MATHFI - 2011 - Annual activity report

MATHFI

MATHFI - 2011

Project Team Mathfi

Members

Overall Objectives

Introduction
Highlights
Numerical methods for option pricing and model calibration
Malliavin calculus and applications in finance
Optimal stopping
Stochastic control and backward stochastic differential equations (BSDEs)

Application Domains

Application domains

Software

PREMIA

New Results

Numerical probability
American options
Financial issues modelling
Stochastic control of jump processes and stochastic differential games
Risk measures, BSDEs with jumps and nonlinear expectations
Malliavin calculus and applications

Contracts and Grants with Industry

Contracts with Industry
Grants with Industry

Partnerships and Cooperations

Regional Initiatives
National Initiatives
European Initiatives
International Initiatives

Dissemination

Animation of the scientific community
Teaching
PhD

Bibliography

Major publications
Publications of the year
References in notes

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2011 Team Activity Report

MATHFI

Financial mathematics

Research centre: Paris - Rocquencourt

In partnership with: CNRS, Ecole des Ponts ParisTech, Université Paris-Est Marne-la-Vallée

In collaboration with: Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA), Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS)

Field: Applied Mathematics, Computation and Simulation

Theme: Stochastic Methods and Models

Keywords: Financial Mathematics, Numerical Probability, Monte Carlo Methods, Stochastic Control, Malliavin Calculus