CIMPA-UNESCO-MESR-MINECO-MAROC research school
Report by Ahmad El Soufi
During the last three decades and in a technological and economical complex world, mathematical models play an important role in the decision-making tools. Indeed, whether to develop and calibrate models, measure and control risks associated with economic phenomena or financial instruments, mathematical tools provide skills highly appreciated to better understand these phenomena and improve prediction of their inherent risks.
In particular, in spite of the financial crisis, probabilistic methods (Brownian motion, stochastic calculus, Malliavin calculus, ...) provide modeling complex phenomena arising from the insurance business and financial industry. Once these models are in place, the methods from mathematical statistics (test, parameter estimation, ...) allow the validation and calibration of these models (estimate from actual data the parameters of a model).
The Cadi Ayyad University (UCA) organizes in collaboration with the International Center of Pure and Applied Mathematics (CIMPA), a spring school on "Statistical Methods and Applications in Insurance and Finance" from 8 to 20 April 2013.
The school has two major goals :
The first one is to offer Master and PhD students and researchers advanced courses about recent research in the area of Statistics, Probability and related applications in Finance and actuarial sciences, and provide a platform for them to understand modeling techniques needed for the effective resolution of practical problems in a wide variety of application sectors : banks, insurance agencies, etc...
The school will also provide professionals with expertise in both mathematics and financial industry (or insurance businesses), the theoretical tools necessary for careers in finance and actuarial science. These tools are based on recent results of probabilistic, statistical and numerical methods.
The second one is to promote and encourage research collaborations. On one hand, between international researchers in mathematics and their interactions (including those of the Maghreb, the Mediterranean and other neighboring countries). On the other hand, researchers from University and researchers or professionals from private sector. Indeed, the school offers an adequate and pleasant encouraging meetings and discussions between experts of stochastic calculus, statistics, financial industry and actuarial sciences.
The scientific and economic benefits of the school are diverse and include :
The first week of school will be held in Marrakesh from 8 to 13 April 2013, at the Faculty of Sciences and Techniques (Room III). The second week will be held in El Kelaa Mgouna from 15 to 20 April 2013, at Ksar Kaissar Hotel, conference room.
The courses of this school as well as original contributed talks can be published in “Springer Proceedings in Mathematics & Statistics”.
List of previous CIMPA schools organized by the team Probability and Statistics in Marrakesh :
The first one was held in Marrakesh from 7 to 21 April 2000 under the subject Probabilistic methods applied to partial differential equations
The second one was held in Marrakesh from 9 to 20 April 2007 under the subject : Stochastic models in mathematical finance, It was organized jointly with the Hassan II Academy of Sciences and Technology. The courses of this school have been published in a book entitled : Modèles aléatoires en finance mathématique ISBN : 9782705669706 by Hermann.
Le CIMPA peut aider les jeunes mathématiciens (généralement de moins de 38 ans ou ayant une thèse récente) venant de régions proches de celle de l’école. Afin de contribuer au développement des mathématiques en Afrique Subsaharienne, le CIMPA encourage aussi les jeunes mathématiciens de cette Région à s’inscrire.
Stochastic calculus and stochastic models in finance
Parametric and nonparametric statistics applied to finance
Risks in finance and insurance
Statistical methods for prediction in finance and insurance
Time series and applications
Pricing and hedging financial instruments
Numerical methods in finance
February 3, 2013
Applicants from Morocco must fill the following form : http://cimpa2013.uca.ma/form.php. Local organizer : M’hamed Eddahbi (m.eddahbi at uca.ma)
Voir en ligne : Local web site
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