Novel Methods in Computational Finance
Projektleitung an der Universität Würzburg:
Beteiligte Wissenschaftlerinnen und Wissenschaftler:
The computational complexity of mathematical models employed in financial mathematics has witnessed a tremendous growth that requires the development of advanced numerical techniques appropriate for the most present-day applications in financial industry. Besides a series of internationally recognized researchers from academics, leading quantitative analysts from the financial industry also participate in this network. The challenge lies in the necessity of combining transferable techniques and skills such as mathematical analysis, sophisticated numerical methods and stochastic simulation methods with deep qualitative and quantitative understanding of mathematical models arising from financial markets. The main training objective is to prepare, at the highest possible level, young researchers with a broad scope of scientific knowledge, in particular computational finance, and to teach transferable skills, like social awareness which is very important in view of the recent financial crises. In this research training network our aim is to deeper understand complex nonlinear financial models and to develop effective and robust numerical schemes for solving problems arising from the mathematical theory of pricing financial derivatives and related financial products. This aim will be accomplished by means of financial modeling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. Within the ITN Strike Network, the Chair of Scientific Computing in Würzburg is responsible of the investigation of new robust and efficient optimal control techniques for financial market models.
Laufzeit: von 01.2013 bis 12.2016
EU ,Genehmigungsdatum: 10.2012