Section: Overall Objectives

Introduction

MathFi is a joint INRIA project-team with ENPC (CERMICS Laboratory) and the University Paris-Est Marne la Vallée (LAMA Laboratory), located in Rocquencourt and Marne la Vallée. https://www-rocq.inria.fr/mathfi/ .

The development of increasingly complex financial products requires the use of advanced stochastic and numerical analysis techniques. The scientific skills of the Mathfi research team are focused on probabilistic and deterministic numerical methods and their implementation, stochastic analysis, stochastic control. Main applications concern evaluation and hedging of derivative products, dynamic portfolio optimization in incomplete markets, calibration of financial models, risk management. Special attention is paid to models with jumps, stochastic volatility models, asymmetry of information. The Mathfi project team develops the software Premia dedicated to pricing and hedging options and calibration of financial models, in collaboration with a consortium of financial institutions. https://www-rocq.inria.fr/mathfi/Premia/ .