FINANCE
related projects
Selected Relevant
Publications
- "Drawdowns preceding rallies in a
Brownian motion model ", O. Hadjiliadis,
J. Vecer, Quantitative
Finance, issue 5, vol. 6, pp. 403-409 (2006) [pdf].
- "Formulas
for stopped diffusion processes with stopping times
based on drawdowns and drawups", L. Pospisil, J. Vecer and O. Hadjiliadis, Stochastic
Processes and its Applications, issue 8, vol. 119, pp.
2563-2578 (2009) [pdf].
- "Drawdowns and rallies in a
finite time horizon", H. Zhang and O. Hadjiliadis, Methodology and
Computing in Applied Probability, issue 2, vol.
12, pp. 293-308 (2010) [pdf].
- "Maximum
drawdown insurance", P. Carr, H. Zhang and O. Hadjiliadis, International
Journal in Theoretical and Applied Finance, issue 8,
vol.14, pp. 1195-1230 (2011)
[pdf].
- "Drawdowns
and the speed of a market crash", H. Zhang and O. Hadjiliadis, Methodology and
Computing in Applied Probability, Methodology and
Computing in Applied Probability, issue 3, vol.
14, pp. 739-752 (2012)
[pdf].
- "Stochastic
modeling and fair valuation of Insurance", H. Zhang,
T. Leung and O. Hadjiliadis, Insurance: Mathematics and
Economics, issue 3, vol. 53, pp. 840-850 (2013) [pdf].
- "Trends
and trades", M. Carlisle, O.
Hadjiliadis and I. Stamos, Accepted for publication in
the Handbook of high-frequency trading and modeling in
finance. Editors: F. Viens, M. C. Mariani and I.
Florescu, Publisher: John Wiley and Sons (2014).
For a list of all publications click here
Mathematical Research Council
($80,000 - $100,000)
Summer
school in Mathematical Finance
June 2015
Description
Financial Mathematics is a branch of applied mathematics based on
stochastic analysis and optimization that has gone through a period
of extensive growth over the last years. Originally concentrated in
portfolio management and derivatives pricing, the use of
sophisticated mathematical methods has grown to a wide array of
different applications in finance. This workshop will focus on three
topics of current interest in the area of financial mathematics:
high frequency trading, optimal investment under transaction costs,
and systemic risk. All of the above areas have received great
attention in recent years, and a significant number of open problems
emerged in each of these topics. The objective of our workshop is to
familiarize students with these topics and present to them some of
the open problems as well as hands-on guidance on possible
solutions. The professional development component of the workshop
will shed new lights on the various possibilities of a career in the
area of financial mathematics, both in academia and in industry.
People
Co-PIs
Maxim Bichuch,
Michael Carlisle, Birgit Rudloff, Stephan Sturm