IMA:2nd Conference on Computational Finance

CALL FOR PAPERS

Recent market events have caused financial engineers, traders and risk managers to re-examine the fundamental assumptions of financial mathematics and to question their validity in times of high volatility and severe market conditions. For example, high grade assets have recently seen their price fall as a result of forced sell-offs and lack of prospective buyers. The presence of such exogenous illiquidity in financial modelling has resulted in assets, whose default risk is essentially zero, to have an implied probability of default higher than that of assets of comparable credit quality. The collective result of such anomalies is for prices to fall out of sink with the risk they are supposed to reflect and became a measure of liquidity (or rather lack of) instead. As a result, financial institutions are investigating ways of pricing more accurately and carrying out more conservative risk assessments. This presents a new challenge to the quantitative finance community to come up with something better which can cope with the impact of these significant market events. This conference aims to provide a meeting point for those researching and developing approaches to address this challenge. The conference theme is financial modelling and risk management under severe market conditions. Submission of papers are solicited that address (but are not limited to) the following general themes:

(i) Credit Modelling
(ii) Credit Risk
(iii) Liquidity Risk
(iv) Enhanced Risk Management Under Severe Market Conditions
(v) The Measure Of Volatility, modelling And Pricing
(vi) Correlation And Correlation Risk.

Guidelines for submission
Acceptance will be on the basis of a reviewed abstract, and short papers (4 pages) must be submitted for inclusion in the proceedings prior to the event according to the following dates:

Abstract submission tbc
Short paper (PDF or Word doc, 4 pages) tbc
Conference tbc.

Proceedings:
Proceedings will be circulated at the conference, and there will be a further opportunity for expanded papers to be published in a special issue of the journal of management mathematics dedicated to computational finance.

Communications:
Abstracts and papers should be submitted to imacomputationalfinance@googlemail.com and may be copied to adam.vile@excelian.com. You can get further information from the google group http://groups.google.co.uk/group/imacomputationalfinanceconference. To join please send an e-mail to imacomputationalfinance@googlemail.com or if you have a googlemail account you can join directly from the webpage.

Conference fees - Members £105.00 Non-Members £125.00 Students £80.00

Registration will soon be open at http://online.ima.org.uk/ Please use 'try to find me' when registering for the on-line registration system, this will avoid duplicates on our database.