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
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

• Quantitative Risk Management in Finance, Carnegie Mellon University, Pittsburgh (July-August, 2000)
• Annual Meeting of American Finance Association and Economic Society, Boston (January 2000)
• Workshop on Mathematical Finance, Columbia University, New York (November 1999)
• IAFE 1999 Conference and Annual Membership Meeting, New York (October 1999)
• Computational and Quantitative Finance '99, New York (September 1999)
• Mathematical Finance Practitioners Conference, Columbia University (September 1999)
• DIMACS, Workshop on New Market Models, Rutgers University, New Jersey (April 1999)
• IEEE/IAFE/INFORMS Conference on Computational Intelligence for Financial Engineering (CIFEr), New York (March 1999)
• 3rd Columbia-JAFFE Conference on Mathematics of Finance, New York (March 1999)
• Conference on Computational Finance, New York University, New York (January 1999)
• Annual Meeting of American Finance Association and Economic Society, New York (January 1999)
• Workshop on Mathematical Finance, Columbia University, New York (November 1998)
• Conference on Risk Management, Derivatives and Models, Annual Meeting of IAFE, New York (September 1998)
• Securities Industry Association Technology Management Conference & Exhibit, New York (June 1998)
• MATLAB Financial Engineering Conference, New York (June 1998)
• 2nd Annual Conference on Real Options, Chicago (June 1998)
• Emerging Markets Conference, Chicago (May 1998)
• Chicago Risk Management Conference, Chicago (May 1998)
• 8th Annual Derivative Securities Conference, 2nd Annual Mathematical Finance Day at Boston University, Boston (April 1998)
• 2nd Columbia-JAFFE Conference on Mathematics of Finance, New York (April 1998)
• IEEE/IAFE/INFORMS Conference on Computational Intelligence for Financial Engineering (CIFEr), New York (March 1998)
• Annual Meeting of American Finance Association and Economic Society, Chicago (January 1998)
• Workshop on Mathematical Finance, Columbia University, New York (October 1997)
• Global Risk Management Conference, Annual Meeting of IAFE, Boston (September 1997)
• 7th Annual Derivative Securities Conference, Queens University and Cornell University, Kingston, Ontario, Canada (May 1997)
• Workshop on Statistical Aspects of Financial Models at New York University, New York (May 1997)
• Columbia-JAFFE Conference on Mathematics of Finance, New York (April 1997)
• Stochastic Numerical Analysis Meeting, Princeton University, New Jersey (March 1997)
• Workshop on Mathematical Finance, Columbia University, New York (October 1996)

FinMath.com