Stochastic Analysis and Mathematical Finance - A Fruitful Partnership (16w5134)
Gordan Zitkovic (The University of Texas at Austin)
Constantinos Kardaras (London School of Economics)
Walter Schachermayer (University of Vienna)
After the breakthroughs in the study of general semimartingale markets made in the 1990s, today's research takes its inspiration from even more realistic models of both financial markets and investors' objectives. One such class of models incorporates market frictions and seeks minimal conditions for the absence of arbitrage when transaction costs are present. In parallel, utility maximization (portfolio optimization) in markets with transaction costs yields some of the most interesting singular stochastic optimal control problems and presents with some of the most challenging puzzles. Another active direction of expansion is towards models with multiple interacting agents. These incorporate various equilibrium- and principal-agent-type problems, and pose interesting mathematical questions which range from fixed-point-theoretic to those related to (Forward-) Backward Stochastic Differential Equations and their systems.
We plan to bring together 42 of the world's most eminent researchers in mathematical finance in order to consolidate the field's further efforts in strengthening mathematical side and fostering further connections with a range of mathematical disciplines. A good mix of senior, experienced scientists and promising junior colleagues will be invited. Special attention will be given to the diversity of the group. We also plan to invite European and Asian mathematicians in addition to those from North America (Canada, United States and Mexico will all be represented).
The format of the workshop will call for organized presentations by some of our visitors in the mornings, with less structured afternoons reserved for small-group work and informal discussions.