Financial Engineering & Risk Management Workshop
FinMath Seminar/Workshop organizer Alexander (Sasha) Adamchuk alex@finmath.com

FinMath.com
Chicago Financial Engineering & Risk Management Workshop
Chicago FinMath Seminar
FinMath Bookshelf
New Books

Invited Speakers in 1998-1999 Academic Year - fully realized program
Invited Speakers in 1999-2000 Academic Year - partially realized program
Other Seminars/Workshops



Kolmogorov in Perspective
Edited by A. N. Shiryaev / Published September 2000

Kolmogorov
State of the Art


My Universities:

Kolmogorov Specialized Physics & Mathematics School - Internat #18, Moscow
Lomonosov Moscow State University, Advanced Educational Scientific Centre
Moscow Institute of Physics and Technology, Department of Molecular and Chemical Physics
USSR Academy of Sciences, Semenov Institute of Chemical Physics
USSR Academy of Sciences, Institute of Theoretical and Experimental Biophysics, Laboratory of Autowave Processes
USSR Academy of Sciences, Obukhov Institute of Atmospheric Physics, Division of Wave Propagation
Cornell University, Laboratory of Nuclear Studies, CLEO Collaboration
Syracuse University, Department of Physics
The University of Chicago, Program on Financial Mathematics


Professional Memberships (past, present, and future):

International Association of Financial Engineers
Global Association of Risk Professionals
American Finance Association
Bachelier Finance Society
American Physical Society
American Mathematical Society
Society for Industrial and Applied Mathematics


Recent Research Papers:

ALL TIME HITS

SSRN Top Ten Downloads for the Monetary Economics
SSRN Top Ten Downloads for the Derivatives
SSRN Top Ten Downloads for the Capital Markets: Asset Pricing and Valuation

A.N.Adamchuk and S.E.Esipov, "Collectively fluctuating assets in the presence of arbitrage opportunities and option pricing", Physics-Uspekhi, 40(12), 1239-1248 (1997), Published version April 1997, original manuscript May 1996 (submitted for publication September 1996)
A.N.Adamchuk, S.Adamchuk and S.E.Esipov, "Arbitrage relaxation of instruments with temporal constraints", Financial Economics Network (FEN): SSRN's Electronic Journal of Derivatives, March 1998; Presented at the IAFE Conference and Annual Meeting, October 15, 1999, New York
A.N.Adamchuk, "The Geometry of Financial Times", DIMACS, Workshop on New Market Models, April 1999
A.N.Adamchuk, "From Supernova to Discovery of Supersymmetry in Finance", Chicago Kolmogorov Memorial Readings, The University of Chicago, April 2001

Since 1997 the results of our work were presented at the Quantitative Finance Seminars, Workshops and Conferences at the University of Chicago, Columbia University, Courant Institute of Mathematical Sciences, New York University, SUNY at Stony Brook, and Annual Meetings of the International Association of Financial Engineers.


Special thanks to Espen Gaarder Haug, the author of bestselling book The Complete Guide to Option Pricing Formulas, who has published the articles with references to our findings of Put-Call Option Supersymmetry, Saddle Gamma and Global Maximum of Vega.

Espen Gaarder Haug, "A Look in the Antimatter Mirror", Wilmott Magazine, September 2002, pp. 36-42
http://wilmott.com/detail.cfm?articleID=155
http://www.wilmott.com/pdfs/030310_haug.pdf (downloadable in PDF)
http://espenhaug.com/collector/collector01.html (cartoons)

Espen Gaarder Haug, "Know Your Weapon, Part 1", Wilmott Magazine, May 2003, pp. 49-57
http://wilmott.com/detail.cfm?articleID=221
http://www.wilmott.com/pdfs/050527_haug.pdf (downloadable in PDF, ~2Mb)

Espen Gaarder Haug, "Know Your Weapon, Part 2", Wilmott Magazine, July 2003, pp. 2-8


Participation in the Conferences/Workshops: Partial List of the Meetings on Quantitative Analysis and Risk Management in 1996-2000



Send your comments and suggestions to Alexander Adamchuk  alex@finmath.com

FinMath.com