Organizers: Tom Hurd (Department of Mathematics, McMaster University), Thaleia Zariphopoulou (Mathematics, University of Texas at Austin), Philip Protter (Operations Research, Cornell University), Lane Hughston (Department of Mathematics, King's College London ).
The theme of this meeting will reflect these new developments in the foundations of mathematical finance, and the following topics are intended to constitute the main focus of the five-day workshop: a. The mathematical methods of general semimartingale modelling for finance in (i) asset pricing and hedging (ii) portfolio optimization and (iii) optimal stopping problems. b. The consistent statistical estimation and calibration of jump diffusions and purely discontinuous processes with respect to econometric data. c. Theory and implementation of Levy-based stochastic volatility models. d. New term structure models for fixed income and equity dynamics.
It is intended that on the order of twenty of the world's leading probabilists and mathematical finance theorists will be brought to the meeting, balanced with a corresponding number of highly qualified international doctoral and postdoctoral researchers. We intend to adopt a selection procedure that will allow invited senior scientists to identify promising young researchers. The meeting will be appropriately paced with focused talks by invited speakers during the mornings and early afternoons. The late afternoons will typically then be less structured to allow smaller groups to break away to focus on specialized areas of current research.
The finance industry has undergone a prolonged period of intensive mathematization, to the extent that it is now perhaps the leading industrial user of mathematics PhDs and MScs. Will this trend continue through to the next decade and beyond? This workshop will enable the world's experts both to exposite and critically examine the best new mathematical methods in finance. It will also provide a timely opportunity for assessing the future applicability of advanced mathematical methods in finance.
Programme (PDF file 189kb)