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University of British Columbia |
From June 7-18, 2010 the IMA will host an intensive short course designed to efficiently provide researchers in the mathematical sciences and related disciplines the basic knowledge prerequisite to undertake research in mathematical finance and economics. The course will be taught by Rene Carmona, Department of Operations Research & Financial Engineering, Princeton University, Nizar Touzi, Ecole Polytechnique, Paris, and Guillaume Carlier, CEREMADE, University Paris Dauphine. The primary audience for the course is mathematics faculty. Some background in probability and stochastic processes are expected. Participants will receive full travel and lodging support during the workshop.
The course will consist of lectures on mathematical models for the energy and emission markets, stochastic differential equations, and optimal transport. There will be two lectures each day, with additional planned activities daily including guest lecturers. The tentative syllabus for the course is as follows:
Lecturer: Rene Carmona
Topic: Mathematical Models for Climate Change and the Energy and Emission Markets
Lecturer: Nizar Touzi
Topic: Backward Stochastic Differential Equations and Fully Nonlinear Partial Differential Equations
Lecturer: Guillaume Carlier
Topic: Optimal Transport
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