Hola,
¿eres nuevo aquí?

Regístrate gratis y conecta tu empresa con financiación pública, partners y proyectos.

Tengo cuenta

Regístrate

Ver video

ROBUSTFINMATH

Financiado

Cerrado

Robust Financial Mathematics model ambiguous framework for valuation and risk m...

Robust Financial Mathematics model ambiguous framework for valuation and risk management "The last forty years have seen a remarkable interplay between Mathematics and contemporary Finance. At the heart of the successful growth of Mathematical Finance was a perfect fit between its dominant model--specific framework an... ver más

31/12/2018

UOXF

1M€

Presupuesto del proyecto: 1M€

Líder del proyecto

THE CHANCELLOR MASTERS AND SCHOLARS OF THE UN... No se ha especificado una descripción o un objeto social para esta compañía.

TRL 4-5

Fecha límite participación Sin fecha límite de participación.

Financiación concedida El organismo FP7 notifico la concesión del proyecto el día 2018-12-31 No tenemos la información de la convocatoria

0% 100% 100%

Información adicional privada

No hay información privada compartida para este proyecto. Habla con el coordinador.

1 Participantes

UOXF

0.00€ | Lider

Conecta tu I+D

¿Tienes un proyecto y buscas un partner? Gracias a nuestro motor inteligente podemos recomendarte los mejores socios y ponerte en contacto con ellos. Te lo explicamos en este video

Proyectos interesantes

PGC2018-101327-B-I00 NUEVOS MODELOS DE VOLATILIDAD Y ANALISIS DE LOS VALORES EXTR... 8K€ Cerrado

RIVAL Risk and Valuation of Financial Assets A Robust Approach 1M€ Cerrado

ASSETPRICINGPUZZLES Cross Sectional Asset Pricing Puzzles An Equilibrium Perspe... 100K€ Cerrado

PROCONFIN Topics on probability and convexity in finance 100K€ Cerrado

MTM2009-08218 ANALISIS ESTOCASTICO CON APLICACIONES EN FINANZAS, TURBULENC... 40K€ Cerrado

WAKEUPCALL Applied mathematics for risk measures in finance and insuran... 2M€ Cerrado

Líder del proyecto

THE CHANCELLOR MASTERS AND SCHOLARS OF THE UN... No se ha especificado una descripción o un objeto social para esta compañía.

TRL 4-5

Presupuesto del proyecto 1M€

Fecha límite de participación Sin fecha límite de participación.

Descripción del proyecto "The last forty years have seen a remarkable interplay between Mathematics and contemporary Finance. At the heart of the successful growth of Mathematical Finance was a perfect fit between its dominant model--specific framework and the tools of stochastic analysis. However, this approach has always had important limitations, and the dangers of overreach have been illustrated by the dramatic events of the recent financial crisis. I set out to create a coherent mathematical framework for valuation, hedging and risk management, which starts with the market information and not an a priori probabilistic setup. The main objectives are: (i) to incorporate both historical data and current option prices as inputs of the proposed robust framework, and (ii) to establish pricing-hedging duality, define the concept of no-arbitrage and prove a Fundamental Theorem of Asset Pricing, all in a constrained setting where the market information, and not a probability space, is fixed from the outset. Further, I will test the performance of robust valuation and hedging methods. The project proposes a genuine change of paradigm. It requires building novel mathematical tools combining pathwise stochastic calculus, embedding problems, martingale optimal transport, variation inequalities as well as numerical methods. Significant research efforts have focused on introducing and investigating a form of model uncertainty in Financial Mathematics. This project makes an important next step. Motivated by recent contributions, it builds a framework which consistently combines model ambiguity with a comprehensive use of market information. Further, it has built-in flexibility to interpolate between the model-specific and model-independent settings. It offers a new theoretical foundation opening horizons for future research. Moreover, it provides novel tools which could be applied by the financial industry."

Conecta tu I+D

Entra hoy

¿Olvidé mi contraseña?

Financiación

Empresas

CTIs/Universidades

Proyectos

Investigadores