MATHRISK is a joint team between INRIA Paris, Ecole des Ponts ParisTech (CERMICS laboratory) and Université Gustave Eiffel (LAMA laboratory, UMR 8050 CNRS). It is the follow-up of the project team MATHFI (2000-2012), which has extensively contributed to the development of methods for the pricing and hedging of increasingly complex financial products. The 2007 global financial crisis has abruptly highlighted the critical importance of a better understanding and management of risk. The project MathRisk is focused on mathematical handling of risk, and addresses broad research topics embracing risk measurement and risk management, modeling and optimization in quantitative finance, but also in other related domains where risk control is paramount. It develops collaborations with various institutions involved in risk control and submitted to increasing regulatory legislations. The scientific issues include systemic risk and contagion modeling, robust finance, market frictions, counterparty and liquidity risk, assets dependence modeling, market micro-structure and price impact. Models must take into account the multidimensional feature, the incompleteness issues, model uncertainties, the interplay between information and performance and various market imperfections and defaults. While these themes arise naturally in quantitative finance, a number of these issues are also relevant to the treatment of risk in other areas as economy, social insurance and sustainable development. In these contexts, the management of risk appears at different time scales, from high frequency data to long term life insurance management, raising challenging renewed modeling and numerical issues. Mathematical tools include stochastic modeling, stochastic analysis, stochastic control and optimal stopping, nonlinear expectations, stochastic optimization, dynamic game theory, random graphs, martingale optimal transport, and generally advanced numerical methods for effective solutions. Associated research on numerical efficiency is pursued, in close connection with the development of the numerical platform Premia that Mathrisk is developing in collaboration with a consortium of financial institutions.
Inria Paris Centre
In partnership with
Ecole des Ponts ParisTech,CNRS,Université Paris-Est Marne-la-Vallée