Conference on Stochastic Asymptotics and Applications, September 25-27, 2014

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LudkovskiDNS-1413574 The investigators organize the Conference on Stochastic Asymptotics at University of California, Santa Barbara during September 25-27, 2014. The Conference focuses on new developments in stochastic asymptotics, especially motivated by applications in mathematical finance. A special emphasis of the meeting is on novel applications of probability and applied mathematics for ongoing regulatory-risk innovations, and study of systemic risk in the global financial system. To highlight these connections, the meeting is also joint with the 6th Western Conference on Mathematical Finance (WCMF). The WCMF series promotes the community of researchers from Western U.S. who work in the areas of financial mathematics, insurance, and statistics. A key mission of WCMF is to help in the training of young faculty and stimulate the careers of the next generation of scientists. The conference features 12 plenary talks by senior researchers and 10 presentations by invited junior participants, gathering a total of sixty researchers and graduate students. The meeting encourages and supports participation by students, early-career researchers, and members of under-represented groups. The objective of the Conference is to address cutting-edge topics in stochastic perturbation methods, which have emerged as a powerful tool in wide ranging areas of probability, applied mathematics, operations research, and materials science. The applications that are discussed include analysis of waves in random media, large deviations and rare event computation, systems of interacting agents, large-scale stochastic games, and multi-scale stochastic processes. A special focus is placed on novel applications of perturbation techniques within financial mathematics, such as pricing short-maturity financial derivatives (e.g. options or credit default swaps), in studying systemic risk in the inter-bank asset flows and credit relationships, and for investigating multi-scale models of asset dynamics (such as stochastic volatility or market microstructure in high-frequency trading). All of these areas have experienced very rapid developments in the past several years, opening up entire new directions of research in the field. The conference assembles an international and multi-disciplinary group of experts to encourage new interactions and draw new researchers to these topics. Conference web site: http://www.pstat.ucsb.edu/sa-wcmf6