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Financial Mathematics Conference at University of Chicago Features Worldwide Experts in Financial Instruments

Business Wire, April 27, 2007

Nobel Prize Winner Robert Engle Among Economists and Mathematicians Presenting Papers on Volatility and High Frequency Data

CHICAGO -- The University of Chicago's Stevanovich Center for Financial Mathematics held a two-day conference on April 21-22 featuring papers presented by 30 of the world's leading experts, including Nobel Prize winner Robert Engle, dealing with Volatility and High Frequency Data in finance.

"The past 10 years have seen enormous developments in measuring volatility of financial instruments," said Niels O. Nygaard, Professor of Mathematics and Director of the Stevanovich Center. "On the econometric side, increased use of sophisticated statistical and probabilistic techniques now permits the transformation of high frequency trading data into increasingly reliable estimates of volatility and related quantities. At the same time, methods for studying implied volatility from derivatives data have made great progress. This highly successful conference brought together some of the world's leading scholars to further push the boundaries of our understanding of this field."

The event, which attracted more than 150 academics and financial market professionals, was held at the Intercontinental Hotel in Chicago. A complete listing of the speakers and their papers can be accessed at http://www.stat.uchicago.edu/~volatility/Program.htm.> The Stevanovich Center for Financial Mathematics was started in the spring of 2006 as a research center, extending the University's innovative Master of Science in Financial Mathematics Program which pioneered the teaching of theoretical and applied mathematics and practical applications to derivatives pricing and the management of financial assets. Staffed by professors from the University of Chicago's distinguished Departments of Mathematics, Statistics and Economics, as well as experienced financial industry professionals, the Program continues to lead the way with an innovative and practical curriculum designed to provide students with an exceptional understanding of the underlying assumptions of various financial models, enabling them to critically ascertain applicability and limitations. For further information, visit http://www-finmath.uchicago.edu/.>