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

LudkovskiDNS-1413574 研究人员于2014年9月25日至27日在圣巴巴拉的加州大学组织了随机渐近会议。 会议的重点是随机渐近的新发展，特别是在数学金融应用的动机。 会议的一个特别重点是概率和应用数学在正在进行的监管风险创新中的新应用，以及全球金融体系中的系统性风险研究。 为了突出这些联系，会议还与第六届西方数学金融会议（WCMF）联合举行。 WCMF系列促进了来自美国西部的研究人员社区，他们在金融数学，保险和统计领域工作。 WCMF的一个关键使命是帮助年轻教师的培训和刺激下一代科学家的职业生涯。 会议包括12个高级研究人员的全体会议和10个受邀初级参与者的演讲，共聚集了60名研究人员和研究生。 会议鼓励和支持学生，早期职业研究人员和代表性不足的群体成员的参与。 会议的目标是解决随机扰动方法的前沿课题，这些方法已成为概率，应用数学，运筹学和材料科学等广泛领域的强大工具。 讨论的应用包括随机介质中的波分析，大偏差和罕见事件计算，相互作用的代理系统，大规模随机游戏和多尺度随机过程。 一个特别的重点放在扰动技术在金融数学的新应用，如定价短期金融衍生品（如期权或信用违约掉期），在研究银行间资产流动和信用关系的系统性风险，并调查多尺度模型的资产动态（如随机波动率或市场微观结构在高频交易）。 所有这些领域在过去几年都经历了非常迅速的发展，开辟了该领域研究的全新方向。 该会议汇集了一个国际和多学科的专家组，以鼓励新的互动，并吸引新的研究人员到这些主题。 会议网址：http://www.pstat.ucsb.edu/sa-wcmf6

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