Stochastic Analysis and Mathematical Finance - A Fruitful Partnership (16w5134)

Arriving in Oaxaca, Mexico Sunday, May 22 and departing Friday May 27, 2016

Organizers

(The University of Texas at Austin)

(London School of Economics)

(University of Vienna)

Objectives

The workshop will focus on new developments in mathematical finance with a special focus on its interaction with stochastic analysis, optimal stochastic control and their applications. A wide spectrum of topics, including foundational ones (like arbitrage theory and portfolio optimization) as well as ones inspired by financial questions, but with potentiality of application in a multitude of other research areas (rough paths, Skorokhod embeddings, martingale optimal transport, stochastic partial differential equations e.g.).

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.