pop@ams.org
09/04/2003

Mathematics of Finance

Sunday, June 22 - Thursday, June 26, 2003

Wendell H. Fleming, Brown University
Jean-Pierre Fouque, North Carolina State University
George Papanicolaou, Stanford University
Bozenna Pasik-Duncan, University of Kansas
Stan R. Pliska, University of Illinois at Chicago
K. Ronnie Sircar, Princeton University
George Yin, Wayne State University (Chair)
Qing Zhang, University of Georgia (Cochair)

Research in mathematics of finance has witnessed tremendous progress in recent years. The Black-Scholes model and its various extensions for pricing of options have had an influential impact on financial practice and have led to a revolution in the financial industry. The introduction of stochastic analysis and stochastic control techniques has resulted in a number of important advances. To name just a few, these include the study of valuation of contingent claims in complete and incomplete markets, consumption-investment models with or without constraints, portfolio management for institutional investors such as pension funds and banks, and risk assessment and management using financial derivatives. On the other hand, the applications require and stimulate many new and exciting theoretical discoveries.

As a rapidly expanding and growing discipline, mathematics of finance involves a wide spectrum of techniques that go far beyond the traditional applied mathematics. Stochastic calculus, dynamic programming, and partial differential equations have become indispensable tools to finance, a discipline that previously relied on "a collection of anecdotes, rules of thumb, and shuffling of accounting data." As a major impetus to the development of financial management and economics, the research in mathematics of finance has had a major impact on the global economy. For instance, using stochastic calculus in the pricing of options has become a standard practice nowadays. It can be anticipated that it will continue to stimulate progress in other areas of mathematics in the years to come.

The rapid progress in mathematics of finance has necessitated communication and networking among
researchers in different disciplines. To inherit the past and to usher in the future, a Joint Summer Research Conference in mathematics of finance will be sponsored jointly by the AMS, IMS, and SIAM, to be held in June 2003. The main purpose of the proposed conference is to bring together researchers from mathematical sciences, finance, economics, and engineering; to review and update recent advances; and to identify future directions of mathematics of finance. This conference will focus on scientific topics that include but are not limited to valuation of contingent claims and dynamic hedging, consumption-investment models and portfolio management, and risk assessment and management using financial derivatives.

Confirmed invited speakers include: M. Avellaneda, T. Bielecki, R. Carmona, P. Carr, M. Davis, T. Duncan, N. El Karoui, R. Elliott, W. H. Fleming, J.-P. Fouque, X. Guo, F. Hanson, U. G. Haussmann, K. Helmes, D. Hernández-Hernández, Y. Hu, Y. Kabanov, I. Karatzas, Jin Ma, W. M. McEneaney, T. Pang, G. Papanicolaou, B. Pasik-Duncan, E. Platen, S. R. Pliska, L. C. G. Rogers, W. Runggaldier, M. Rutkowski, S.-J. Sheu, K. R. Sircar, S. E. Shreve, H. M. Soner, J. L. Stein, L. Stettner, R. Stockbridge, S. Stojanovic, M. Taksar, H. Wang, J. W. Wang, J. Westman, D. D. Yao, G. Yin, J. Yong, Th. Zariphopoloulou, Y. Zeng, Q. Zhang, and X. Y. Zhou.