Second Cornell Conference on Mathematical Finance

第二届康奈尔数学金融会议

• 批准号: 0505420
• 负责人: Philip Protter
• 金额: --
• 依托单位: Cornell University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2005
• 资助国家: 美国
• 起止时间: 2005-09-01 至 2007-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0505420&HistoricalAwards=false
• 关键词: Second; Cornell; Conference; Mathematical; Finance

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.

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是物理学或电气工程等学科。 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部的主要研究人员，并以研讨会的形式交流思想。 基本主题将是资产定价和对冲，基于粘度解决方案的控制理论，信用风险，利率，以及使用现代统计技术的数值方法和数据分析。金融基础研究在过去30年中帮助改变了商业世界，并可以说有助于财富的爆炸性增长。 其核心思想是风险转移：现代金融工具允许一方以公平的价格向另一方出售风险敞口的一个方面。通常，也可以用数学公式为风险购买者提供一种对冲风险的方法（对冲策略）。 然而，一个问题是，虽然模型带来了巨大的进步，但它们仍然往往是对现实的粗略近似，而且大多数进步都来自于股票市场等市场上金融衍生品的创造。 目前的兴趣是开发类似的工具，可以用于其他市场，如信用风险。 例如，两家发行类似债券的公司可能会因为市场对它们不偿还债券的风险评估不同而要求不同的价格。 如何对这种风险进行数学建模，人们还知之甚少，这是一个深入研究的课题。 本次会议将汇集领先的学者，年轻的研究人员和先进的研究生进行智力交流，包括研究进展的正式介绍和特殊研究课题的私人讨论。 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。