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KU Professor Chairs Research in Options: RiO 2021

December 13, 2021

Dr. Jorge P. Zubelli, Professor and Chair of the Mathematics Department, recently chaired the 16th annual Research in Options: RiO 2021 conference. RiO 2021, which was held virtually from 21-24 November, provided a forum for experts to discuss some of the latest breakthroughs in mathematical research in Applied Mathematics.


This year’s meeting was co-hosted by FGV EMAp (School of Applied Mathematics in Rio de Janeiro), Universidade Federal Fluminense (UFF), Universidade Federal de Santa Catarina (UFSC) in Brazil, and KU’s Mathematics Department. Over 200 scientists, mathematicians, and practitioners who work on the interface of mathematics and finance discussed the latest research and tools that are advancing understanding of complex financial phenomena. 


The conference builds on the success of previous editions, which were hosted by Brazil’s National Institute for Pure and Applied Mathematics’ (IMPA) and the Laboratory for Analysis and Mathematical Modeling in the Applied Sciences (LAMCA), which was headed by Dr. Zubelli from 2011 – 2019. 


This year, the conference focused on different aspects of mathematical finance, including option pricing, fixed income, volatility trading, real options, commodities, algorithmic trading, portfolio and risk management.


Some of the most prominent names in quantitative finance and risk management participated in the event, including Bruno Dupire, Head of Research Bloomberg, who is recognized as one of the most influential quantitative analysts having received in 2008 the “Lifetime Achievement Award” by Risk Magazine. KU’s Dr. Giorgio Consigli, Associate Professor of Mathematics, also participated in the conference and presented on the topic of “Optimal option portfolios with volatility as asset class in a discrete market.” While KU’s Dr. Marcos Lopez de Prado, Professor of Practice in the Mathematics Department and ADIA’s Global Head on Quantitative Research & Development, presented on “Escaping The Sisyphean Trap: How Quants Can Achieve Their Full Potential.”  


The RiO conference sheds light on the increasingly important role of mathematical tools to model and understand how risk is assessed and managed, and how to address the growing number of mathematical and computational challenges the financial industry is facing.


Submitted manuscripts from RiO 2021 will be published in a special issue of the Journal of Computational Mathematics and Data Science, titled “Computational Mathematics and Data Science Methods in Quantitative Finance,” with Dr. Zubelli and two others serving as guest editors. 


Erica Solomon
Senior Publication Specialist
13 December 2021