CONFERENCE ON MATHEMATICAL FINANCE AND PARTIAL DIFFERENTIAL EQUATIONS

  • Feehan, Paul, (PI)

Project Details

Description

Partial differential equations, probability, and analytical methods are fundamental tools in the modeling and description of financial markets. The purpose of this meeting is to showcase new methods, directions and the most recent research in partial differential equations, probability, stochastic control, numerical analysis, and their application to mathematical finance. Invited presentations by leading academic and industry researchers highlight the latest research in the application of partial differential equations to option pricing, portfolio optimization, risk management, and high-frequency trading. Their presentations focus on degenerate-elliptic and degenerate-parabolic variational equations and inequalities for stochastic volatility models in finance; free-boundary value problems; stochastic control and the Hamilton-Jacobi-Bellman equation; non-linear partial differential equations in finance; stochastic optimal control, high-frequency finance and algorithmic trading; and numerical solution of partial-integro differential equations and inequalities. The invited talks are complemented by presentations on these themes contributed by promising young researchers.The conference will help foster academic and industry research collaborations; introduce industry problems to academic researchers; introduce academic research and methods to industry practitioners; facilitate scientific networking opportunities for junior practitioners and graduate students; and foster mathematical finance and partial differential equations as a research discipline for Ph.D. students in pure and applied mathematics. We especially welcome participation by women, minorities, and other underrepresented groups, as well as students and junior researchers.
StatusFinished
Effective start/end date3/1/112/29/12

Funding

  • National Science Foundation (National Science Foundation (NSF))

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