Workshop on current challenges in financial mathematics and economics
Monday 24 August 2015 to Friday 28 August 2015 (London)
A week-long series of workshops
***REGISTRATION IS NOW OPEN***
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The recent and on-going financial crisis motivates a scrutinised study in the field of Financial Mathematics. In order to obtain better models, imperfections and complexity of real financial markets must be taken into account. Rather than assuming that arbitrary quantities of assets can be traded without impacting the market, liquidity risk needs to be carefully analysed.
Facing imperfections, good models must be robust, placing less emphasis on particular model assumptions which tend to be unrealistic in practical applications. A better understanding of such issues is of strategic importance to maintain a healthy financial system, and is currently attracting considerable interest from researchers, industry practitioners, as well as regulators.
Any model of liquidity risk will be incomplete without a detailed analysis of the dynamics of supply and demand and the causes of their imbalance. In particular it is important to understand how this imbalance evolve in time in an equilibrium framework where strategic agents trade to maximise their utility. In order to analyse interacting, possibly heterogeneous, agents, one often needs a diverse set of tools from filtering theory, multi-dimensional backward stochastic differential equations and mean-field games.
Recent years have also witnessed substantial developments in path-wise stochastic analysis and martingale transport theory. These results have found applications in obtaining robust financial models for derivative pricing. The aim of this workshop is to bring together researchers to discuss the latest developments in three aforementioned themes: liquidity, mean field games, and robust finance.
Speakers include Pierre Collin-Dufresne
(EPFL); Alexander Cox
(University of Bath); François Delarue
(Université Nice-Sophia Antipolis); Markus Fischer
(University of Padua); Ying Hu
(Université de Rennes 1); Dmitry Kramkov
(Carnegie Mellon University); Martin Larsson
(ETH Zürich): Mathieu Rosenbaum
(Université Pierre et Marie Curie - Paris VI)
Please send any questions to Ian Marshall