Mathematical Finance: Arbitrage and Portfolio Optimization (14w5116)


(London School of Economics)

(University of Vienna)

(The University of Texas at Austin)


The Banff International Research Station will host the "Mathematical Finance: Arbitrage and Portfolio Optimization " workshop from May 11th to May 16th, 2014.

Mathematics of financial markets is one of the
most active and exciting areas of contemporary
applied mathematics. It provides the mathematical
community with a rich source of challenges, which,
in turn, enrich the society’s understanding of the
financial system and help both regulators and the
financial industry make better and more informed
choices. Its proximity to practice, in addition to
its purely mathematical appeal, makes this field
especially attractive to young mathematicians.
Moreover, it provides for wider employment
opportunities both within the academic world and
outside of it.

One of the most challenging areas within
mathematical finance, namely its foundations, aims
to understand the basic structure shared by all
financial markets. It uses probabilistic tools,
together with a variety of methods from
stochastic, functional and convex analysis and
partial differential equations, and draws from a
host of other mathematical disciplines to
accomplish its goals. Prior advances in the
foundational issues have not only made a huge
impact on the financial practice, but have also
inspired a number of breakthroughs in related
areas of mathematics traditionally regarded as

In this workshop, we bring together a group of
experts on two of the pillars of mathematical
finance - arbitrage theory and portfolio
optimization - in order to foster a free
interchange of ideas and facilitate sharing of
some of the recent results in this challenging

The Banff International Research Station for Mathematical Innovation and Discovery (BIRS) is a collaborative Canada-US-Mexico venture that provides an environment for creative interaction as well as the exchange of ideas, knowledge, and methods within the Mathematical Sciences, with related disciplines and with industry. The research station is located at The Banff Centre in Alberta and is supported by Canada's Natural Science and Engineering Research Council (NSERC), the U.S. National Science Foundation (NSF), Alberta's Advanced Education and Technology, and Mexico's Consejo Nacional de Ciencia y Tecnología (CONACYT).