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Workshop on Research in Financial Mathematics and Engineering

McKimmon Center
Raleigh, NC 27695

May 24, 2001

Center for Research in Scientific Computation
North Carolina State University
Raleigh, NC 27695

The recent explosive growth in financial markets has led to the rapid development of knowledge in the quantitative approaches to finance. Most significant results have been obtained by multidisciplinary research efforts involving Economics, Mathematics, Statistics and Engineering. North Carolina State University is in the process of establishing a Masters Program in Financial Mathematics and Engineering. Research at the Ph.D. level and higher in this area, however, is being carried on in individual departments.  

A focus group on Research in Financial Mathematics and Engineering has been created within the existing Center for Research in Scientific Computation. Our goal is to stimulate joint research and to provide a forum for exchange with the concerned industries, including banks, investment firms, energy companies or natural resource based firms, that all face problems of risk management. Interest in new risk management tools is growing in North Carolina and NCSU has an opportunity to play a nationwide leading role in this domain. An active seminar series in FME has already been established.  

We are organizing a one-day workshop at NC State where selected faculty and industry participants will present example research problems. The conference will end with a round table discussion about the need for and the benefits from a Center in FME and how to best structure interaction between the center and its industry partners. This conference will serve both to provide information about ongoing research activities at NCSU and to begin a dialog between NCSU faculty and graduate students and relevant industry participants.  


  • P. Bloomfield and X. He (Statistics, NCSU)
  • "Credit Risk, Credit Quality Drift, and the Business Cycle"
  • P. Fackler (Agricultural and Resource Economics, NCSU) "Modeling Commodity Futures Term Structure"

  • J.P. Fouque (Mathematics, NCSU) "Black-Scholes, Implied Volatilities and Stochastic Volatility Models"

  • D. Erdman (SAS Institute Inc., Cary) "Copulas and Large Scale Monte Carlo Simulation for Integrated Risk Measurement"

  • William N. Smith (Duke Power, Charlotte) "Energy Business: Risks Involved with Electricity Trading"

  • C. Wypasek (First Union Securities, Charlotte) "Competing Risks in the Modeling of Asset-backed Cash Flows"

  • View the Program

    The number of participants is limited.


    There is a $50 registration fee which will include lunch. Please make check payable to "North Carolina State University (FME Workshop)". Please send all correspondence to the following address:

    FME Workshop
    Attn: July Duran
    Center for Research in Scientific Computation
    North Carolina State University
    Box 8205
    Raleigh, NC. 27695-8205

    The organizers:

    Paul L. Fackler
    Department of Agricultural and Resource Economics
    North Carolina State University
    Jean-Pierre Fouque
    Departement of Mathematics
    North Carolina State University


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