Section: Overall Objectives
MathFi is a joint project-team with INRIA-Rocquencourt, ENPC (CERMICS) and the University of Marne la Vallée, located in Rocquencourt and Marne la Vallée.
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. Special attention is paid to models with jumps, stochastic volatility models, asymmetry of information. An important part of the activity is related to the development of the software Premia dedicated to pricing and hedging options and calibration of financial models, in collaboration with a consortium of financial institutions.
Premia web Site: http://www.premia.fr .