MultiITN STRIKE  Novel Methods in Computational Finance
Marie Curie International Training Network (ITN, 01/2013  12/2016)
This ITN Research Project STRIKE is supported by the
European Union in the FP7PEOPLE2012ITN Program under
Grant Agreement Number 304617 (FP7 Marie Curie Action, Project MultiITN STRIKE  Novel Methods in Computational Finance). 

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 presentday 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 BlackScholes 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.
An Online overview is given in

Each Fellow did publish with his supervisor(s) an "A4 report/flyer" in the Online ECMI Newsletter 56, 2014, pp. 7191:

Work Packages  Project Structure
 WP 1: Modelling and Analysis
 WP 2: Numerical Methods for Nonlinear Models
 WP 3: Scientific Computing
 WP 4: Validation and Calibration
 WP 5: Complementary Skills Training
 WP 6: Dissemination and Exploitation
 WP 7: Management