Novel Methods in Computational Finance


Abstract

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 information

Project period: January 1st, 2013 - December 31, 2016
Funding: Marie Curie Initial Training Network


Network Partners

  1. Institute for Modelling, Analysis and Computational Mathematics, Bergische Universität Wuppertal, Germany
  2. Department of Applied Mathematics and Statistics, Comenius University Bratislava, Hungary
  3. Instituto de Matematica Multidisciplinar, Universidad Politecnica Valencia, Spain
  4. Faculty of Nature Sciences and Education, University Rousse, France
  5. Centre for Applied Mathematics and Economics, Universidade Tecnica de Lisboa, Portugal
  6. Faculty of Mathematics/Natural Sciences, University of Applied Sciences Zittau, Germany
  7. Institute for Analysis and Scientific Computing, Vienna University of Technology, Austria
  8. Delft Institute of Applied Mathematics, Delft University of Technology, Netherlands
  9. School of Computing and Mathematical Sciences, University Greenwich, United Kingdom
  10. Institute for Mathematics, University of Würzburg, Germany
  11. Department of Mathematics and Computer Science, University of Antwerp, Netherlands

Local Research Team

Prof. Dr. Ansgar Jüngel
Dr. Karl Rupp
Philipp Fuchs
Jan-Frederik Mennemann
Birgit Schörkhuber
Stefan Schuchnigg
Polina Shpartko
Ines Viktoria Stelzer