Newsletter of the Bachelier Finance Society

Volume 14, Number 3, July 2022

11th BFS WORLD CONGRESS, HONG KONG

The BFS World Congress took place online from 13-17 June 2022. We thank the organisers and all speakers for their contributions.
Please find the information about the General Assembly online.

IN MEMORIAM

We have lost far too many friends and colleagues in the past months. Our thoughts are with their families.

Marco Avellaneda (1955-2022)
Marco Avellaneda, professor at the Courant Institute of Mathematical Sciences at New York University, died on June 11, 2022. Born in Argentina in 1955, he moved to the United States in 1985. His main research interests were Applied Mathematics, Applied Physics and Mathematical Finance.

Peter Carr (1958-2022)
Peter Carr, our cherished friend, colleague and scholar passed away peacefully on the morning of March 1, 2022 consequent to an internal hemorrhage.
Obituary by Dilip Madan

Thomas Hurd (1956-2022)
Tom Hurd, professor at the Department of Mathematics and Statistics at McMaster University and world leading researcher in financial mathematics, died on April 28, 2022, at St Peter’s Hospital, Hamilton ON, five weeks after being diagnosed with brain cancer.
Obituary by Matheus Grasselli

JOB POSTINGS

The aim of these postings is to create a forum for the dissemination of information on academic and industrial positions related to mathematical finance, across different disciplines and different geographical regions. Please submit any job advertisements you are aware of to jobads@bachelierfinance.org, preferably in plain text and sending the link to the website containing all the information. Updates and new items appear continuously at: bachelierfinance.org/forum/jobs

Ph.D. Researcher
NOVA University Lisbon
Deadline: June 30, 2022

Professor position
King’s College London
Deadline: July 20, 2022

Post-Doc and PhD
Umeå University
Deadline: August 15, 2022

Associate Professor
University of Copenhagen
Deadline: August 21, 2022

Ph.D. Position
University of Freiburg

Position (pre- or post-Doc)
University of Vienna

PhD Position
NTU Singapore

BOOKS & JOURNALS

The Society maintains a list of books, book reviews and journals at: bachelierfinance.org/publications. Members who would like to have their books added to the website, should please let us know.

Recently published books

Dorje Brody, Lane Hughston, Andrea Macrina (Eds.)
Financial Informatics: An Information-Based Approach to Asset Pricing
World Scientific (2022), ISBN 978-981-124-648-7

Wai-Sum Chan, Yiu-Kuen Tse
Financial Mathematics for Actuaries, 3rd Ed.
World Scientific (2021), ISBN 978-981-124-327-1

Stéphane Goutte, Khaled Guesmi, Samir Saadi (Eds.)
Cryptofinance: A New Currency for a New Economy
World Scientific (2021), 978-981-123-966-3

Martin Hellmich, Rüdiger Kiesel
Carbon Finance: A Risk Management View
World Scientific (2021), 978-1-80061-101-6

Andrey Itkin, Alexander Lipton, Dmitry Muravey
Generalized Integrated Transforms in Mathematical Finance
World Scientific (2021), 978-981-123-173-5

Dilip B. Madan, Wim Schoutens
Nonlinear Valuation and Non-Gaussian Risks in Finance
Cambridge University Press (2022), ISBN 9781108993876

Giuseppe Orlando, Michele Bufalo, Henry Penikas, Concetta Zurlo
Modern Financial Engineering: Counterparty, Credit, Portfolio and Systemic Risks
World Scientific (2022), ISBN 978-981-125-235-8

Nicolas Privault
Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing, 3rd Ed.
World Scientific (2021), ISBN 978-981-122-660-1

Anatoly Schmidt
Modern Equity Investing Strategies
World Scientific (2021), ISBN 978-981-123-949-6

UPCOMING BFS ONE WORLD SEMINARS

This list contains the next upcoming online seminars. A full list is available at bachelierfinance.org/bachelier-finance-society-world-seminars-online. Registration is free but compulsory.

Date: Thursday, 22 September 2022
Speaker: TBA
Title: TBA

UPCOMING CONFERENCES

This list contains conferences related to mathematical finance that take place in the next six months. A full list is available at bachelierfinance.org/conferences. Please let us know of conferences we are not aware of and include a URL for the event.

Many conferences are cancelled around the world due to the corona-virus pandemic. Please check the respective webpages for further information.

ECSO-CMS 2022 European Conference On Stochastic Optimization and Computational Management Science
June 29 – July 1, 2022
Venice, Italy

10th Lévy Conference
July 18–22, 2022
Mannheim, Germany

Quant Bootcamp 2022
August 1–6, 2022
live stream (20% discount for BFS members)
Info Session: 26 May 2022, 12pm EST

SIAM Gene Golub Summer School “Financial Analytics: Networks, Learning, and High Performance Computing”
August 1–12, 2022
L’Aquila, Italy

Workshop: Recent developments in dependence modelling with applications in finance, insurance and pensions
September 14–16, 2022
Island of Agistri, Greece

1st Seoul-London Workshop on Mathematical Finance
September 17–18, 2022
Seoul, South Korea

20th Winter School on Mathematical Finance
January 23–25, 2023
Soesterberg, The Netherlands

WEBINARS

This list contains webinars related to mathematical finance. A full list is available at bachelierfinance.org/webinars.

SIAM Activity Group on FME Talk Series: http://wiki.siam.org/siag-fm/index.php/Current_events

Machine Learning in Finance Series: https://sites.google.com/view/mlfinance/home

The website researchseminars offers a comprehensive list of online seminars on a variety of topics that might be of interest to you: https://researchseminars.org/

MISCELLANEA

Survey “Finance and Stochastics”
Springer and the publishing team of “Finance and Stochastics” are interested in your experience with their journal.
All the information can be found here.