Objective The present research proposal deals with applications of the theory of stochastic processes to foundational issues in mathematical finance. We plan to investigate non-classical no-arbitrage-type conditions, which in particular allow to go beyond the usual risk-neutral paradigm of quantitative finance, by relaxing the classical No Free Lunch with Vanishing Risk (NFLVR) condition. To this effect, we shall make use of deep results from the general theory of stochastic processes. By relying on the theory of the enlargement of filtrations, we shall also study the behavior of weak no-arbitrage-type conditions with respect to changes of the information available to market participants, thus allowing the study of insider trading and limited information phenomena in relation with non-classical no-arbitrage-type conditions. We shall apply these results to the specific context of credit risk modelling. This analysis will provide guidance towards the development of a new generation of financial models which can overcome some of the limitations of the existing ones. The research activity will be carried out at the Department of Mathematics of the University of Evry (France, Paris area), within the research group coordinated by Prof. Monique Jeanblanc. By its own nature, the present research project has a strong inter-disciplinary character, being at the intersection between stochastic analysis, finance and economic theory. Fields of science social scienceseconomics and businesseconomicseconometricsnatural sciencesmathematics Programme(s) FP7-PEOPLE - Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013) Topic(s) FP7-PEOPLE-2012-IEF - Marie-Curie Action: "Intra-European fellowships for career development" Call for proposal FP7-PEOPLE-2012-IEF See other projects for this call Funding Scheme MC-IEF - Intra-European Fellowships (IEF) Coordinator UNIVERSITE D'EVRY-VAL D'ESSONE EU contribution € 202 405,80 Address BOULEVARD FRANCOIS MITTERAND 23 91025 Evry France See on map Region Ile-de-France Ile-de-France Essonne Activity type Higher or Secondary Education Establishments Administrative Contact Corine Le Grand (Ms.) Links Contact the organisation Opens in new window Website Opens in new window Total cost No data
