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 net-work 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.
More informationProject period: January 1st, 2013 - December 31, 2016
Prof. Dr. Ansgar Jüngel
Dr. Karl Rupp
Ines Viktoria Stelzer