Workshop on Probability and Statistics in Finance

May 30-31, 2012     UC Berkeley, CA

This is the second workshop, co-sponsored by IMS, for the recently formed special interest group within IMS on Finance: Probability and Statistics(FPS).

The focus of the workshop is the use of probabilistic and statistical analysis and models for problems arising in finance. By bringing together both leading experts and junior researchers, the conference will highlight important contributions made through the use of statistics and probability, and identify emerging issues where statistics and probability promise to play an important role in the future.


A Partial list of topics of the workshop

· High frequency trading: data, models and strategies

· Stochastic analysis under uncertainty

· Systemic risk, credit risk, liquidity risk

· Computational and simulation methods in finance and risk management

· Behavioral finance

· Energy and weather derivatives

· Stochastic optimization and statistical methods in portfolio theory

· Statistical trading strategies

· Financial time series and econometrics

This workshop is held in conjunction with the 4th Stanford Conference in Quantitative Finance: Risk Modeling, Surveillance, and Management on June 1st and 2nd.