PIMS Summer School 2016 in Financial Mathematics

DMS-1613004Fouque本项目帮助美国参与者参加2016年太平洋数学科学研究所（PIMS）金融数学暑期学校。暑期学校于2016年6月25日至7月6日在加拿大埃德蒙顿的阿尔伯塔大学举行。暑期学校的参与者学习当前金融数学前沿主题的技术。这是应用数学的一个关键领域，对于金融部门及其监管来说是不可或缺的，自2008年金融危机以来，金融部门及其监管已成为公众关注的主要问题。暑期学校教授算法交易等新主题，涉及对复杂数据集的分析。这些暑期学校的主题将金融数学直接与信息技术和数据科学联系起来，使该项目资助的美国参与者掌握美国战略重要性的科学和经济领域的最新技能和方法。暑期学校主要由顶尖研究人员讲授两个主题：“信息和不完善的金融市场”和“市场微观结构和算法交易”。在第一个主题中，讲师讨论了诸如如何修改经典套利定价以反映融资成本和交易对手风险，以及市场不完善如何导致财富动态的非线性，影响金融衍生品的定价和对冲等问题。这些问题自然与后向随机微分方程有关，这也是暑期学校学习的内容。第二个主题涉及市场微观结构中的相关主题，通过提供实用的观点来构建和分析有效的交易算法，并利用随机最优控制发展潜在的数学理论。关于暑期学校的更多信息可以在http://www.mathfinance2016.com上找到

DMS-1613004Fouque This project helps support US participants in the 2016 Pacific Institute for the Mathematical Sciences (PIMS) summer school in financial mathematics. The summer school is held at the University of Alberta in Edmonton, Canada from June 25 to July 6, 2016. Participants of the summer school learn the current techniques in cutting-edge topics of financial mathematics. This is a key area of applied mathematics and indispensable for the financial sector and its regulation, which has become a major public concern since the 2008 financial crisis. The summer school deals with novel topics such as algorithmic trading, which involves the analysis of complex data sets. Such topics of the summer school relate financial mathematics directly to information technology and data science so that US participants funded by this project are equipped with the latest skills and methods in scientific and economic areas of US strategic importance. The summer school focuses on lectures of leading researchers in two themes: "Informational and Imperfect Financial Markets" and "Market Microstructure and Algorithmic Trading." In the first theme, lecturers discuss questions such as how the classical arbitrage pricing can be modified to reflect funding costs and counterparty risk, and how market imperfections lead to nonlinearities in wealth dynamics, affecting pricing and hedging of financial derivatives. These questions are naturally related to backward stochastic differential equations, which also are studied in the summer school. The second theme deals with relevant topics in market microstructure, by both providing a practical point of view to construct and analyze effective trading algorithms and developing the underlying mathematical theory using stochastic optimal control. Further information on the summer school can be found at http://www.mathfinance2016.com