Centre International de Mathématiques Pures et Appliquées

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.

Objectives

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 :

1. awareness raising of professionals in finance and insurance on the importance of mathematical methods in these areas,
2. development of common research topics between the north and south (Master, PhD, research stays ..) on topics that have a significant economic impact,
3. establishment of research collaborations, firstly between international researchers (visiting researchers, co-supervision of theses, ...) and secondly between master students and engineers in the professional sector in finance and insurance
4. establishment of teaching collaboration (teaching assignments, assembling Master across the Maghreb ...) between the universities of North Africa, the Mediterranean and neighboring countries.

Date and place

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.

Administrative and scientific coordinators

• M’hamed Eddahbi : Université Cadi Ayyad, FST, Marrakech, Morocco (m.eddahbi at uca.ma)
• Josep Vives : Université de Barcelone, Barcelone, Spain (josep.vives at ub.edu)

Scientific committee

• Ernst Eberlein (Department of Mathematical Stochastics, University of Freiburg, Germany)
• Hans-Juergen Engelbert (Friedrich-Schiller-University, Institute of Stochastics, Jena, Germany)
• Youssef Ouknine (Cadi Ayyad University, Department of Mathematics, Marrakech and the Hassan II Academy of Sciences and Technology, Rabat, Morocco)
• David Nualart (Kansas University, Department of Mathematics, Kansas, USA)
• Philip Protter (Statistics Department, Columbia University, New York, USA)

Organizing committee

• Khadija Akdim UCA, FST, Marrakech (k.akdim at uca.ma)
• M’hamed Eddahbi UCA, FST, Marrakech (m.eddahbi at uca.ma)
• El Hassan Essaky UCA, FPS, Marrakech (e.essaky at uca.ma)
• Es-Sebaiy Khalifa, ENSA Marrakech (k.essebaiy at uca.ma)
• Mohamed Mellouk, Université Paris Descartes, Paris (mohamed.mellouk at parisdescartes.fr)
• Abdelaziz Nasroallah UCA, FSSM, Marrakech (nasroallah at uca.ma)
• Idir Ouassou UCA, ENSA Marrakech (i.ouassou at uca.ma)
• Josep Vives, UB, Barcelone (josep.vives at ub.edu)

Scientific program

Thematic
 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

• Cours 1 : Alexandra Chronopoulou : (Department of Statistics and Applied Probability University of California Santa Barbara, USA) Time series analysis with applications in finance.
• Cours 2 : Boualem Djehiche : (Division of Mathematical Statistics of the Department of Mathematics, KTH, Stockholm, Sweden) Statistical estimation techniques in life and non-life insurance - An overview
• Cours 3 : Ernst Eberlein : (Department of Mathematical Stochastics, University of Freiburg, Germany) Lévy driven finance theory (equity, interest rate theory, credit, reserve capital)
• Cours 4 : Hans-Juergen Engelbert : (Friedrich-Schiller-University, Institute of Stochastics, Jena, Germany) An Introduction to Stochastic Differential Equations and Applications
• Cours 5 : Nicolas Privault : (Division of Mathematical Sciences, Nanyang Technological University, Singapore) Valorisation et couverture dans les modèles de taux d’intérêt.
• Cours 6 : Philip Protter : (Statistics Department, Columbia University, New York, USA) Expansion of filtrations and the question of insider trading in mathematical finance
• Cours 7 : Frederi Viens : (Department of Statistics, Purdue University, West Lafayette, USA) La science de l’actuariat adopte les outils de finance quantitative pour la couverture pratique du risque

Deadline for registration

February 3, 2013

Application procedure and Online registration only for applicants not from Morocco.

Applicants from Morocco must fill the following form : http://cimpa2013.uca.ma/form.php. Local organizer : M’hamed Eddahbi (m.eddahbi at uca.ma)