Équipe Mathématiques financières- Projets



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European Network AMaMeF (Advanced Mathematical Method for Finance)

The AMaMeF Program aims at developing and applying advanced mathematical tools in finance. Stochastic analysis, control theory, differential equations, and numerical methods have been increasingly used for financial modeling, analysis and software development in the last decade. In particular, new challenging problems have been arising, which require techniques from various fields to be put together in order to improve how they are solved numerically and the associated computational complexity. The use of sophisticated financial instruments, particularly now with the widespread use of derivatives in almost all aspects of modern commerce, makes the development of such mathematical tools of great importance for financial institutions of all types including investment and commercial banks, insurance and fund management companies, regulating bodies, corporate and state treasuries, and hedge funds.

Period: 2006-2010. Principal investigator in France: Damien Lamberton.

 

Projet MSTIC UJF REFINE (REal time computational FInance)

Period: 2009-2010. Principal investigator: E. Gobet.

BQR Grenoble INP "Monte Carlo temps réel".

Period: 2009. Principal investigators: E. Gobet and T. Gautier ( LIG).

PPF UJF 2009: "Calculs Monte Carlo temps réel". Winter School in december 2010 to be announced.