8th Western Conference on Mathematical Finance

University Of Washington, Seattle WA

Investigators

Abstract

This grant provides travel and lodging support for participants of the Eighth Western Conference on Mathematical Finance, to be held at the University of Washington's Seattle campus on March 24-25, 2017. The conference has two main objectives. First, by bringing together researchers who work in the areas of financial mathematics and insurance, the conference promotes an exchange of ideas and facilitates new collaborations on topics of recent importance to the global financial system, including systemic risk, security of the financial system, sustainability of pension funding, and broader impact of financial securities. Second, by reserving half of the speaking slots and the majority of financial support for junior researchers and underrepresented minorities, the conference helps develop a generation of investigators to form the future core of the financial workforce in academia, government, and industry. The two-day conference has 18 speakers (six senior tenured faculty, six junior non-tenured faculty, six graduate students) and includes ample time for dissemination and discussion of new findings among conference participants, as well as a panel discussion to address open problems facing the financial community. The conference provides an opportunity for junior financial mathematicians to confer with eminent scholars in the field. The conference website is: http://depts.washington.edu/amath/wcmf/ With the recent financial crises and the continuous introduction of new regulations designed to safeguard the financial system, the landscape of financial markets is changing quickly. These changes have opened up entirely new directions for research within the mathematical finance community. It is the goal of the Eighth Western Conference on Mathematical Finance to highlight research in these newly developing areas. In particular, a special emphasis is given to asymptotics for parabolic partial differential equations, robust hedging, and stochastic portfolio theory. Cutting-edge developments in asymptotics are required in order to solve challenging nonlinear partial differential equations in various financial applications with market frictions such as trading constraints, transactions costs, and asymmetric borrowing and lending rates. Robust hedging methods are needed in order for market participants to mitigate risk effectively in the face of model uncertainty. New results from stochastic portfolio theory can shed light on market structure and long-term investment choices.