Mathematics of Risk – 2022

Jan de Gier

Details Price Qty
Regular Participant $0.00 (AUD)  
Student $0.00 (AUD)  

  • 31 Oct 2022 - 11 Nov 2022
    8:00 am - 5:00 pm

Alex Novikov (University of Technology, Sydney)
Konstantin Borovkov (The University of Melbourne)
Kais Hamza (Monash University)
Yuliia Mishura (Taras Shevchenko National University of Kyiv, Ukraine)
Nino Kordzakhia (Macquarie University)
Kazutoshi Yamazaki (Kansai University and University of Queensland)
Erik Schlogl (University of Technology, Sydney)

Program Description: 
This research program will mostly address, but will not be limited to, the aspects of mathematical modelling and subsequent analysis of risks related to activities in the financial industry and, more generally, economics. Major attention will be paid to studying the mathematical theory that can be used to model more general types of risk, related to chronic and long-term hazards and extremes, as well as the interplay between them.  It will bring together leading researchers in the area from around the world in a hybrid mode, as well as, practitioners from the financial industry and regulator.

A broad range of computational finance problems will be presented in short courses listed below.
C1. Generalized Integral Transforms in Mathematical Finance
C2. Mathematical Modelling of the Term Structure of Interest Rates – From Fundamentals to a Post-LIBOR World
C3. Machine Learning algorithms in signal processing

Computational aspects of risk modelling will be also discussed by most participants of mini-symposiums listed below.
S1. Analysis of structural changes in finance, economics and medicine.
S2. Recent Advances in Stochastic Modelling: Rough volatility, Machine Learning in Finance.

Discussion Forums:
F1. First passage problems for long-range dependent processes
F2. Moder topics in Financial Econometrics
F3. Rough volatility models
F4. Stochastic and Statistics analysis of Jump processe
F5. Mathematical Modelling of the Term Structure of Interest Rates

Program Structure: TBD


  • Deadline: 28 August 2022
  • Registration is by invitation only. If you are interested to participate in this research program, please contact one of the organisers with your CV and research background.


MATRIX Wine and Cheese Afternoon 1 November 2022
On the first Tuesday of each program, MATRIX provides a pre-dinner wine and cheese afternoon. Produce is locally-sourced to showcase delicacies from the region.