Objective
"The last forty years have seen a remarkable interplay between Mathematics and contemporary Finance. At the heart of the successful growth of Mathematical Finance was a perfect fit between its dominant model--specific framework and the tools of stochastic analysis. However, this approach has always had important limitations, and the dangers of overreach have been illustrated by the dramatic events of the recent financial crisis.
I set out to create a coherent mathematical framework for valuation, hedging and risk management, which starts with the market information and not an a priori probabilistic setup. The main objectives are: (i) to incorporate both historical data and current option prices as inputs of the proposed robust framework, and (ii) to establish pricing-hedging duality, define the concept of no-arbitrage and prove a Fundamental Theorem of Asset Pricing, all in a constrained setting where the market information, and not a probability space, is fixed from the outset. Further, I will test the performance of robust valuation and hedging methods.
The project proposes a genuine change of paradigm. It requires building novel mathematical tools combining pathwise stochastic calculus, embedding problems, martingale optimal transport, variation inequalities as well as numerical methods.
Significant research efforts have focused on introducing and investigating a form of model uncertainty in Financial Mathematics. This project makes an important next step. Motivated by recent contributions, it builds a framework which consistently combines model ambiguity with a comprehensive use of market information. Further, it has built-in flexibility to interpolate between the model-specific and model-independent settings. It offers a new theoretical foundation opening horizons for future research. Moreover, it provides novel tools which could be applied by the financial industry."
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
- social sciences economics and business economics econometrics
- social sciences economics and business economics macroeconomics
- social sciences sociology governance crisis management
- natural sciences mathematics applied mathematics numerical analysis
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
ERC-2013-StG
See other projects for this call
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Host institution
OX1 2JD Oxford
United Kingdom
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.