PIMS Summer School 2016 in Financial Mathematics

University Of California-Santa Barbara, Santa Barbara CA

Investigators

Abstract

DMS-1613004 Fouque 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