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Novel Methods in Computational Finance

Objective

"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."

Call for proposal

FP7-PEOPLE-2012-ITN
See other projects for this call

Coordinator

BERGISCHE UNIVERSITAET WUPPERTAL
Address
Gauss-strasse 20
42119 Wuppertal
Germany
Activity type
Higher or Secondary Education Establishments
EU contribution
€ 911 609,80
Administrative Contact
Ulrike Hartig (Mrs.)

Participants (10)

UNIVERZITA KOMENSKEHO V BRATISLAVE
Slovakia
EU contribution
€ 284 944
Address
Safarikovo Nam 6
814 99 Bratislava
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Winczerova Angelika (Mrs.)
UNIVERSITAT POLITECNICA DE VALENCIA
Spain
EU contribution
€ 326 473,50
Address
Camino De Vera Sn Edificio 3A
46022 Valencia
Activity type
Higher or Secondary Education Establishments
Administrative Contact
José Antonio Pérez García (Mr.)
UNIVERSITY OF RUSE ANGEL KANCHEV
Bulgaria
EU contribution
€ 173 210,62
Address
Studentska Street 8
7017 Ruse
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Lubin G. Vulkov (Prof.)
INSTITUTO SUPERIOR DE ECONOMIA E GESTAO - ISEG
Portugal
EU contribution
€ 208 681
Address
Rua Do Quelhas 6
1200-781 Lisboa
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Helena Lima (Mrs.)
HOCHSCHULE ZITTAU/GOERLITZ
Germany
EU contribution
€ 224 268,88
Address
Theodor-koerner-allee 16
02763 Zittau
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Lothar Kahnt (Dr.)
TECHNISCHE UNIVERSITAET WIEN
Austria
EU contribution
€ 242 401,72
Address
Karlsplatz 13
1040 Wien
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Manuela Khaladj (Ms.)
TECHNISCHE UNIVERSITEIT DELFT
Netherlands
EU contribution
€ 341 489,84
Address
Stevinweg 1
2628 CN Delft
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Meijer Nils (Mr.)
UNIVERSITY OF GREENWICH
United Kingdom
EU contribution
€ 412 582,72
Address
Park Row Greenwich Old Royal Naval College
SE10 9LS London
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Alison Alison Yakub (Mrs.)
JULIUS-MAXIMILIANS-UNIVERSITAT WURZBURG
Germany
EU contribution
€ 224 268,88
Address
Sanderring 2
97070 Wuerzburg
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Christian Gloggengiesser (Mr.)
UNIVERSITEIT ANTWERPEN
Belgium
EU contribution
€ 232 540
Address
Prinsstraat 13
2000 Antwerpen
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Anne Adams (Mrs.)