Methods of Mathematical Finance

Carnegie Mellon University, Pittsburgh PA

Investigators

Abstract

Larsen DMS-1523424 This award supports travel and lodging for participants to attend the conference Methods of Mathematical Finance, held June 1-5 2015 at Carnegie Mellon University. The objective of the conference is to bring together researchers from probability, stochastic analysis, control theory, finance, and economics to address current topics of importance within mathematical finance. Additionally, executives from the banking industry are present to elucidate those mathematical problems currently of most importance to industry practitioners. Crucially, the meeting aims at bringing together mathematicians at all stages of their careers, including junior researchers and graduate students. In addition to plenary talks and poster sessions, the meeting also contains a panel discussion about the state and future directions of US-based Masters programs related to mathematical finance. These programs are central to the training of personnel expert in finance for universities, government, and the finance industry. The conference web site is: http://www.math.cmu.edu/CCF/CCFevents/shreve/index.html This conference on Mathematical Methods in Finance emphasizes important current topics in mathematical finance, including equilibrium theory in financial markets, optimal investment in incomplete markets, backward stochastic differential equations, queuing theory, pricing and hedging under model uncertainty and frictions, and stability theory for pricing and investment problems. It features twenty-two plenary talks by senior researchers and a poster session open to contributions by junior researchers. It also includes a panel discussion about the state and future directions of US-based Masters programs related to mathematical finance. These programs are vital for universities, government, and the finance industry. The conference enables interactions between junior and senior researchers, and provides an excellent opportunity for junior mathematicians within the US to confer with experts from around the world.