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

研究人员于2014年9月25日至27日在加州大学圣巴巴拉分校组织了随机渐近学会议。会议重点讨论随机渐近的新发展，特别是在数学金融中的应用。会议特别强调的是概率和应用数学在持续的监管风险创新中的新应用，以及对全球金融体系系统性风险的研究。为了突出这些联系，会议还与第六届西方数学金融会议（WCMF）联合举办。WCMF系列促进了美国西部在金融数学、保险和统计领域工作的研究人员社区。WCMF的一项主要任务是帮助培训年轻教师，并促进下一代科学家的职业发展。本次会议有12个资深研究人员的全体会议和10个受邀的初级参与者的演讲，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。会议的目的是讨论随机摄动方法的前沿话题，随机摄动方法已经成为概率论、应用数学、运筹学和材料科学等广泛领域的有力工具。讨论的应用包括随机介质中的波动分析、大偏差和罕见事件计算、相互作用代理系统、大规模随机博弈和多尺度随机过程。特别关注扰动技术在金融数学中的新应用，如短期金融衍生品（如期权或信用违约掉期）的定价，研究银行间资产流动和信贷关系中的系统性风险，以及研究资产动态的多尺度模型（如随机波动或高频交易中的市场微观结构）。所有这些领域在过去几年中都经历了非常迅速的发展，为该领域的研究开辟了全新的方向。会议汇集了一个国际和多学科的专家小组，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