Recent advances in mathematical finance
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Organizer(s): |
Name:
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Affiliation:
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Country:
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Yerkin Kitapbayev
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Khalifa University
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United Arab Emirates
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Giorgio Consigli
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Khalifa University
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United Arab Emirates
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Jorge Zubelli
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Khalifa University
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United Arab Emirates
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Introduction:
| | This session will concentrate on the recent applications of dynamic modelling and random processes theory to important problems in mathematical finance. Specifically, this session will feature recent contributions and advancements from both a mathematical perspective as well as in applications. Mainly focusing on mathematical statistics, partial differential and integro-partial differential equations, computational and stochastic optimization, machine learning techniques, discrete mathematics and approximation theory. Applied finance topics will include derivatives pricing, dynamic portfolio optimization, quantitative asset-liability management, risk capital allocation problems, risk modelling and management, dynamic mean-field games in economics and finance, and various others.
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