Objective
The proposal aims to establish Jan Obloj as an active researcher in mathematical finance. He is to master the new domain, which provides ideal applied counterpart to his theoretical research experience. The Fellowship will lead to articles in world-class journals and long-term projects and collaborations.
The field of mathematical finance is a cutting edge domain of applied mathematics. It is an increasingly important multi-disciplinary field involving business, finance, banking and assurance issues, which is based on modern probability theory. Jan Obloj will join the dynamic research group in Mathematical Finance at Imperial College and participate fully in its program, including seminars and rich interactions with industrial partners.
He will work together with Professor Mark Davis on hedging problems in incomplete markets driven by CGMY model. This elegant model which addresses fundamental flaws of classical Black-Scholes models is becoming an active and important research topic. However, only pricing under CGMY has been properly understood. Understanding hedging strategies will make the model usable and attractive for practitioners.
Analysis of CGMY involves Levy processes and time-changing, subordination and embedding techniques all of which Jan Obloj has mastered during his Ph.D. studies. Combined with Mark Davis world-class experience in valuation and hedging strategies in incomplete markets gives a unique opportunity for success of the project.
In the second year of Fellowship Jan Obloj is also expected to develop new projects and wider collaborations. With the proposed training, basing on his extensive research experience, he will acquire new knowledge and skills and become an active researcher in rapidly growing field of mathematical finance.
In consequence, he will gain fascinating research domain for years to come and scientific contacts and experience allowing to participate actively in the Research Community as a mature and independent scholar.
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
- natural sciences mathematics applied mathematics statistics and probability
- natural sciences mathematics pure mathematics mathematical analysis differential equations partial differential equations
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Keywords
Project’s keywords as indicated by the project coordinator. Not to be confused with the EuroSciVoc taxonomy (Fields of science)
Project’s keywords as indicated by the project coordinator. Not to be confused with the EuroSciVoc taxonomy (Fields of science)
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.
FP6-2005-MOBILITY-5
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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.
Coordinator
LONDON
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.