Broad Perspectives and New Directions in Financial Mathematics

March 9 - June 12, 2015


fm2015The financial crisis of 2007-2008 has dramatically changed research in quantitative finance. The perfect replication paradigm, at the root of the success of the Black and Scholes model, became unsound in light of the dire illiquidity problems that caused several major collapses. As a result, the center of gravity of research in quantitative finance has shifted away from pricing and hedging and from the credit markets. While these problems remain of great importance, new problems are now taking center stage.

This IPAM program will address the stability of the network of financial institutions, the impact of high frequency and algorithmic trading, the financialization of the commodity markets, and the huge challenges raised by the size and the speed of trade data. This program will bring together academic mathematicians, economists, regulators, and experts from the finance industry to seed research – even if speculative – in these areas.

Organizing Committee

René Carmona (Princeton University, Mathematics)
George Papanicolaou (Stanford University, Mathematics)
Thaleia Zariphopoulou (University of Texas at Austin, Departments of Mathematics and IROM)