Home /  MSRI-UP 2011: Mathematical Finance


MSRI-UP 2011: Mathematical Finance June 21, 2011 - July 24, 2011
Registration Deadline: June 11, 2011 almost 13 years ago
To apply for Funding you must register by: June 11, 2011 almost 13 years ago
Parent Program: --
Organizers Marcel Blais (Worcester Polytechnic Institute), Duane Cooper (Morehouse College), Ricardo Cortez (Tulane University), Herbert Medina (University of Portland), Ivelisse M. Rubio (University of Puerto Rico), LEAD Suzanne Weekes (SIAM - Society of Industrial and Applied Mathematics)

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The MSRI-UP summer program is designed for undergraduate students who have completed two years of university-level mathematics courses and would like to conduct research in the mathematical sciences. Due to funding restrictions, only U.S. citizens and permanent residents are eligible to apply and the program cannot accept foreign students regardless of funding. The academic portion of the 2011 program will be led by Dr. Marcel Blais.

MSRI-UP 2011: Mathematical Finance

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Application Materials

Four items will be needed to complete your application. Applications are now closed for the 2011 program. Check for materials for the 2012 program late in the Fall of 2011.

General description

During the summer, each of the 18 student participants will:

  • participate in the mathematics research program under the direction of Dr. Blais
  • complete a research project done in collaboration with other MSRI-UP students
  • give a presentation and write a technical report on his/her research project
  • attend a series of colloquium talks given by leading researches in their fields
  • attend workshops aimed at developing skills and techniques needed for research careers in the mathematical sciences and
  • learn techniques that will maximize a student's likelihood of admissions to graduate programs as well as the likelihood of winning fellowships
  • receive a $3000 stipend, lodging, meals and roundtrip travel to Berkeley, CA.

After the summer, each student will:

  • have an opportunity to attend a national mathematics or science conference where students will present their research
  • be part of a network of mentors that will provide continuous advice in the long term as the student makes progress in his/her studies
  • be contacted regarding future research opportunities

The main objective of the MSRI-UP is to identify talented students, especially those from underrepresented groups, who are interested in mathematics and make available to them meaningful research opportunities, the necessary skills and knowledge to participate in successful collaborations, and a community of academic peers and mentors who can advise, encourage and support them through a successful graduate program.

The objective is designed to contribute significantly toward meeting the program goal of increasing the number of graduate degrees in the mathematical sciences, especially doctorates, earned by U.S. citizens and permanent residents by cultivating heretofore untapped mathematical talent within the U.S. Black, Hispanic/Latino and Native American communities.

The directors of MSRI-UP are:

Previous Years:

Primary Mathematics Subject Classification No Primary AMS MSC
Secondary Mathematics Subject Classification No Secondary AMS MSC
Schedule, Notes/Handouts & Videos
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Jul 22, 2011
09:00 AM - 10:00 AM
  Modelling Volatility Derivatives
Nathan Belete, Raymond Perkins, Kendra Pleasant
10:00 AM - 11:00 AM
  Analyzing Intraday Movement of VIX Derivatives
Michelle Bongard, Joseph LaBriola, Vishnu Thaver
11:00 AM - 12:00 PM
  Semi-Dynamic Hedging With Transaction Costs
Andrea Arauza (California State University, East Bay), Jason Bello
01:00 PM - 02:00 PM
  Investigating the Use of Volatility Derivatives to Hedge Portfolios
Kerisha Burke, Nathan Lopez, Jasmine Osorio
02:00 PM - 03:00 PM
  Conditioning the Capital Asset Pricing Model with Volatility
Allyson Blizman, Elisa Rosales, Alejandro Samaniego
03:00 PM - 04:00 PM
  Pricing American Options using the Longstaff-Schwartz Algorithm
Daniel Matovu, Adrian Ochoa, Mike Osorio