Conference on Stochastic Control with Partial Observations and Financial Models of Incomplete Markets

部分观察随机控制和不完全市场金融模型会议

• 批准号: 9813557
• 负责人: Richard Stockbridge
• 金额: $ 0.38万
• 依托单位: University of Kentucky Research Foundation
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1998
• 资助国家: 美国
• 起止时间: 1998-09-01 至 1999-02-28
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9813557&HistoricalAwards=false
• 关键词: Conference; Stochastic; Control; Partial; Observations

DMS-9813557Conference on Stochastic Control with Partial Observations andFinancial Models of Incomplete MarketsOrganizers: Kurt Helmes, Richard H. Stockbridge University of KentuckyAbstractIn recent years the importance of stochastic analysis and stochasticcontrol theory in financial applications has become apparent. The bestknown example is the Black-Scholes option pricing formula which hasspawned a $15 trillion industry in options trading. The significanceof this connection is demonstrated by the work of the 1997 recipientsof the Nobel Prize in Economics, Professors Robert Merton and MyronScholes. One of the crucial assumptions which underlies the theory ofBlack, Merton, and Scholes is that full information is available aboutthe markets. Markets for which this is true are known as completemarkets. Current research concentrates on incomplete markets.Incompleteness of the markets corresponds to partial observations instochastic control theory. Recent advances in the theory and numericalapproaches for these type of problems make it desirable to bringtogether leading specialists from academia and research groups offinancial institutions. This is even more imperative since very oftenin the past efforts within academia have been expended on findinghighly technical answers to the wrong questions. This conference willinclude practitioners who are well-acquainted with the sophisticatedmathematics used in mathematical finance to present to the academiciansthe real issues and problems of interest to the financial industry.

DMS-9813557部分观测随机控制与不完全市场金融模型会议组织者：Kurt Helmes，Richard H.斯托克布里奇 摘要近年来，随机分析和随机控制理论在金融应用中的重要性日益明显. 最著名的例子是布莱克-斯科尔斯期权定价公式，它催生了价值15万亿美元的期权交易行业。 1997年诺贝尔经济学奖获得者罗伯特·默顿教授和迈伦·斯科尔斯教授的工作证明了这种联系的重要性。 布莱克、默顿和斯科尔斯理论的一个关键假设是，市场上的信息是充分的。 这种情况下的市场被称为完全市场。 目前的研究主要集中在不完全市场上，市场的不完全性对应于随机控制理论中的部分观测。 针对此类问题的理论和数值方法的最新进展使得将学术界和金融机构研究小组的顶尖专家聚集在一起变得非常有必要。 这一点甚至更为迫切，因为在过去，学术界的努力常常花费在为错误的问题寻找技术性的答案上。 这次会议将包括从业者谁是非常熟悉的数学金融中使用的数学介绍给学者的真实的问题和金融业感兴趣的问题。