiquid commodity markets                                                       NO SLIDES AVAILABLE                                                       Team 2 website	Christopher Prouty (Cargill)	STSS 131A
10:20am-10:40am	Team 3: Analysis of the Models Used in Variance Swap Pricing                                                       SLIDES                                                       Team 3 website	Jason Vinar (Ameriprise)	STSS 131A
12:00pm	Lunch		Vincent 120
1:30pm-4:30pm	Afternoon - start work on projects Team 1 - STSS 117 or 131A Team 2 - STSS 119 Team 3 - STSS 121		Break-out Rooms
Friday, January 7
All Day	Students work on the projects. Mentors guide their groups through the modeling process, leading discussion sessions, suggesting references, and assigning work. Team 1 - STSS 117 or 131A Team 2 - STSS 119 Team 3 - STSS 121		Break-out Rooms
10:45am	Coffee		STSS 117
Saturday, January 8
All Day	Students work on the projects. Mentors available for consultation. Team 1 - STSS 117 or 131A Team 2 - STSS 119 Team 3 - STSS 121		Break-out Rooms
Sunday, January 9
All Day	Students work on the projects. Team 1 - STSS 117 or 131A Team 2 - STSS 119 Team 3 - STSS 121		Break-out Rooms
Monday, January 10
9:00am-9:30am	Coffee		STSS 131A
9:30am-9:50am	Team 1 progress report		STSS 131A
9:50am-10:10am	Team 2 progress report		STSS 131A
10:10am-10:30am	Team 3 progress report		STSS 131A
12:00pm-1:30pm	Lunch		Vincent 120
2:00pm-5:00pm	Remainder of the day: Students work on projects. Mentors available for consultation. Team 1 - STSS 117 or 131A Team 2 - STSS 119 Team 3 - STSS 121		Breakout Rooms
Tuesday, January 11
All Day	Students work on the projects. Mentors available for consultation. Team 1 - STSS 117 or 131A Team 2 - STSS 119 Team 3 - STSS 121		Break-out Rooms
10:45am	Coffee		STSS 117
Wednesday, January 12
All Day	Students work on the projects. Mentors available for consultation. Team 1 - STSS 117 or 131A Team 2 - STSS 119 Team 3 - STSS 121		Break-out Rooms
10:45am	Coffee		STSS 117
Thursday, January 13
All Day	Students work on the projects. Mentors available for consultation. Team 1 - STSS 117 or 131A Team 2 - STSS 119 Team 3 - STSS 121		Break-out Rooms
10:45am	Coffee		STSS 117
Friday, January 14
All Day	Students work on the projects. Mentors available for consultation. Team 1 - STSS 117 or 131A Team 2 - STSS 119 Team 3 - STSS 121		Break-out Rooms
10:45am	Coffee		STSS 117
Saturday, January 15
9:00am	Coffee		STSS 131A
9:30am	Team 1 final report		STSS 131A
10:00am	Team 2 final report		STSS 131A
10:30am	Team 3 final report		STSS 131A
12:30pm-2:00pm	Pizza party		Vincent 120