Workshop on Probability, Control and Finance

Columbia University, New York NY

Investigators

Abstract

This award supports the Conference on Probability, Control and Finance, to be held at Columbia University in the City of New York, 04-08 June 2012, with website http://www.math.columbia.edu/department/procofin/. The aim of the conference is to analyze, using mathematical models, interactions between numerous financial market participants, and the consequences of such interactions. It will deal with issues impacting the market as a whole, rather than focusing only on the behavior of a single market participant. The objective is to bring together domestic and international researchers working in the areas of probability, financial mathematics and economics, control and estimation of stochastic optimization processes, as well as stochastic analysis. As a consequence of the crisis of 2007/2008, new regulatory changes are facing financial markets and it is important to maintain and improve the training and support available to young researchers who may play an important role in implementing, in the future, those changes related to mathematical modeling of the markets. By mixing researchers with different skills and perspectives, including those from under-represented groups, the conference aims to foster enriching interactions between people who would rarely interact otherwise. Even though the field of Financial Mathematics has attracted many graduate students in the last decade, many of them have looked for careers in industry; this conference may help attract top students to careers in academia or regulatory agencies, and increase the pool of US researchers in the field.