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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