Dr. Jorge P. Zubelli, Professor and Chair of the Mathematics Department, recently chaired the 16th annual Research in Options: RiO 2021 conference. RiO 2021, which was held virtually from 21-24 November, provided a forum for experts to discuss some of the latest breakthroughs in mathematical research in Applied Mathematics.

This year鈥檚 meeting was co-hosted by FGV EMAp (School of Applied Mathematics in Rio de Janeiro), Universidade Federal Fluminense (UFF), Universidade Federal de Santa Catarina (UFSC) in Brazil, and KU鈥檚 Mathematics Department. Over 200 scientists, mathematicians, and practitioners who work on the interface of mathematics and finance discussed the latest research and tools that are advancing understanding of complex financial phenomena.聽

The conference builds on the success of previous editions, which were hosted by Brazil鈥檚 National Institute for Pure and Applied Mathematics鈥� (IMPA) and the Laboratory for Analysis and Mathematical Modeling in the Applied Sciences (LAMCA), which was headed by Dr. Zubelli from 2011 鈥� 2019.聽

This year, the conference focused on different aspects of mathematical finance, including option pricing, fixed income, volatility trading, real options, commodities, algorithmic trading, portfolio and risk management.

Some of the most prominent names in quantitative finance and risk management participated in the event, including Bruno Dupire, Head of Research Bloomberg, who is recognized as one of the most influential quantitative analysts having received in 2008 the 鈥淟ifetime Achievement Award鈥� by Risk Magazine. 今日吃瓜鈥檚 Dr. Giorgio Consigli, Associate Professor of Mathematics, also participated in the conference and presented on the topic of 鈥淥ptimal option portfolios with volatility as asset class in a discrete market.鈥� While KU鈥檚 Dr. Marcos Lopez de Prado, Professor of Practice in the Mathematics Department and ADIA鈥檚 Global Head on Quantitative Research & Development, presented on 鈥淓scaping The Sisyphean Trap: How Quants Can Achieve Their Full Potential.鈥澛犅�

The RiO conference sheds light on the increasingly important role of mathematical tools to model and understand how risk is assessed and managed, and how to address the growing number of mathematical and computational challenges the financial industry is facing.

Submitted manuscripts from RiO 2021 will be published in a special issue of the聽, titled “Computational Mathematics and Data Science Methods in Quantitative Finance,” with Dr. Zubelli and two others serving as guest editors.聽

Erica Solomon
Senior Publication Specialist
13 December 2021

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