Mathematical Finance News

Nomura lecture 2014 - date announced

The Nomura lecture 2014 will take place at The Mathematical Institute on Thursday 5th June 2014. The speaker is Edward Prescott (Nobel laureate 
in economics 2004).

Title: Time Inconsistency with Application to the Design of a Sustainable Financial System


The most valuable asset that people in a sovereign state can have is good, sustainable governance.  Setting up a system of good, sustainable governance is not easy.  The big and well-known problem is time inconsistency of optimal policies.  A mechanism that has proven valuable in mitigating the time inconsistency problem is rule by law. The too-big-to-fail problem in banking is the result of the time inconsistency problem.  In this lecture I will argue there is an alternative financial system that is not subject to the too-big-to-fail problem. The alternative arrangement I propose is a pure transaction banking system.  Transaction banks are required to hold 100% interest bearing reserves and can pay tax-free interest on demand deposits.  With this system, there cannot be a bank run as there is no place to run to.  Mutual arrangements would finance all business investment, which is not currently the case.

Xunyu Zhou elected to be a member of the Council of the Bachelier Finance Society!

Xunyu Zhou was recently elected to be a member of the Council of the Bachelier Finance Society.

Johannes Ruf lecture at the Quantitative Methods in Finance 2013 Conference

Johannes Ruf will deliver the Bruti-Liberati Lecture at the Quantitative Methods in Finance 2013 Conference (17-20 December)

More information on the Conference can be found here

Jan Obloj awarded ERC Starting Grant!

Jan Obloj was awarded 1.2M Euro Starting Grant by the European Research Council for his project "Robust Financial Mathematics: model-ambigious framework for valuation and risk management". He is among the 11 mathematicians selected in the 2013 StG ERC call. Congratulations!

Martin Klimmek awarded the 2012 Bruti-Liberati Prize

Martin Klimmek's doctoral thesis "On inverse problems in mathematical finance" won the 2012 Bruti-Liberati Prize. Congratulations!

Nomura lecture 2013

This year's Nomura Lecture will be held on the 6th June 2013, by Paul Milgrom, Shirley and Leonard Ely Professor of Humanities and Sciences at Stanford University. He is well known for his fundamental contributions to auction theory and incentive theory. He is also an excellent speaker

Time/location: 5.30pm Martin Wood Lecture Theatre

TitleStrategy-Proof Auctions for Complex Procurement

AbstractSome real resource allocation problems are so large and complex that optimization would computationally infeasible, even with complete information about all the relevant values. For example, the proposal in the US to use television broadcasters' bids to determine which stations go off air to make room for wireless broadband is characterized by hundreds of thousands of integer constraints. We use game theory and auction theory to characterize a class of simple, strategy-proof auctions for such problems and show their equivalence to a class of "clock auctions," which make the optimal bidding strategy obvious to all bidders. We adapt the results of optimal auction theory to reduce expected procurement costs and prove that the procurement cost of each clock auction is the same as that of the full information equilibrium of its related paid-as-bid (sealed-bid) auction.

The Nomura Lecture poster can be found here

Xunyu Zhou and Mike Giles lecturing on Dutch Winter School

Xunyu Zhou and Mike Giles are teaching on the 12th Winter School on Mathematical Finance in the Netherlands.  Xunyu will be covering 
Mathematical Behavioural Finance, while Mike will be discussing Adjoint Methods in Computational Finance.

Titchmarsh Fellowships

The Mathematical Institute has just announced the availability of up to 4 prestigious Titchmarsh Fellowships in a range of subjects including mathematical and computational finance. Applications are due on December 10, 2012.

Nomura Lecture 2012 will be given by Jose A Scheinkman

Nomura Lecture 2012 will be given by Jose A Scheinkman (Theodore Wells '29 Professor of Economics at Princeton).

Title: Speculation and bubbles.

more details...

Michael Giles wins 2011 Best Simulation Publication Award

Mike Giles has received the INFORMS Simulation Society 2011 Best
Simulation Publication Award for his 2008 Operations Research paper on
Multilevel Monte Carlo Path Simulation. (further details)

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