New Trends in Mathematical Finance

Sandwich Seminar

Many financial problems induce a deep study in mathematics, raising mathematical problems of the upmost relevance. These problems involve analysis, probability and stochastic processes, optimization and control theory, and numerical analysis.

The past and present financial crisis points out as one its main aspects that the clas­sical models that have been traditionally used do not produce an accurate derivative pricing. The need for investigating new financial models based on new analytical and more sophisticated instruments became evident. With this project we aim to make a contribution within the modern research lines in Financial Mathematics.

The interplay between finance and mathematics is very challenging and often stimulates the use of innovative mathematical and computational mathematics techniques.

The basic Merton, Black and Scholes model exhibits many drawbacks due to some assumptions which are not consistent with the way financial markets operate. That fact that the market is not Gaussian and not frictionless and complete together with the fact that volatility is assumed to be constant and that no transaction costs are supposed to hold when trading derivatives are major limitations to the validity of the basic model.


Maria Rosario Grossinho (Project Technical Coordinator & Professor of Finance, IDEFE); Hugo O'Neill (Financial Analyst); Clara José António Pereirinha (Vice-President of ISEG-Economics and Business School at the Technical University of Lisbon) and João Cantiga Esteves (Managing Director of IDEFE/ISEG)

Monday, November 19, 2012 - 12:30
to 13:30