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Raweb 2006
Presentation of the Team Mathfi
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Mathfi
Financial Mathematics
2006 Research Team Activity Report
Paris - Rocquencourt
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Presentation of the Team
- Activity Report in
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Members
Overall Objectives
Scientific Foundations
Numerical methods for option pricing and hedging
Model calibration
Application of Malliavin calculus in finance
Stochastic Control and Backward Stochastic Differential equations
Anticipative stochastic calculus and insider trading
Fractional Brownian Motion
Application Domains
Application domains
Software
Development of the software PREMIA for financial option computations
New Results
Numerical methods for option pricing
Discretization of stochastic differential equations
Monte Carlo simulations and stochastic algorithms
Functional quantization for option pricing in a non Markovian setting
Computation of sensitivities (Greeks) and conditional expectations using Malliavin calculus
Lower bounds for the density of a functional
Optimal stopping and American Options
Sparse grids methods for PDEs in Mathematical Finance
Stochastic control - Application in finance and assurance
Utility maximization in an insider influenced market
Contracts and Grants with Industry
Consortium Premia
EDF
BNP-Paribas
EuroVL
ANR program
International cooperations
Dissemination
Seminar organisation
Teaching
Internship advising
PhD defences
PhD advising
Participation to workshops, conferences and invitations
Miscellaneus
Bibliography
Major publications
Publications of the year
References in notes
