Second Cornell Conference on Mathematical Finance

数学金融学不仅与资产定价、信用风险和利率期限结构（例如）相关，而且还为数学家提供了一种看待概率研究的新方法，因为需要回答的问题类型不再受物理或电气工程等学科的驱动。在第一届康奈尔金融研讨会的基础上，第二届研讨会将再次汇集来自东北地区和其他地区的主要研究人员，以研讨会的形式交换意见。基本主题将是资产定价和套期保值，基于粘度解的控制理论，信用风险，利率，数值方法和使用现代统计技术的数据分析。在过去的30年里，金融的基础研究帮助改变了商业世界，并且可以说是财富爆炸式增长的原因之一。关键思想是风险转移：现代金融工具允许一方将风险敞口的某一方面出售给另一方，并以公平的价格出售。通常，风险的买方对冲风险的方法（对冲策略）也可以用数学公式来提供。然而，一个问题是，尽管这些模型带来了巨大的进步，但它们往往仍然是对现实的粗略近似，而且大多数进步都来自于股市等市场上金融衍生品的创造。目前人们感兴趣的是开发可用于其他市场（如信用风险）的类似工具。例如，由于市场对两家公司不偿还债券的风险评估不同，两家公司发行类似债券的价格可能不同。如何用数学方法对这种风险进行建模，目前还没有得到很好的理解，也是大量研究工作的主题。本次会议将汇集顶尖学者、年轻研究人员和高级研究生，进行学术交流，包括正式的研究进展报告和特殊研究课题的私下讨论。它将在康奈尔大学举行，康奈尔大学是美国领先的高等学府之一。

Mathematical Finance not only has relevance to asset pricing, credit risk, and the term structure of interest rates (for example), but also presents to mathematicians a new way of looking at research in probability, since the types of questions that need to be answered are no longer motivated by physics or subjects such as electrical engineering. Building on the foundation of the First Cornell Seminar in Finance, the Second will again bring together leading researchers from the Northeast and selected points beyond for an exchange of ideas in seminar format. The basic themes will be asset pricing and hedging, viscosity solution based control theory, credit risk, interest rates, and numerical methods and data analysis using modern statistical techniques.Fundamental research in finance has helped to change the world of commerce during the last 30 years, and has arguably contributed to the explosive growth in wealth. The key idea is the transfer of risk: modern financial tools allow one party to sell an aspect of a risky exposure to another party, and to do so at a fair price. Often a way for the buyer of the risk to hedge against the risk (a hedging strategy) can also be provided in terms of mathematical formulae. A problem is, however, that while the models have led to huge advances, they are still often crude approximations of reality, and also most of the advances have come from the creation of financial derivatives in markets such as the stock market. Of current interest is the development of analogous tools one could use in other markets, such as credit risk. For example, two companies issuing similar bonds may command different prices due to the markets' differing assessments of their risk of not repaying the bonds. How to model this risk mathematically is as yet poorly understood, and the subject of intense research efforts. This conference will bring together leading scholars, young researchers, and advanced graduate students for an intellectual exchange involving both formal presentations of research advances and also private discussions of special research topics. It will be held at Cornell University, one of the nation's leading institutions of higher learning.