Conference on Stochastic Asymptotics and Applications, September 25-27, 2014

随机渐近学及其应用会议，2014 年 9 月 25-27 日

• 批准号: 1413574
• 负责人: Michael Ludkovski
• 金额: $ 1.99万
• 依托单位: University of California-Santa Barbara
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2014
• 资助国家: 美国
• 起止时间: 2014-07-15 至 2015-03-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1413574&HistoricalAwards=false
• 关键词: Conference; Stochastic; Asymptotics; Applications; September

LudkovskiDNS-1413574 The investigators organize the Conference on Stochastic Asymptotics at University of California, Santa Barbara during September 25-27, 2014. The Conference focuses on new developments in stochastic asymptotics, especially motivated by applications in mathematical finance. A special emphasis of the meeting is on novel applications of probability and applied mathematics for ongoing regulatory-risk innovations, and study of systemic risk in the global financial system. To highlight these connections, the meeting is also joint with the 6th Western Conference on Mathematical Finance (WCMF). The WCMF series promotes the community of researchers from Western U.S. who work in the areas of financial mathematics, insurance, and statistics. A key mission of WCMF is to help in the training of young faculty and stimulate the careers of the next generation of scientists. The conference features 12 plenary talks by senior researchers and 10 presentations by invited junior participants, gathering a total of sixty researchers and graduate students. The meeting encourages and supports participation by students, early-career researchers, and members of under-represented groups. The objective of the Conference is to address cutting-edge topics in stochastic perturbation methods, which have emerged as a powerful tool in wide ranging areas of probability, applied mathematics, operations research, and materials science. The applications that are discussed include analysis of waves in random media, large deviations and rare event computation, systems of interacting agents, large-scale stochastic games, and multi-scale stochastic processes. A special focus is placed on novel applications of perturbation techniques within financial mathematics, such as pricing short-maturity financial derivatives (e.g. options or credit default swaps), in studying systemic risk in the inter-bank asset flows and credit relationships, and for investigating multi-scale models of asset dynamics (such as stochastic volatility or market microstructure in high-frequency trading). All of these areas have experienced very rapid developments in the past several years, opening up entire new directions of research in the field. The conference assembles an international and multi-disciplinary group of experts to encourage new interactions and draw new researchers to these topics. Conference web site: http://www.pstat.ucsb.edu/sa-wcmf6

LudkovskiDNS-1413574 研究人员于 2014 年 9 月 25 日至 27 日在加州大学圣塔芭芭拉分校组织了随机渐近学会议。会议重点关注随机渐近学的新发展，特别是受到数学金融应用的推动。 会议的特别重点是概率和应用数学在持续监管风险创新中的新颖应用，以及全球金融体系系统性风险的研究。 为了强调这些联系，本次会议还与第六届西方数学金融会议（WCMF）联合举办。 WCMF 系列促进了美国西部金融数学、保险和统计领域的研究人员社区的发展。 WCMF 的一个关键使命是帮助培训年轻教师并刺激下一代科学家的职业生涯。 会议共有 60 名研究人员和研究生参加，共有 12 场高级研究人员的大会报告和 10 场受邀的初级研究人员的报告。 该会议鼓励和支持学生、早期职业研究人员和代表性不足群体成员的参与。 会议的目标是讨论随机扰动方法的前沿主题，随机扰动方法已成为概率、应用数学、运筹学和材料科学等广泛领域的强大工具。 讨论的应用包括随机介质中的波分析、大偏差和罕见事件计算、交互代理系统、大规模随机博弈和多尺度随机过程。 特别关注金融数学中扰动技术的新颖应用，例如短期金融衍生品（例如期权或信用违约掉期）的定价，研究银行间资产流动和信用关系的系统性风险，以及调查资产动态的多尺度模型（例如高频交易中的随机波动或市场微观结构）。 所有这些领域在过去几年中都经历了非常快速的发展，开辟了该领域全新的研究方向。 该会议聚集了一个国际多学科专家组，以鼓励新的互动并吸引新的研究人员研究这些主题。 会议网站：http://www.pstat.ucsb.edu/sa-wcmf6