Summer School - Rome - June 2005

Summer School in Risk Management and Control

Proceedings online - Program

Contents

The 2005 International Summer School has been jointly organized by Finance-and-Physics and the University of Lugano (Switzerland), the University of Rome "La Sapienza" (Italy), and the University of Rome "Tor Vergata".

The program of the Summer School can be obtained in html or in pdf.

Foreword

The Summer School has been held on June 9-17, 2005 in Villa Maraini, the prestigious location of Swiss Institute in Rome. Thanks to the contribution of Finance-and-Physics, this year the school has been targeted towards a mixed audience of professionals and young researchers. Albeit Rome is not the traditional location for professional training in finance, we have been able by carefully select topics and speakers to insure to the event the success it deserves. Indeed, the aim of the School has been to present selected topics and advanced quantitative approaches in the area of financial risk measurement and control with a careful focus on practical solutions. The event, targeted toward and audience of skilled professionals and researchers had the aim to join both operational needs in financial engineering and risk management, with the latest advances in academic research. Moreover, given the large spectrum of topics involved in Risk Management and to comply with time constraints of interested professionals, the school has been segmented in many specialized and independent sessions. Thus, while keeping a global coherency we has successfully tried to set-up an event with a mutually exclusive - collectively exhaustive structure.

The first session of the School (June 9-11) will be devoted selected topics in Risk Measurement and Structured Finance. The second session (June 13-14) is devoted to Topics in Risk Management and Asset Allocation. The third session (June 15) will focus on computational finance while, Energy Risk control and optimization techniques will be the subject of the fourth session (June 16-17). Contributed papers will be presented at the end of each session.

Sessions

1. Risk Management and Structured Finance
2. Topics in Risk Management and Asset Allocation
3. Computational Finance
4. ART: Energy Risk Management

Organizing Committee

1. Prof. Giovanni Barone Adesi, Università della Svizzera Italiana
2. Prof. Rita Laura D'Ecclesia, University of Rome "La Sapienza"
3. Dr. Gabriele Susinno, Finance-and-Physics and University of Rome "Tor Vergata"
4. Dr. Randa Morgan University of Rome "La Sapienza"

Academic Network

1. Charles University, Prague
2. Collegium Budapest, Budapest
3. Erasmus University, Rotterdam
4. ETH, Zürich
5. Finance-and-Physics, Rome
6. GME (IPEX Italian Power Exchange), Rome
7. Hochschule fur Bankwirtschaft, Frankfurt
8. Imperial College, London
9. Journal of Banking and Finance
10. LSE, London
11. Norwegian University of Science and Technology, Trondheim
12. University of Bergamo
13. University of Cyprus
14. University of Firenze
15. University of Lausanne
16. University of Roma "Tor Vergata"
17. University of Wien
18. University of Zürich
19. University Paris Dauphine

Finance-and-Physics

Finance-and-Physics network commitment is to bring together supply and demand in term of competencies to support investor's evolution.

Since his birth, the main objective Finance-and-Physics has been to support interdisciplinary interactions and information exchange between Researchers.

Please email us for further details.