Topics on probability and convexity in finance

Projektinformationen

PROCONFIN

ID Finanzhilfevereinbarung: 334540

Abgeschlossenes Projekt

Startdatum 1 August 2013

Enddatum 31 Juli 2017

Finanziert unter

• Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013)

Gesamtkosten € 100 000,00

EU-Beitrag € 100 000,00

Koordiniert durch

LONDON SCHOOL OF ECONOMICS AND POLITICAL SCIENCE
United Kingdom

Ziel

A multitude of problems that fall under the scope of the field of Financial Mathematics, such as optimal investment and/or consumption, hedging of complex financial instruments, risk management and equilibrium theory, use advanced tools from the theories of Probability (including Stochastic Processes, its dynamic counterpart) and Convex Analysis. This proposal aims to develop further the methods and tools from these areas in order to address in more depth unresolved questions of theoretical and practical importance. Main focus will be given in exploring three areas: (1) Financial equilibria with heterogeneous agents in incomplete markets; (2) Viability of financial models with investment constraints and infinite number of traded assets; and (3) Hedging under model uncertainty.

Versions of all three problems have been the subject of past and current scrutinised study, stemming from a desire to improve the quality of financial modelling, to allow for imperfections that appear in real markets and seek to comprehend them, as well as to address the risk involved with complicated financial positions by exploiting the structure of simple traded assets. Especially the last point is of immediate practical importance, since the field of Financial Mathematics has been criticised exactly for having failed to correctly appreciate the risks associated to introducing financial instruments of vast complexity, the incorrect valuation of which is a major factor that resulted in the recent economic crisis.

Wissenschaftliches Gebiet

• social sciences › economics and business › economics › macroeconomics
• social sciences › sociology › governance › crisis management
• natural sciences › mathematics

Programm/Programme

• FP7-PEOPLE - Specific programme "People" implementing the Seventh Framework Programme of the European Community for research, technological development and demonstration activities (2007 to 2013)

Thema/Themen

• FP7-PEOPLE-2012-CIG - Marie-Curie Action: "Career Integration Grants"

Aufforderung zur Vorschlagseinreichung

FP7-PEOPLE-2012-CIG
Andere Projekte für diesen Aufruf anzeigen

Finanzierungsplan

MC-CIG - Support for training and career development of researcher (CIG)

Koordinator

LONDON SCHOOL OF ECONOMICS AND POLITICAL SCIENCE

Kontakt Verwaltung

David Coombe (Mr.)

• EU-Beitrag: € 100 000,00
• Adresse: Houghton Street 1 ; WC2A 2AE London ; Vereinigtes Königreich
• Region: London › Inner London — West › Westminster
• Aktivitätstyp: Higher or Secondary Education Establishments
• Gesamtkosten: Keine Daten