AMC-SS: Mathematical Finance and Partial Differential Equations Conference - November 2, 2012

AMC-SS：数学金融和偏微分方程会议 - 2012 年 11 月 2 日

• 批准号: 1237722
• 负责人: Paul Feehan
• 金额: $ 2.5万
• 依托单位: Rutgers University New Brunswick
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2012
• 资助国家: 美国
• 起止时间: 2012-09-01 至 2015-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1237722&HistoricalAwards=false
• 关键词: AMC; SS; Mathematical; Finance; Partial

FeehanDMS-1237722 The investigator and his colleagues organize the "Mathematical Finance and Partial Differential Equations Conference" November 2, 2012, at Rutgers University. Methods of linear and nonlinear partial differential equations to solve fundamental problems in mathematical finance provide the common theme that underlies presentations by the invited and contributing conference speakers. Almgren and Guo address applications of the Hamilton-Jacobi-Bellman equation and stochastic control to efficient management of order books and trading. Research of Levendorskii and Nistor concerns advanced methods for numerical solution of partial differential equations arising in American-style option pricing problems. Hobson considers robust methods for pricing complex options. Keller-Ressel describes affine stochastic volatility models and their generalizations while Pop explores extensions of Gyongy's theorem to the case of degenerate Ito processes with unbounded coefficients. Mazzeo considers degenerate diffusion processes and associated partial differential equations in mathematical biology. Protter discusses applications of probability theory to bubbles in finance. Zitkovic describes his work on portfolio theory and incomplete markets. The purpose of this conference is to develop academic and industry research collaborations based on the themes discussed by the speakers. Conference participants come from both the academic mathematical research community and the financial engineering industry. Interactions among the participants encourage cross-fertilization of ideas and transfer of knowledge and lead to identification of future research problems for academic researchers and of possible methods to solve them. The participation of representatives from the financial engineering industry ensures that practical problems in derivative security pricing, risk management, and trading are introduced to academic researchers with relevant expertise in applied mathematics. The industry applications include improved methods to control model risk, better understand the origins of financial bubbles, and improve asset and portfolio management for individuals and pension funds. The participation of academic researchers ensures that the latest academic research and methods are described to practitioners in financial engineering. Presentations by researchers from both academia and industry foster mathematical finance and partial differential equations as a research discipline for Ph.D. students in pure and applied mathematics. Conference materials are posted on the web at http://www.finmath.rutgers.edu/mfpde2012/.

FeehanDMS-1237722 研究人员和他的同事组织了“数学金融和偏微分方程会议”2012年11月2日，在罗格斯大学。 线性和非线性偏微分方程的方法来解决数学金融的基本问题提供了共同的主题，由邀请和贡献的会议发言人的演讲。 Almgren和Guo将Hamilton-Jacobi-Bellman方程和随机控制应用于订单簿和交易的有效管理。 Levendorskii和Nistor的研究涉及美式期权定价问题中偏微分方程数值解的高级方法。 霍布森考虑了复杂期权定价的稳健方法。 Keller-Ressel描述了仿射随机波动率模型及其推广，而Pop则探索了Gyongy定理对具有无界系数的退化伊藤过程的扩展。 Mazzeo认为退化扩散过程和相关的偏微分方程在数学生物学。 Protter讨论了概率论在金融泡沫中的应用。 Zitkovic描述了他在投资组合理论和不完全市场方面的工作。 本次会议的目的是根据演讲者讨论的主题开展学术和行业研究合作。 与会者来自学术数学研究界和金融工程行业。 与会者之间的互动鼓励思想的交流和知识的转让，并导致学术研究人员确定未来的研究问题和解决这些问题的可能方法。 来自金融工程行业的代表的参与确保了衍生证券定价，风险管理和交易中的实际问题被介绍给具有应用数学相关专业知识的学术研究人员。 行业应用包括控制模型风险的改进方法，更好地了解金融泡沫的起源，以及改善个人和养老基金的资产和投资组合管理。 学术研究人员的参与确保了最新的学术研究和方法被描述给金融工程的从业者。 来自学术界和工业界的研究人员的演讲促进了数学金融和偏微分方程作为博士研究学科的发展。学生在纯数学和应用数学。 会议材料张贴在http://www.finmath.rutgers.edu/mfpde2012/网站上。