Cel Since the pioneering works of Black & Scholes, Merton and Markowitch, sophisticated quantitative methods are being used to introduce more complex financial products each year. However, this exciting increase in the complexity forces the industry to engage in proper risk management practices. The recent financial crisis emanating from risky loan practices is a prime example of this acute need. This proposal focuses exactly on this general problem. We will develop mathematical techniques to measure and assess the financial risk of new instruments. In the theoretical direction, we will expand the scope of recent studies on risk measures of Artzner et-al., and the stochastic representation formulae proved by the principal investigator and his collaborators. The core research team consists of mathematicians and the finance faculty. The newly created state-of-the-art finance laboratory at the host institution will have direct access to financial data. Moreover, executive education that is performed in this unit enables the research group to have close contacts with high level executives of the financial industry. The theoretical side of the project focuses on nonlinear partial differential equations (PDE), backward stochastic differential equations (BSDE) and dynamic risk measures. Already a deep connection between BSDEs and dynamic risk measures is developed by Peng, Delbaen and collaborators. Also, the principal investigator and his collaborators developed connections to PDEs. In this project, we further investigate these connections. Chief goals of this project are theoretical results and computational techniques in the general areas of BSDEs, fully nonlinear PDEs, and the development of risk management practices that are acceptable by the industry. The composition of the research team and our expertise in quantitative methods, well position us to effectively formulate and study theoretical problems with financial impact. Dziedzina nauki natural sciencesmathematicspure mathematicsmathematical analysisdifferential equationssocial scienceseconomics and businesseconomicsmonetary and finances Słowa kluczowe backward SDEs mathematical finance parabolic PDEs risk measure stochastic optimal control viscosity solutions Program(-y) 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) Temat(-y) ERC-AG-PE1 - ERC Advanced Grant - Mathematical foundations Zaproszenie do składania wniosków ERC-2008-AdG Zobacz inne projekty w ramach tego zaproszenia System finansowania ERC-AG - ERC Advanced Grant Instytucja przyjmująca EIDGENOESSISCHE TECHNISCHE HOCHSCHULE ZUERICH Wkład UE € 880 560,00 Adres Raemistrasse 101 8092 Zuerich Szwajcaria Zobacz na mapie Region Schweiz/Suisse/Svizzera Zürich Zürich Rodzaj działalności Higher or Secondary Education Establishments Kierownik naukowy Halil Mete Soner (Prof.) Kontakt administracyjny Agatha Keller (Ms.) Linki Kontakt z organizacją Opens in new window Strona internetowa Opens in new window Koszt całkowity Brak danych Beneficjenci (2) Sortuj alfabetycznie Sortuj według wkładu UE Rozwiń wszystko Zwiń wszystko EIDGENOESSISCHE TECHNISCHE HOCHSCHULE ZUERICH Szwajcaria Wkład UE € 880 560,00 Adres Raemistrasse 101 8092 Zuerich Zobacz na mapie Region Schweiz/Suisse/Svizzera Zürich Zürich Rodzaj działalności Higher or Secondary Education Establishments Kierownik naukowy Halil Mete Soner (Prof.) Kontakt administracyjny Agatha Keller (Ms.) Linki Kontakt z organizacją Opens in new window Strona internetowa Opens in new window Koszt całkowity Brak danych SABANCI UNIVERSITESI Zakończenie uczestnictwa Turcja Wkład UE Brak danych Adres ORTA MAHALLE UNIVERSITE CADDESI N 27 TUZLA 34956 Istanbul Zobacz na mapie Region İstanbul İstanbul İstanbul Rodzaj działalności Higher or Secondary Education Establishments Kontakt administracyjny Nilay Papila (Dr.) Linki Kontakt z organizacją Opens in new window Strona internetowa Opens in new window Koszt całkowity Brak danych
