Inria
/
Raweb 2009
Presentation of the Project Mathfi
Logo Inria
Mathfi
Financial Mathematics
2009 Research Team Activity Report
Paris - Rocquencourt
Area :
Applied Mathematics, Computation and Simulation
Theme : Stochastic Methods and Models
Presentation of the Project-Team
- Activity Report in
PDF
or
XML
format
Members
Overall Objectives
Highlights of the year
Introduction
Scientific Foundations
Simulation of Stochastic Differential Equations
Numerical methods for option pricing and hedging and model calibration
Malliavin calculus and applications in finance
Optimal stopping
Stochastic Control and Backward Stochastic Differential equations (BSDEs)
Application Domains
Application domains
Software
Development of the software PREMIA for financial option computations
New Results
Discretization of stochastic volatility models
Monte Carlo simulations and stochastic algorithms for option pricing
Optimal stopping and American Options
Risk
Stochastic control of jump diffusions, Stochastic Maximum principles and BSDEs
Pricing and hedging in incomplete markets
Stochastic analysis and Malliavin calculus
Contracts and Grants with Industry
Consortium Premia
Other Grants and Activities
ANR programs
Pôle compétitivité
International cooperations
Dissemination
Conference and Seminar organisation
Editorship
Services to the scientific community
Teaching
Internship advising
PhD defences
PhD advising
PhD reports
Participation to workshops, conferences and invitations
Bibliography
Major publications
Publications of the year
References in notes
