2022 Gene Golub SIAM Summer School Explores Financial Analytics

By Agostino Capponi, Francesca Biagini, Sebastian Jaimungal, and Stephan Sturm

The 2022 Gene Golub SIAM Summer School (G2S3) took place at the Gran Sasso Science Institute in L’Aquila, Italy, from August 1-12, 2022. SIAM founded the program—which offers schools in applied mathematics, computational science, and industrial mathematics for graduate students in mathematics and computer science—after a generous bequest from former SIAM President Gene Golub, a pioneer in the field of numerical analysis. The theme of the 2022 school, which was organized by the SIAM Activity Group on Financial Mathematics and Engineering, was “Financial Analytics: Networks, Learning, and High-Performance Computing.” 

Nearly 40 students from 12 different countries took part in the 2022 iteration of G2S3. The Gran Sasso Science Institute’s wonderful hospitality facilitated the students’ active participation in an intensive study program that featured the most recent advancements in mathematical finance and computation. The schedule included four invited lecturers, whose two-day talks and activities built upon each other and effectively integrated theory and practice problems, including programming exercises. The invited speakers and their areas of expertise were as follows:

• Ludovic Tangpi (Princeton University): Quantitative Risk Management in Finance
• Mike Ludkovski (University of California, Santa Barbara): Energy and Commodity Markets
• Matthew Dixon (Illinois Institute of Technology): Machine Learning and Financial Technology
• Roxana Dumitrescu (King’s College London): Mean Field Games.

These lecturers represent the scientific quality and diversity that comprised the core of G2S3’s immersive experience.

Throughout the course of the summer school, attendees grew their networks and interacted with peers from all over the world. A highlight of 2022’s G2S3 was the “Student’s Day.” After a brief introduction on presentation skills, students split into groups and prepared short presentations based on previously-covered material from the school. Each group then delivered their presentations and received feedback from the four G2S3 lecturers and their fellow participants. To further enhance the students’ involvement, several poster sessions allowed them to share and discuss their own research with one another.

The 2022 G2S3 organizers placed a special emphasis on preparation for professional careers in the finance and financial technology sectors. One evening, market practitioner Marco Bianchetti (Intesa Sanpaolo) visited the group and offered personal insights, skills, and tips on how to effectively prepare for a career in industry. His talk was followed by a question-and-answer session about academic careers, during which assistant professors and senior postdoctoral researchers shared their stories.

To foster group spirit and take advantage of L’Aquila’s beautiful mountains, the summer school organizers coordinated a wonderful excursion to Santo Stefano di Sessanio that involved a short hike to the Castle of Rocca Calascio, with lunch and a guided tour for all students. The 12-day program offered numerous other opportunities to taste delicious Italian food and experience Italian art and culture as well.

The latest rendition of G2S3 was a great success thanks to support and engagement from multiple parties. In particular, we wish to acknowledge SIAM for its generous financial support, the Gran Sasso Science Institute for its organization and hospitality, and Stephan Sturm (Worcester Polytechnic Institute) and Katharina Oberpriller (University of Freiburg) for assisting the participants with an incredible level of devotion throughout the program’s entire duration. These contributors collectively made it possible for us to organize a first-class event with intellectual activities and valuable social interactions. We highly recommend that other SIAM Activity Groups organize summer schools in the future, as such programs successfully train and guide the next generation of applied mathematicians who are preparing to embark on their professional careers.

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The 2023 Gene Golub SIAM Summer School on Quantum Computing and Optimization will take place at Lehigh University in Bethlehem, Pa., from July 30 to August 11, 2023. Applications are currently being accepted; the deadline to apply for the 2023 program is February 15th. Please reach out to [email protected] with any questions.

Interested in organizing a future school? Letters of intent that propose topics and organizers for the 2024 iteration of G2S3 are due to Richard Moore, SIAM’s Director of Programs and Services, at [email protected] by January 31, 2023. Visit the G2S3 website to learn more.

Agostino Capponi, Francesca Biagini, Sebastian Jaimungal, and Stephan Sturm were the organizers of the 2022 iteration of G2S3. Agostino Capponi is an associate professor in the Department of Industrial Engineering and Operations Research at Columbia University, where he is also the founding director of the Center for Digital Finance and Technologies. He served as chair of the SIAM Activity Group on Financial Mathematics and Engineering (SIAG/FME) from 2019 to 2021. Francesca Biagini is a full professor at the University of Munich, where she is also Vice President for International Affairs and Diversity. She served as the secretary of SIAG/FME from 2017 to 2019. Sebastian Jaimungal is a full professor of mathematical finance at the University of Toronto and a fellow of the Fields Institute for Research in Mathematical Sciences. He has served SIAG/FME in various roles, most recently as its chair from 2017 to 2019. Stephan Sturm is an associate professor of applied mathematics at Worcester Polytechnic Institute who specializes in the field of financial mathematics and engineering. He served as the secretary of SIAG/FME from 2020 to 2022.