Difference between revisions of "Multi-ITN STRIKE - Novel Methods in Computational Finance"

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analysis and numerical simulations, optimal control techniques and validation of models.
 
analysis and numerical simulations, optimal control techniques and validation of models.
 
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==Follow Up Events==
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* [http://cemapre.iseg.ulisboa.pt/iccf2017/ ICCF-2017, 2nd International Conference on Computational Finance] will take place in Lisbon, Portugal, September 4-8, 2017.
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* [http://www.lorentzcenter.nl/lc/web/2017/907/info.php3?wsid=907&venue=Oort Workshop Applied Mathematics Techniques for Energy Markets in Transition] will take place at the Lorentz Center in Leidenn, the Netherlands, on September 18-22, 2017.
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==Public Reports==
 
==Public Reports==
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Deliverable D6.5 is the Public Report on the ITN-STRIKE Project Results: [[Media:ITN_STRIKE_D6.5.pdf | <B>Public Report</B>]] (pdf, 170207).
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<BR><BR>
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An overview of all Publications and Presentations was compiled within Deliverable D6.3.2 on Publication and Exploitation: [[Media:170308_STRIKE_Publications_and_Presentations.pdf | <B>Publications and Presentations</B>]] (pdf, 160731).
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Further details on publications are found on the Publications page.
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<BR><BR>
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An <B>Online</B> general overview is given in<BR>
 
An <B>Online</B> general overview is given in<BR>
 
* Z. Buckov&aacute;, J.P. Campos Moreira da Silva, M. Ehrhardt, M. G&uuml;nther, E.J.W. ter Maten: <I>STRIKE - Novel Methods in Computational Finance - A European mathematical research training network</I>. [http://www.imacm.uni-wuppertal.de/fileadmin/imacm/preprints/2014/imacm_14_01.pdf IMACM-Report 2014-01, Bergische Universit&auml;t Wuppertal, 2014]. <B>Online:</B> [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=310 ECMI Newsletter 55, pp. 9-12, 2014] ([http://www.ecmi-indmath.org/ ECMI=European Consortium for Mathematics in Industry]).
 
* Z. Buckov&aacute;, J.P. Campos Moreira da Silva, M. Ehrhardt, M. G&uuml;nther, E.J.W. ter Maten: <I>STRIKE - Novel Methods in Computational Finance - A European mathematical research training network</I>. [http://www.imacm.uni-wuppertal.de/fileadmin/imacm/preprints/2014/imacm_14_01.pdf IMACM-Report 2014-01, Bergische Universit&auml;t Wuppertal, 2014]. <B>Online:</B> [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=310 ECMI Newsletter 55, pp. 9-12, 2014] ([http://www.ecmi-indmath.org/ ECMI=European Consortium for Mathematics in Industry]).
 
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<BR><BR>
Each STRIKE Fellow did publish with his-her supervisor(s) an "A4 report/flyer" in the [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewiss&ID=56 <B>Online</B> ECMI Newsletter 56, 2014, pp. 71-91]:<BR>
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Each STRIKE Fellow did publish with his/her supervisor(s) an <B>"A4 report/flyer"</B> in the [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewiss&ID=56 <B>Online</B> ECMI Newsletter 56, 2014, pp. 71-91]:<BR>
 
* Z. Bučkov&aacute; (ESR1), M. Ehrhardt: <I>Splitting Methods on Special Meshes</I>,[http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=354 <B>Online</B> ECMI Newsletter 56, 2014, pp. 71-72].<BR>
 
* Z. Bučkov&aacute; (ESR1), M. Ehrhardt: <I>Splitting Methods on Special Meshes</I>,[http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=354 <B>Online</B> ECMI Newsletter 56, 2014, pp. 71-72].<BR>
 
* J.P. Silva (ESR2), E.J.W. ter Maten, M. G&uuml;nther: <I>POD in Option Pricing: Basket Options and Heston Model</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=355 <B>Online</B> ECMI Newsletter 56, 2014, pp. 73-74].<BR>
 
* J.P. Silva (ESR2), E.J.W. ter Maten, M. G&uuml;nther: <I>POD in Option Pricing: Basket Options and Heston Model</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=355 <B>Online</B> ECMI Newsletter 56, 2014, pp. 73-74].<BR>

Latest revision as of 10:15, 8 March 2017

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Introduction

STRIKE is a Marie Curie International Training Network (ITN, 01/2013 - 12/2016)

Acknowledgement:

This ITN Research Project STRIKE is supported by the
European Union in the FP7-PEOPLE-2012-ITN Program under
Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE - Novel Methods in Computational Finance)
.
Short reference for contract: PITN-GA-2012-304617 STRIKE.




Project Background

In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed a tremendous growth. Advanced numerical techniques are imperative for the most present-day applications in financial industry.
The motivation for this training network is the need for a network of highly educated European scientists in the field of financial mathematics and computational science, so as to exchange and discuss current insights and ideas, and to lay groundwork for future collaborations.
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 and to teach transferable skills, like social awareness which is very important in view of the recent financial crises.
The current topic in this network is that the financial crisis in the European countries is a contagion and herding effect and is clearly outside of the domain of validity of Black-Scholes and Merton’s theory, since the market is not Gaussian and it is not frictionless and complete.
In this research training network our aim is to deeper understand complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This aim will be accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models.

Follow Up Events



Public Reports

Deliverable D6.5 is the Public Report on the ITN-STRIKE Project Results: Public Report (pdf, 170207).

An overview of all Publications and Presentations was compiled within Deliverable D6.3.2 on Publication and Exploitation: Publications and Presentations (pdf, 160731).

Further details on publications are found on the Publications page.

An Online general overview is given in



Each STRIKE Fellow did publish with his/her supervisor(s) an "A4 report/flyer" in the Online ECMI Newsletter 56, 2014, pp. 71-91:



Work Packages - Project Structure


See also (public pages)