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Novel Methods in Computational Finance

Obiettivo

"In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed a tremendous growth. Advanced numerical techniques are imperative for the most present-day applications in financial industry.
The motivation for this training network is the need for a network of highly educated European scientists in the field of financial mathematics and computational science, so as to exchange and discuss current insights and ideas, and to lay groundwork for future collaborations.
Besides a series of internationally recognized researchers from academics, leading quantitative analysts from the financial industry also participate in this network. The challenge lies in the necessity of combining complementary techniques and skills such as mathematical analysis, sophisticated numerical methods and stochastic simulation methods with deep qualitative and quantitative understanding of mathematical models arising from financial markets.
The main training objective is to prepare, at the highest possible level, young researchers with a broad scope of scientific knowledge and to teach transferable skills, like social awareness which is very important in view of the recent financial crises.
The current topic in this network is that the financial crisis in the European countries is a contagion and herding effect and is clearly outside of the domain of validity of Black-Scholes and Merton's theory, since the market is not Gaussian and it is not frictionless and complete.
In this research training network our aim is to deeper understand complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This aim will be accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models."

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FP7-PEOPLE-2012-ITN
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Coordinatore

BERGISCHE UNIVERSITAET WUPPERTAL
Indirizzo
Gauss-strasse 20
42119 Wuppertal
Germania
Tipo di attività
Higher or Secondary Education Establishments
Contributo UE
€ 911 609,80
Contatto amministrativo
Ulrike Hartig (Mrs.)

Partecipanti (10)

UNIVERZITA KOMENSKEHO V BRATISLAVE
Slovacchia
Contributo UE
€ 284 944
Indirizzo
Safarikovo Nam 6
81499 Bratislava 1
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
Winczerova Angelika (Mrs.)
UNIVERSITAT POLITECNICA DE VALENCIA
Spagna
Contributo UE
€ 326 473,50
Indirizzo
Camino De Vera Sn Edificio 3A
46022 Valencia
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
José Antonio Pérez García (Mr.)
UNIVERSITY OF RUSE ANGEL KANCHEV
Bulgaria
Contributo UE
€ 173 210,62
Indirizzo
Studentska Street 8
7017 Ruse
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
Lubin G. Vulkov (Prof.)
INSTITUTO SUPERIOR DE ECONOMIA E GESTAO - ISEG
Portogallo
Contributo UE
€ 208 681
Indirizzo
Rua Do Quelhas 6
1200-781 Lisboa
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
Helena Lima (Mrs.)
HOCHSCHULE ZITTAU/GOERLITZ
Germania
Contributo UE
€ 224 268,88
Indirizzo
Theodor-koerner-allee 16
02763 Zittau
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
Lothar Kahnt (Dr.)
TECHNISCHE UNIVERSITAET WIEN
Austria
Contributo UE
€ 242 401,72
Indirizzo
Karlsplatz 13
1040 Wien
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
Manuela Khaladj (Ms.)
TECHNISCHE UNIVERSITEIT DELFT
Paesi Bassi
Contributo UE
€ 341 489,84
Indirizzo
Stevinweg 1
2628 CN Delft
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
Meijer Nils (Mr.)
UNIVERSITY OF GREENWICH
United Kingdom
Contributo UE
€ 412 582,72
Indirizzo
Park Row Greenwich Old Royal Naval College
SE10 9LS London
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
Alison Alison Yakub (Mrs.)
JULIUS-MAXIMILIANS-UNIVERSITAT WURZBURG
Germania
Contributo UE
€ 224 268,88
Indirizzo
Sanderring 2
97070 Wuerzburg
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
Christian Gloggengiesser (Mr.)
UNIVERSITEIT ANTWERPEN
Belgio
Contributo UE
€ 232 540
Indirizzo
Prinsstraat 13
2000 Antwerpen
Tipo di attività
Higher or Secondary Education Establishments
Contatto amministrativo
Anne Adams (Mrs.)