Report on Cimpa-Imamis School on “Mathematical Finance”
Hanoi, April 24 to May 4, 2007
(Marc Diener and Huyên Pham)
1. Introduction: why a Cimpa-Imamis School
This school is one of the 3 schools that have been planned in the IMAMIS program. This
European program has its origin in a CIMPA school in 1998 organized in Ho Chi Min City
where Professor A. Piriou, now retired, met 10 Filipino mathematicians. To respond to a
demand of these Filipino mathematicians, the CIMPA and professor Piriou asked professors
F. and M. Diener to apply for an European project, accepted in 2004. The project involves
CIMPA through the organization of 3 schools, one in each Asian partners, Malaysia, Vietnam
and Philippines. For each of these 3 schools, the EU financial participation is planned to cover
50% of the total cost. The Malaysian school took place in Kuala-Lumpur in May 2006. This is
the second school, the third and last one will take place in Ateneo de Manila University in
August 2007.
The chosen subjects are topic in Mathematical Finance relevant for teachers and practitioners
in Vietnam, Philippines, Malaysia, and other countries in East and South-East Asia. They are
topics taught by the lecturers chosen among the most innovative lectures they give in their
Master teachings in their home universities.
2. Overview
All lectures took place at the Institute of Mathematics, Hanoi (IMH);( the computer sessions
took place at an other location.)
The planned lecturers were
Nicole Elkaroui (Polytechnique), Giles Pagès (Paris 6), Santiago Carillio (Autonoma de
Madrid), Wolfgang Runggaldier (Padova, Italy), Francine Diener (Nice), Marc Diener (Nice)
and Huyên Pham (Paris 7), that, except for Mrs El Karoui that could not come because of
personal reason, all gave lectures. Finally, S. Carilio and G. Pagès were assisted by Alberto
Suarez and Jacques Printemps respectively, for adding a computer oriented aspect of their
lectures. All the talks have been given in English, part with blackboard support part with
video-LCD support. All lecturers also provided hands-out of their lecture and all participants
could get a copy of all the computer files that had been prepared by the lecturers. The
computer programmes given used MatLab (Suarez) and SciLab (Printems)
Expected number of participants was Hanoi: 18, Vietnam (not from Hanoi): 12, ASEAN (not
from Vietnam): 13, EU (Lecturers): 8 . Finally, these numbers became 49 people from Hanoi,
14 from Vietnam outside of Hanoi, ASEAN (not in Vietnam) 22, and 8 lecturers. Obviously,
the subject attracted many people.
The local Coordinator of the School was Nguyen Dinh Cong (Institute of Mathematics,
Hanoi, Deputy Director)
3. The purpose
When the writer of these lines began his scientific life, the fact that probability was part of
Mathematics was still a matter of dispute; only few French mathematicians were aware of the
dramatic progress done in the theory of stochastic process, martingale theory or stochastic
integrals, and as a consequence, the teaching of probability at high school was at the best
related with combinatorics, or at the worse pure magic.
At the beginning of the 1970’ a scientific revolution took place when Black and Scholes
(rediscovering results already known by Bachelier) introduced models for the behaviour of
stock markets in a way that was enough accurate to diminish dramatically the risks on the so
called market of derivatives (such as Put and Call options), and Merton, Harrison and Pliska
found out the importance of martingales in modelling these markets, and how to turn the very
convincing modelling tool called “arbitrage” into effective mathematical models.
As a consequence, banks and financial institutions became places that would attract the best
mathematicians and would issue a demand of production and better understanding of
sophisticate new results of math. Moreover, the problem of hedging risks on derivatives gave
natural examples of Itô stochastic integrals and martingale representation theorem. Any
institution, including the State, that has to deal with exchange rates or interest rates needs to
have a full staff that masters the language of martingales and computations of stochastic
integrals, creating a demand of young people to be taught these subjects. As usual, the only
way for anyone to keep in touch with the evolution of ideas in a subject is to produce oneself
results (i.e. do research) in order to enter the exchange process called scientific
communication.
When CIMPA asked us to get interested in the Asia Link program of the EU (see next
section) it was obvious to us that math for finance could/should be an organising centre for a
new impulse in higher order mathematics in South East Asia, as it both involves new beautiful
mathematics (martingale theory, stochastic calculus) and existing domain of research
(Numerical Methods). Moreover, this domain of mathematical knowledge will be supported
by the double demand of teaching and applications, as explained above.
This school is part of the larger project IMAMIS that has been suggested by CIMPA in 2002.
This project, that has been worked out mostly by the Université de Nice Sophia-Antipolis
(UNSA) and the University of the Philippines (UP), is a training programme for higher order
education scholars, and devoted to the creation of 15 new courses in Applied Mathematics
and Information Science. These courses build up the knowledge delivered in a new pluri
disciplinary masters programme that is organised in three tracks (Mathematical Finance,
Numerical Methods, Information Science). It is funded by the Asia Link programme of EU. It
is run in partnership with Ateneo De Manila University, Universiti Kebangsaan Malaysia
(UKM), Institute of Mathematics Hanoi (IMH), Université de La Rochelle (ULR),
Departimento di Mathematica - Universita di Pisa (UniPisa), Universidad Autónoma de
Madrid, and Université Pierre et Marie Curie (Paris 6),
As usual in higher order teaching, we found it necessary, besides the creation of the courses,
to initiate a research process that would allow the teachers involved to get access to the
scientific communication in that domain and thus keep there knowledge up to date after the
end of the two-and-a-half years Asia Link support. In our mind, the Cimpa schools are the
ideal tool to allow this process.
4. The lectures
1. M. Diener: Discrete-time models in finance (5h)
2. F. Diener: Continuous-time models in finance and stochastic calculus (9h)
3. S. Carrillo and A. Suarez: Operational risk: measurement and control (5h
course + 4h computer)
4. G. Pagès: Introduction to numerical methods in probability for finance (4h
course + 3h computer)
5. J. Printems: Introduction to numerical methods for partial differential
equations in finance (4h course + 3h computer)
6. W. Runggaldier: Interest rate modelling (9h)
7. H. Pham: Portfolio management and option hedging (9h)
1. Discrete-time Models in Finance
Marc Diener : University of Nice, [email protected]
http://math1.unice.fr/~diener/
1. Pricing European options in a Cox-Ross-Rubinstein Model. Risque neutral
probability. Convergence of the CRR exact formula to the Black-Scholes limit.
2. Pricing American options in a CRR Model. Hedging/superhedging
2. Continuous-time Models in Finance and Stochastic Calculus
Francine Diener : University of Nice, [email protected]
http://math1.unice.fr/~diener/
1. Brownian motion, Heat equation, Black-Scholes model of stocks prices. Self financing
portfolios, stochastic integrals, profit & loss.
2. Ito formula, stochastic differential equations, options pricing in the Black-Scholes
model. Delta hedge, vol dependance, limits of the B&S model.
3. The martingal approach or arbitrage pricing theory.
4. Arbitrage free and complet markets: the 2 fondamental theorems
3. Operational risk : measurement and control
Santiago Carrillo : RiskLab, Madrid,
[email protected]
http://www.risklab-madrid.uam.es/es/miembros.html
Alberto Suarez : Universidad Autonoma Madrid,
[email protected]
http://www.risklab-madrid.uam.es/es/miembros.html
I
What is operational risk: from thick fingers to rogue traders.
1. basical concepts related to operational risk.
2. the notion of economical capital.
3. the Basel II framework for operational risk.
II. Operational risk and Basel II: basic models.
1. the basic indicator approach.
2. the standard approaches.
3. critical analysis of basic model
4. a practical more advanced example: the internal measurement
approach.
III. Operational risk and Basel II: advanced models.
1. The loss distribution approach.
2. The choice for severity distribution (threshold effect and Extreme Value
Theory).
3. The frequency distribution.
4. Putting all together: practical computing of economical capital (Panjer
algorithm, FFT and Monte Carlo simulation).
IV. Practical issues.
1. using different thresholds
2. using external data.
3. taking into account dependence structure (copula and fat tails).
4. Introduction to numerical methods in probability for finance
Gilles Pagès : PMA, University Paris 6, [email protected]
http://www.proba.jussieu.fr/pageperso/pages
1. Simulation of random variables, variance reduction
1.1 The fundamental principle of simulation and pseudo-random numbers
1.2 The distribution function method
Application to the simulation of exponential and Poisson distributions.
1.3 The rejection method
Application to the simulation of normal distributions.
1.4 The Box-Muller method for normal vectors
d-dimensional Normal vectors
d-dimensional Gaussian vectors (with general covariance matrix).
1.5 Application to the computation of Vanilla options pricing in a Black-Scholes model
by Monte Carlo.
Premium.
Greeks (sensitivity to the option parameters: an elementary approach).
1.6 Variance reduction
Control variate (optimization by on-line regression).
Symmetrization.
Importance sampling.
1.7 Application to European option pricing II
Option best match, call on exchange spread.
Path-dependent options~I: Asian options.
an example of stochastic volatility model: The Heston model.
2. Euler scheme of a Brownian diffusion
2.1 Euler-Maruyama scheme
Simulation
Strong error rate
Path-dependent options~II: Lookback and barrier options, first approach
2.2 Milshtein scheme
2.3 Weak error of the Euler scheme
Main results for E(f(X_T)) : Talay-Tubaro Theorem, Bally-Talay Theorems
Weak error for path-dependent functionals: the Brownian bridges method
Application to Path-dependent options~III: partial lookback and barrier
options.
Standard Romberg extrapolation and multistep Romberg extrapolation.
3. American options
3.1 From American to Bermuda options
3.2 Dynamic programming formula
From arbitrage approaches Optimal stopping theory.
Hedging.
3.3 Numerical methods
The Longstaff-Schwartz method.
The optimal quantization tree approach.
On the computer... (3 hours)
4. Simulations on a computer
The students will to compute by themselves some option prices by Monte Carlo
simulation.
4.1 European option
Compute by Monte Carlo the B-S vanilla Call, best match, exchange spread
options as a function of the strike price, without and with control variate, with and
without symmetrization.
Idem in a Heston model
Barrier options
4.2 American option (in 1-dimension)
The Longstaff-Schwartz method.
The optimal quantization tree approach.
5. Introduction to numerical methods for partial differential equations in
finance
Jacques Printems: LAMA, University Paris 12,
[email protected]
http://perso-math.univ-mlv/users/printems.jacques/
1. Partial differential equations in mathematical finance
1.1 Black-Scholes analysis
Recall on the derivation of the Black-Scholes PDE
1.2 Examples of some PDE’s occuring in finance with their typical features
Through the Black-Scholes model :
Large dimensions
Degenerate PDE’s (Asian options, Lookback options)
Need of numerical tools (no closed forms e.g. : call spread options)
Bounded or unbounded domains (barrier options)
1.3 Other methods
Stochastic volatility models
Heston’s models
2. Finite difference methods for PDE’s
2.1 Basis concepts
Derivation of finite difference schemes. Accuracy
Notion of stability (time). Explicit and implicit schemes
Notion of stability (space). L^\infty-stability and discrete maximum principle
Discretization in higher dimension
2.2 Numerical implementation of BS type equation in 1-dimension.
Numerical proof of the convergence. Numerical rate of convergence.
Boundary conditions.
Numerical smile.
2.3 Numerical study of a 2-d stochastic volatility model : the Heston model
Bring into play the numerical implementation. Sparse storage of the matrices.
Comparison of different choices of discretization.
2.4 Technique for reducing the dimension
The alternate direction methods : example in a 2-d case
The sparse grids
3. American options
3.1 Different formulations
The optimal stopping formulation
The free boundary formulation
The variational inequality formulation
3.2 Semi-discretization in time and numerical methods
Comparison of two methods (rate of convergence, efficiency) :
Projected gradient method
Howard’s method
4. Asian options
4..1 Motivations
4.2 PDE formulation and numerical scheme
Rogers and Shi method
Numerical implementation
5. Practical work
5.1 European option
Computation by Finite difference methods of the BS vanilla call in 1-d, best match in
2-d, exchange spread in 2-d, options as a function of the strike price.
Barrier options
4.2 American option (in 1-dimension)
The projected gradient method.
The Howard method
6. Interest rate modeling
Wolfgang Runggaldier : University of Padova,
[email protected]
http://www.math.unipd.it/~runggal/
1. Bonds and Interest Rates;
2. Short Rate Models;
3. Martingale Models for the Short Rate;
4. Forward Rate Models;
5. Change of Numeraire;
6. LIBOR and Swap Market Models.
7. Portfolio management and option hedging
Huyên Pham : PMA University Paris 7, and IUF, [email protected]
http://www.proba.jussieu.fr/pageperso/pham/
We present a review of concepts of utility theory and portfolio management in financial
markets, and show how stochastic control method are applied in this context:
1. Utility theory and risk aversion
2. Dynamic programming and Bellman approach
Merton’s portfolio/consumption choice, real options …
3. Duality and martingale approach
Mean-variance hedging
Quantile hedging
Schedule
Monday 23 April 2007
8h00-9h30
Registration
9h30-10h00
Openning ceremony
10h00-10h15
break
10h15-12h00
M. Diener: Discrete-time models in finance I
Afternoon session
13h30-15h00
F. Diener: Continuous-time models in finance and stochastic calculus I.
15h00-15h15
break
15h15-16h45
F. Diener: Continuous-time models in finance and stochastic calculus II.
Tuesday 24 April 2007
8h00-9h45
M. Diener: Discrete-time models in finance II
9h45-10h00
break
10h00-12h00
S. Carrillo: Operational risk: measurement and control I
Afternoon session
13h30-15h00
S. Carrillo: Operational risk: measurement and control II
15h00-15h15
break
15h15-16h45
S. Carrillo: Operational risk: measurement and control III
Wednesday 25 April 2007
8h00-9h15
M. Diener: Discrete-time models in finance III
9h15-9h20
break
9h20-10h30
F. Diener: Continuous-time models in finance and stochastic calculus
IIIa.
10h30-10h40
break
10h40-12h00
F. Diener: Continuous-time models in finance and stochastic calculus
IIIb.
Afternoon session
13h30-15h30
A. Suarez: Operational risk I
15h30-15h45
Break
15h45-17h30
A. Suarez: Operational risk II
Thursday 26 April 2007
8h00-9h45
F. Diener: Continuous-time models in finance and stochastic calculus
IV.
9h45-10h00
break
10h00-12h00
F. Diener: Continuous-time models in finance and stochastic calculus V.
Afternoon session
13h30-15h30
J. Printems: Introduction to numerical methods for partial differential
equations in finance I
15h30-15h45
Break
15h45-17h30
J. Printems: Introduction to numerical methods for partial differential
equations in finance II
Friday 27 April 2007
8h30-10h00
J. Printems: Introduction to numerical methods for partial differential
equations in finance III (computer work)
10h00-10h15
Break
10h15-11h45
J. Printems: Introduction to numerical methods for partial differential
equations in finance IV (computer work)
Afternoon session
13h30-14h30
G. Pagès: Introduction to numerical methods in probability for finance I
14h30-15h00
Break
15h00-16h00
G. Pagès: Introduction to numerical methods in probability for finance
II
Saturday 28 April 2007
9h00-10h00
G. Pagès: Introduction to numerical methods in probability for finance
III
10h00-10h30
Break
10h30-11h30
G. Pagès: Introduction to numerical methods in probability for finance
IV
Afternoon session (92 Vinh Phuc street, Ba Dinh district, Ha Noi)
13h30-15h00
G. Pagès: Introduction to numerical methods in probability for finance
V (computer work)
15h00-15h15
Break
15h15-16h45
G. Pagès: Introduction to numerical methods in probability for finance
VI (computer work)
Wednesday 2 May 2007
8h15-9h45
H. Pham: Portfolio management and option hedging I
9h45-10h00
break
10h00-11h30
H. Pham: Portfolio management and option hedging II
Afternoon session
13h30-15h00
W. Runggaldier: Interest rate modelling I
15h00-15h15
Break
15h15-16h45
W. Runggaldier: Interest rate modelling II
Thursday 3 May 2007
8h15-9h45
W. Runggaldier: Interest rate modelling III
9h45-10h00
break
10h00-11h30
W. Runggaldier: Interest rate modelling IV
Afternoon session
13h30-15h00
H. Pham: Portfolio management and option hedging III
15h00-15h15
Break
15h15-16h45
H. Pham: Portfolio management and option hedging IV
Friday 4 May 2007
8h15-9h45
H. Pham: Portfolio management and option hedging V
9h45-10h00
break
10h00-11h30
H. Pham: Portfolio management and option hedging VI
Afternoon session
13h30-15h00
W. Runggaldier: Interest rate modelling V
15h00-15h15
Break
15h15-16h45
W. Runggaldier: Interest rate modelling VI
16h45-17h00
Closing of the School
5. Other activities
Tuesday 24 April: dinner at family Nguyen Van Duc’s Snake Restaurant in Gia Lam. A
delicious opportunity to taste seven different ways to enjoy snake meat and bones. When
arriving, participants could see the slaughtering of a snake, a dangerous and not so easy task.
This provided also a wonderful opportunity to visit a traditional building
Monday 30 April and 1st of May are National holidays in Vietnam. This is why there was no
break on Wednesdays and that collective tourism was took place on these days, together with
Sunday.
Here an overview of this less scientific aspect of the School, that provided nevertheless the
opportunities of many discussions during the trips in bus, boats, and walks through the
National Parc.
Sunday 29 April – Monday 30 April 2007
Halong – Catba Island tour: bus to Haiphong, express-boat to Catba, walk through Catba
National Parc: most came back completely soaked out by the rain but everybody was happy.
Lunch at the Prince Hotel, swimming in the bay. Bus to the Noth of the island, where
participants to place in dragon-shaped boats. The leave at sunset from Catba island will
certainly one of the touristic climax of this tour that nobody will forget. Diner and night at the
luxury Mithrin hotel. Next day, travel through the famous islands of Halong Bay with visit to
one of the spectacular caves hidden in them. Visit to a small floating fish farms. See food on
the boat heading back to Halong, bus travel back to Hanoi.
Tuesday 1 May 2007
City tour: Temple of Literature, Tran Quoc Pagoda and Bat Trang Pottery Village. The temple
of Literature gave a good opportunity to get in touch with one of the origins of merit bases
access to knowledge.
Thursday 3 May: closing banquet at Nikko hotel. After the sumptuous dinner, several
participants offered spontaneous song performances that enjoyed everybody.
Friday 4 May 2007: Visit to Trang An Securities Joint Stock Company. This visit involved
only three participants of the school: Lưu Hoàng Đức, Francine Diener and Marc Diener. This
gave us the opportunity to have a better understanding of the present (and rapidly changing)
state of Securities exchanges in the country.
6. List of Participants
1. Participants
Nr Name
(i) Vietnamese participants
1
Nguyễn Thị Thúy Anh
2
3
4
5
Nguyễn Thị Ngọc Anh
Tran Kim Anh
Tạ Quốc Bảo
Phạm Trí Cao
6
Đặng Đình Châu
7
Nguyễn Trung Chính
8
9
Nguyễn Đình Công
Ngô Thế Công
Affiliation (in Vietnamese) Affiliation (in English)
College of Natural
Sciences, Vietnam
ĐHKHTN Hà Nội
National Univ.-Hanoi
Hanoi University of
Đại học Bách Khoa Hà nội Technology
Hanoi University of
DH Nong Nghiep I
Argiculture
Đại học Thái Nguyên
Thai Nguyen University
University of Economics,
Đại học Kinh tế TPHCM
Hochiminh City
College of Natural
Sciences, Vietnam
National Univ.-Hanoi
Đại học KHTN Hà Nội
Foreign Trade
Đại học Ngoại Thương
University, Hanoi
Institute of Mathematics,
Vietnamese Acad. Sci. &
Viện Toán học
Tech.
Trường Trung học Cơ sở
Nguyen Trai High
Nationality
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
Nguyễn Trãi
10
Đỗ Văn Cường
11
Ngô Kiên Cường
12
Trần Mạnh Cường
13
Nguyễn Quang Cường
14
Đỗ Ngọc Diệp
15
Nguyễn Tiến Dũng
16
Lưu Hoàng Đức
17
Trần Anh Đức
18 Võ Thị Trúc Giang
19
Đặng Vũ Giang
20 Nguyễn Thị Hà
21
Vũ Thị Hiền
22
Đỗ Văn Hiệp
23
Dương Mạnh Hồng
24
25
26
Trần Minh Hoàng
Đỗ Thị Thu Hường
Phan Thị Hương
27
Nguyễn Thị Mai Hương
28
Nguyễn Văn Hữu
29
Phạm Văn Khánh
School, Hanoi
College of Natural
Đại hoc Khoa học Tự nhiên Sciences, Vietnam
- Đại hoc Quốc gia Hà Nội National Univ.-Hanoi
College of Economics,
Đại học kinh tế Huế
Hue University
College of Natural
Sciences, Vietnam
ĐHKHTN - ĐHQGHN
National Univ.-Hanoi
Duy Tan University,
Đại học Duy Tân
Danang
Institute of Mathematics,
Vietnamese Acad. Sci. &
Viện Toán học
Tech.
College of Natural
Đại học KHTN-ĐHQG Hà Sciences, Vietnam
National Univ.-Hanoi
Nội
Institute of Mathematics,
Vietnamese Acad. Sci. &
Viện Toán học
Tech.
Institute of Mathematics,
Vietnamese Acad. Sci. &
Viện Toán học
Tech.
ĐẠI HỌC TIỀN GIANG
Tien Giang University
Institute of Mathematics,
Vietnamese Acad. Sci. &
Viện Toán Học
Tech.
Đại học Nha Trang
Nha Trang University
College of Natural
Đại học KHTN-DDHQG Hà Sciences, Vietnam
National Univ.-Hanoi
Nội
Institute of Mathematics,
Vietnamese Acad. Sci. &
Viện Toán Học
Tech.
Institute of Mathematics,
Vietnamese Acad. Sci. &
Tech.
Viện Toán học
Hanoi University of
Đại học Bách khoa Hà nội Technology
Academy of Finance,
Học Viện Tài Chính
Hanoi
Military Academy of
Học Viện Kỹ thuật Quân sự Technology
Institute of Mathematics,
Vietnamese Acad. Sci. &
Học viên Cao học K13 VTH Tech.
College of Natural
Sciences, Vietnam
Khoa Toán-Cơ-Tin học,
National Univ.-Hanoi
ĐHKHTN
Military Academy of
Học Viện Kỹ thuật Quân sự Technology
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
30
31
32
33
Phạm Quang Khoái
Đại học Lâm Nghiệp
Bùi Thị Hà Linh
Học Viện Tài Chính
Ngô Hoàng Long
ĐHSP Hà Nội
Hoàng Đức Mạnh
Đại học Kinh tế Quốc dân
Nguyễn Quang Minh
Viện Toán học
Trần Minh Ngọc
Đại học Khoa học tự nhiên
34
35
36
Nguyễn Hồng Nhung
Đại học KHTN-Tp Hồ Chí
Minh
Đại học Quy Nhơn
Trường Đại hoc Kinh tế Đà
Nẵng
Đại học Hoa Sen Thành phố
Hồ Chí Minh
Hồ Đăng Phúc
Viện Toán học
Bùi Nguyễn Trâm Ngọc
37 Bùi Thị Thanh Nhàn
38
39
Đặng Thị Tố Như
40
41
Tạ Duy Phượng
42 Trần Văn Quý
43
44
45
46
Viện Toán học
ĐHThái Nguyên
Thiều Lê Quyên
Học Viện Kỹ thuật Quân sự
Nguyễn Thị Thúy Quỳnh
Học viện Tài chính
Nhan Anh Thai
Trường Đại hoc Cần Thơ
ĐH Kinh tế TP Hồ Chí
Minh
Nguyễn Hữu Thái
47
Trần Văn Thành
48 Lê Văn Thành
49
Viện Toán học
Đại học Vinh
Hoàng Phương Thảo
Học Viện Tài Chính
Trần Hùng Thao
Viện Toán học
50
51
Hoàng Phương Thảo
52 Phạm Minh Thông
Đại học Khoa hoc Tự nhiên
Đại học Tây Bắc
Vietnam Forest
University, Hà Tây
Academy of Finance,
Hanoi
Hanoi University of
Education
National Economics
University, Hanoi
Institute of Mathematics,
Vietnamese Acad. Sci. &
Tech.
College of Natural
Sciences, Vietnam
National Univ.-Hanoi
College of Natural
Sciences, Vietnam
National Univ.-HCMC
Quy Nhon University
Danang University of
Economics
Hoa Sen University, Ho
Chi Minh City
Institute of Mathematics,
Vietnamese Acad. Sci. &
Tech.
Institute of Mathematics,
Vietnamese Acad. Sci. &
Tech.
Thai Nguyen University
Military Academy of
Technology
Academy of Finance,
Hanoi
School of Education, Can
Tho University
University of Economics,
Hochiminh City
Institute of Mathematics,
Vietnamese Acad. Sci. &
Tech.
Vinh University
Academy of Finance,
Hanoi
Institute of Mathematics,
Vietnamese Acad. Sci. &
Tech.
College of Natural
Sciences, Vietnam
National Univ.-Hanoi
Tay Bac University
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
53 Nguyễn Thị Thế
54
55
Đại học Vinh
Nguyễn Tuấn Thiện
Đại học Bách Khoa
Nguyễn Thị Thanh Thuỷ
Đại học Sư Phạm Hà Nội
Hà Thành Trung
Viện Toán học
Trần Đình Tuấn
Đại học Bách Khoa Hà Nội
Cao đẳng Tài chính Kế toán
Quảng Ngãi
56
57
58
59
Phạm Viết Thanh Tùng
Trần Gia Tùng
60
Trần Đình Tướng
61 Trần Đông Xuân
Đại học Kinh tế TPHCM
Cao đẳng cộng đồng Bà Rịa
Vũng Tàu
Đại học Cần Thơ
62
Tăng Thị Hà Yên
Viện Toán học
Nguyễn Tiến Yết
Đại hoc Khoa học Tự nhiên
- Đại hoc Quốc gia Hà Nội
63
Vinh University
Hanoi University of
Technology
Hanoi University of
Education
Institute of Mathematics,
Vietnamese Acad. Sci. &
Tech.
Hanoi University of
Technology
College of Financial
Accounting, Quang Ngai
University of Economics,
Hochiminh City
Community College of
Baria-Vungtau
Can Tho University
Institute of Mathematics,
Vietnamese Acad. Sci. &
Tech.
College of Natural
Sciences, Vietnam
National Univ.-Hanoi
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
VIETNAM
(i) Non-Vietnam based participants
64 Nguyen Dinh Ha
65 Doan Thai Son
66 Ha Huy Thai
67 Nguyen Trung Lap
68 Almocera S. Lorna
69 Balila Edwin A
70 Cabral Emmanuel
71 Shafiqul Islam
72 Uyaco-Catinan Filame Joy
73 Tuprio Elvira
Ecole Polytechnique,
FRANCE
Institute of Mathematics,
Vien Toan Hoc
Vietnamese Acad. Sci. &
Tech.
Univ. Paris VI,
Economie mathématique
FRANCE
Univ. Paris VI,
Univ. de Paris VI
FRANCE
University of the
University of the
Philippines, Cebu City,
Philippines, Cebu City
PHILIPPINES
Adventist University of
Adventist University of
Philippines,
Philippines
PHILIPPINES
Ateneo de Manilla
Ateneo de Manilla
University, Quezon City,
University, Quezon City
PHILIPPINES
University of Dhaka,
University of Dhaka, Dhaka
BANGLADESH
College of Science,
College of Science
Quezon City Philippines
PHILIPPINES
Ateneo de Manilla
School of Science and
University
Engineering, Quezon
Ecole Polytechnique
VIETNAM
VIETNAM
VIETNAM
VIETNAM
PHILIPPINES
PHILIPPINES
PHILIPPINES
BANGLADESH
PHILIPPINES
PHILIPPINES
74 Ramil Tagum Bataller
75 Wee Oliver Ian
76 Gao Yan
77 Saelim Rattikan
78 Hematulin Apichai
79 Sattayatham Pairote
80 Kachin Goganutaporn
81 Prasangika K.D.
82 Salleh Hassilah Binti
83 Visal Hun
84 Dakila Vine Villan
City - PHILIPPINES
School of Science and
Ateneo de Manilla
PHILIPPINES
Engineering, Quezon
University
City - PHILIPPINES
University of Philippines,
College of Science
PHILIPPINES
Quezon City PHILIPPINES
Uinversity of Shanghai
for Science and
CHINA
University of Shanghai
Technology, Shanghai CHINA
Prince of Songkla
Prince of Songkla
THAILAND
University, Pattani,
University, Pattani
THAILAND
Nakhonratchasima
Nakhonratchasima Rajabhat Rajabhat University,
THAILAND
Nakhonratchasima University
THAILAND
Suranaree University of
Technology, Muang
Suranaree University of
THAILAND
Nakhon Ratchasima Technology
THAILAND
Valaya Alongkorn
Valaya Alongkorn Rajabhat Rajabhat University,
THAILAND
Pathumthani –
University
THAILAND
University of Ruhuna,
University of Ruhuna
SRI-LANKA
Matara, SRI-LANKA
University of Oslo,
University of Oslo
MALAYSIA
NORWAY
Institute of Sc. and Tech,
Royal Academy of Cambdia Phnom Penh,
CAMBODIA
CAMBODIA
College of Science University of Philippines,
Univ. of the Philippines
PHILIPPINES
Quezon City College
PHILIPPINES
2. Lecturers
Nr
1
2
3
4
5
6
7
8
Name
Marc Diener
Francine Diener
Santiago Carrillo
Alberto Suarez
Gilles Pagès
Jacques Printems
Wolfgang Runggaldier
Huyên Pham
Institutions
University of Nice
University of Nice
RiskLab, Madrid
Universidad Autonoma Madrid
PMA, University Paris 6
LAMA, University Paris 12
University of Padova
PMA University Paris 7, and IUF
Nationality
FRANCE
FRANCE
SPAIN
SPAIN
FRANCE
FRANCE
ITALY
FRANCE
3. Invited guest participant
Milagros P. Navarro
Department of Mathematics,
University of the Philippines
Diliman, Quezon City 1101
PHILIPPINES
4. Vietnamese invited guests
1.
2.
3.
4.
5.
Prof. Nguyễn Khoa Sơn, Vice-President of VAST
Prof. Ngô Việt Trung, Director of Institute of Mathematics
Prof. Lê Tuấn Hoa, Deputy Director of Institute of Mathematics
Prof. Hà Huy Khoái, Former Director of Institute of Mathematics
Prof. Hoàng Xuân Phú, Vice-Chairman of the Scientific Council of Institute of
Mathematics
6. Prof. Nguyễn Hữu Dư, Dean of Math. Department of Hanoi University of Sciences
Prof. Nguyễn Việt Dũng, Deputy Director of Institute of Mathematics
7. What will be the follow up to the school ?
We received many reaction of participants expressing the fact that thanks to this school they
understand now that sophisticate mathematics were needed in modern finance.
For those who were already conscious of this evolution this school was a good occasion to see
how the most recent topics in finance can be taught at Master level. This gave all the
opportunity to build up collaboration schemes. This has already produced an partnership in
applying for an Erasmus Mundus Action 4 proposal submitted to the European Commission.
If it is accepted, it will allow new meetings in the near future.
This school will also influence the teaching of applied math in the represented countries in the
spirit of the International Master in Applied Mathematics and Information Sciences (Imamis).
Thanks to a ForMath Vietnam, several Vietnamese Master students in Europ had the
opportunity to have a contact with their home institutions. This school helped them to
understand the importance of keeping on studying at a higher level and to engage themselves
in a Doctoral programme.
Finally, this school will promote the research on mathematical Finance at the Department of
Probability and Statistics of the Institute of Mathematics in Hanoi, as well as collaboration
with other academic and educational institutions in Vietnam.
Répartition par nationalité des participants à l'école
"Mathematical Finance"
Hanoi (Vietnam), avril-mai 2007
1 1 1
3
1
8
1
4
BANGLADESH
1
CAMBODGE
1
CHINE
1
FRANCE
3
MALAISIE
1
PHILIPPINES
8
SRI LANKA
1
THAILANDE
4
VIETNAM
64
64
TOTAL = 84