IMA CONFERENCE ON MATHEMATICS IN FINANCE 
Monday 8 - Tuesday 9 April 2013
	Edinburgh Conference Centre, Heriot-Watt University	

CALL FOR PAPERS AND FEES
One persistent theme in the history of mathematics is the close relationship between the subject and finance.  From the Babylonians, through Fibonacci and then Stevin, Pascal, Fermat, Huygens, Bernoulli and Bachelier the development of mathematics has often been based on solving problems in finance.

The series of financial crises following 2007 have highlighted the need for novel mathematics to address the increasingly complex problems of finance.  The IMA Conference on Mathematics in Finance has been organised in conjunction with the Bank of England, now responsible for financial stability in the UK, and with reference to the Department for Business Innovation and Skills Foresight project on the Future of Computer Trading in Financial Markets.  The aim is to encourage mathematicians, from a wide range of backgrounds, to address important societal issues in relation to the operation of modern markets.  

On this basis we are inviting academics and practitioners to submit papers to the Conference describing mathematical models of
•	Systemic risks in financial markets
Macroeconomic models of insolvency cascades, including early warning indicators and systemic risk measures. 
•	Feedback or learning in financial markets
Macroeconomic models addressing issues of “super-portfolios”, homogeneity in trading strategies or herding and bubbles. 
•	Complex systems in finance and economics
Macroeconomic models involving, for example, coupled systems, hierarchies, evolution and addressed using complexity theory. 

•	Leverage and liquidity
Microeconomic models accommodating liquidity fluctuations in the markets.  For example, models accommodating the price-impact of transactions or loss of liquidity in the debt market. 
•	Behavioural finance
Microeconomic models incorporating cognitive or social factors, for example prospect theory, hyperbolic discounting or time-inhomogeneous utility.
•	Knightian uncertainty or non-ergodic markets
Microeconomic models incorporating Knightian uncertainty, ambiguity, or transient parameters (for example, regime switching).

•	Pre- and post-trade analysis in computer based trading
Models relating to algorithmic execution of trades, statistical arbitrage or “predatory trading”, both predictive analysis (pre-trade) and post trade “learning”.  Including data mining techniques.
•	Stability in electronic markets
Simulation of markets, tools for bench-testing of algorithms. 
•	Risk and solvency in insurance
Models developed specifically to address issues in the insurance markets related to Solvency II.

•	Econophysics
Models emerging out of statistical mechanics, including the application of random field theory and random media to finance and economics, as well as multi-agent models.

Call for Papers 
Papers will be accepted for the conference based on a 150 word abstract for oral or poster presentation. Abstracts should be submitted by 15 December 2012 by e-mail to [log in to unmask] 

Please state whether your title is intended for oral or poster presentation. Oral presentations are expected to be 30 minutes in length, including time for questions and answers. 

Abstracts are expected to follow the following template:
Title
Contributing author(s) Initials, Surname
Affiliation(s) Department, organisation.

Abstract:  150 words - text only.

Contributors of accepted abstracts will be invited to submit papers that will be made available to delegates at the conference. Selected papers will be peer-reviewed and published as a special issue of the IMA Journal of Management Mathematics.

Confirmed Invited Speakers
Professor Damir Fillipovic, École Polytechnique Fédérale de Lausanne; Professor Rama Cont, Imperial College London; Professor Philip Treleaven, University College London; Professor Bernt Øksendal, University of Oslo.

Organising Committee
Dr Timothy Johnson, Heriot-Watt University – Chair; Professor Alexander McNeil, Heriot-Watt University - Co-Chair; Dr Rodrigo Guimaraes, Bank of England; Professor David Hobson, University of Warwick; Professor Philip Treleaven, University College London

Conference Fees
Early Bird Fees*: 
IMA Member:			£ 260.00 
Non-IMA Member:		£ 325.00 
Student:			£ 160.00 

Early Bird Fees* will be available until Monday 11 March 2013, after which the fees will be: 

IMA Member:			£ 280.00 
Non-IMA Member:		£ 345.00 
Student:			£ 180.00 
		 
Conference fees include refreshments and lunches throughout the conference, room hire and a wine reception on evening of Monday 8 April.

Residential Fee ‐ £96.00 (includes single en‐suite bed and breakfast accommodation at the Edinburgh Conference Centre for the nights of Sunday 7 and Monday 8 April 2013). 

6th SFRA Colloquium on Wednesday 10 April 2013 - £85.00 (Please contact the IMA Conference Team directly for additional accommodation availability). 

*Early Bird Fees must be paid by Monday 11 March 2013 otherwise the higher price will be implemented.	

Further information
For further information on this conference and to register please visit the conference webpage:
http://www.ima.org.uk/conferences/conferences_calendar/mathematics_in_finance.cfm 

Contact information
For scientific queries please contact: Dr Tim Johnson, [log in to unmask]
For general conference queries please contact Lizzi Lake, Conference Officer
E-mail: [log in to unmask]	Tel: +44 (0) 1702 354 020
Institute of Mathematics and its Applications, Catherine Richards House, 16 Nelson Street, Southend-on-Sea, Essex, SS1 1EF, UK. 


The Sixth Scottish Financial Risk Academy (SFRA) Colloquium 
Complexity and Risk in Financial Markets: the Role of Mathematical Models 
Wednesday 10 April 2013, Edinburgh Conference Centre, Heriot-Watt University, Riccarton, Edinburgh

In this one-day Colloquium, which takes place immediately after the IMA Conference, some of the foremost experts on quantitative finance will give their views on market complexity and the role of sophisticated mathematics and computational algorithms.

Confirmed speakers to date include Professor Dave Cliff, University of Bristol, and Professor Rama Cont, Imperial College and Universite de Paris VI.  

Quantitative models are essential tools of traders and risk managers; modern finance without mathematics is unimaginable. However, mathematics in finance has an ambivalent reputation and “a misplaced reliance on sophisticated maths” (Turner Review, 2009) has been cited as a contributory factor to the financial crisis.

Have mathematical models and the power of modern computing added to the riskiness of financial markets through activities like algorithmic trading? On the other hand, do new mathematical models hold the promise of a better understanding of financial markets, including difficult issues like liquidity risk and systemic risk?

The Colloquium is aimed at a general finance audience and not only mathematical specialists.

The Scottish Financial Risk Academy (SFRA) was established in April 2010 by a consortium of founder members led by the Maxwell Institute for Mathematical Sciences. The SFRA runs a series of Knowledge Exchange activities designed to improve the interaction between the academic sector and the financial services industry.

If you are attending the IMA Conference on Mathematics in Finance, you can also register for the 6th SFRA Colloquium for £85. Registration details are available on the IMA conference webpage (as above).  

For further information on the 6th SFRA Colloquium, please visit: 
http://www.sfra.ac.uk/Colloquium6.php 


Pamela Bye
Conference Support Officer
Institute of Mathematics and its Applications
Tel: 01702 354020
 
Charity Registration number 1017777

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