Fourth semester of the UNESCO Chair at LAMSIN

Mathematical Modelling in Finance

Tunis, september 12 - december 17, 2005

COORDINATOR : Elyès Jouini  (University of  Paris Dauphine)

CO-COORDINATOR : Mohamed Mnif (Ecole Nationale d'Ingénieurs de Tunis)

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Object of the program

Lecturers

Organizing committee

Course contents

Calendar

Audience and Prerequisites

Costs and scholarships

Request for participation( .txt)

Request for financial assistance( .txt) (deadline  May 15, 2005)

Contact

Object of the program

Financial Mathematics is now a flourishing area of modern science. Since the pioneering works of Black, Scholes and Merton, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world's financial institutions. For a responsible approach to the trading, asset management and risk control of complicated financial positions, a solid knowledge on the foundations and techniques of quantitative finance is essential.

This set of courses describe the state of the art in the field of financial mathematics. The first part will be devoted to fundamental courses which present the necessary mathematical tools to model financial market problems. The other courses will present to the public other subjects which know a recent development such that problems of risk management and stochastic control. All of these courses will give a complete formation which goes from mathematical modelling to numerical implementation.

Lecturers

Organizing committee

Course contents

The courses will be given in French and/or in English, depending on the composition of the audience.

Calendar

Courses are scheduled in the "Chaire Unesco" classroom, 1st floor of the "Pavillon Osman Bahri", at "Enit" (Ecole Nationale des Ingénieurs de Tunis).

First week :  september 12 - 17

C1: Arbitrage ( Walter Schachermayer)

Second week : september 19 - 24

C2: Financial markets and equilibrium models ( Elyès Jouini)

Third week : september 26 - october 1

C3: Stochastic calculus and diffusion models (Monique Pontier)

4th week :  october 3 - 7

C4: Backward Stochastic Differential Equations and application in PDE and in Finance (Anis Matoussi)

6th week : october 17 - 22

C5: Interest rate models (Wolfgang Johann Runggaldier)

C6: Numerical methods in finance (Agnès Sulem)

7th week : october 24 - 29

C7: Credit risk models (Monique Jeanblanc)

 8th week : october 31 - november 2

C8: Insider problems with finite utility (Arturo Kohatsu-Higa)

10th week : november 21 - 26

C9: American options (Damien Lamberton)

C10: Inverse problems in finance (Rama Cont)

11th week : november 26 - december 1

C11: Risk measure (Nicole El Karoui )

12th week : december 5 - 10

C12: Super-replication models (Nizar Touzi )

13th wek : december 12 - 17

C13: Stochastic optimal control in finance (Mete Soner)

Audience and Prerequisites

The course is Master's level. It's open to students, reseachers and teachers.

Costs and scholarships

Contact

Mohamed Mnif

ENIT
1002 TUNIS BELVEDERE
TUNISIE
Téléphone: +216 71 874 700 (poste 559) / 71 871 022
Fax : +216 71 871 022

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