Obiettivo For the past twenty years, Mathematical Finance has grown from the perfect fit between martingale methods and models of frictionless markets. But in last two years, the limits of this theory have become painfully clear, with the widespread failure of the valuation and risk control systems in the financial industry.This proposal lays the groundwork for a new generation of models, which include nonlinear frictions such as transaction costs and liquidity as essential elements, not as extra features. This endeavor entails developing new notions of nonlinear stochastic integrals, and requires a theory that looks beyond the established setting of semimartingales. To become useful, this theory will need tools to solve related optimization problems, either explicitly, or with asymptotic methods. Convex duality and control theory will help develop such tools, together with partial differential equations techniques.The proposed research aims at (i) understanding the natural setting of frictions models from well-posedness principles, (ii) developing a consistent integration theory, and (iii) investigating implications for optimization problems. These steps are central to nurture a new class of financial models, which can eventually remedy the pitfalls of the current ones. Campo scientifico social scienceseconomics and businesseconomicseconometricsnatural sciencesmathematicspure mathematicsmathematical analysisdifferential equationspartial differential equations Programma(i) FP7-IDEAS-ERC - Specific programme: "Ideas" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013) Argomento(i) ERC-SG-PE1 - ERC Starting Grant - Mathematical foundations Invito a presentare proposte ERC-2011-StG_20101014 Vedi altri progetti per questo bando Meccanismo di finanziamento ERC-SG - ERC Starting Grant Istituzione ospitante DUBLIN CITY UNIVERSITY Contributo UE € 1 100 000,00 Indirizzo Glasnevin 9 Dublin Irlanda Mostra sulla mappa Regione Ireland Eastern and Midland Dublin Tipo di attività Higher or Secondary Education Establishments Ricercatore principale Paolo Guasoni (Prof.) Contatto amministrativo Fiona Brennan (Ms.) Collegamenti Contatta l’organizzazione Opens in new window Sito web Opens in new window Costo totale Nessun dato Beneficiari (1) Classifica in ordine alfabetico Classifica per Contributo UE Espandi tutto Riduci tutto DUBLIN CITY UNIVERSITY Irlanda Contributo UE € 1 100 000,00 Indirizzo Glasnevin 9 Dublin Mostra sulla mappa Regione Ireland Eastern and Midland Dublin Tipo di attività Higher or Secondary Education Establishments Ricercatore principale Paolo Guasoni (Prof.) Contatto amministrativo Fiona Brennan (Ms.) Collegamenti Contatta l’organizzazione Opens in new window Sito web Opens in new window Costo totale Nessun dato