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MATHRISK Research team

Mathematical Risk handling

Team presentation

MATHRISK is based on the former project team MATHFI (2000-2011). It is a joint team between,INRIA Paris-Rocquencourt, Ecole des Ponts et Chaussées (CERMICS laboratory) and the Université Paris-Est Marne la Vallée (LAMA laboratory). The Mathfi project team has extensively contributed to the development of modeling and computational methods for the pricing and hedging of increasingly complex financial products. Since the crisis of 2008, there has been a critical reorientation of research priorities in quantitative finance with emphasis on risk. Financial mathematics is facing the following new evolutions: (i) The complete market modeling has become unsatisfactory to provide a realistic picture of the market and is replaced by incomplete and multidimensional models which lead to new modeling and numerical challenges. (ii) quantitative measures of risk coming from the markets, the hedging procedures, and the lack of liquidity are crucial for banks, (iii) uncontrolled systemic risks may cause planetary economic disasters,and require better understanding, (iii) deregulation of stock markets and its consequences lead to study high frequency trading.

Research themes

To meet these new issues, Mathrisk proposes to focus on dependence modeling, systemic risk, market microstructure modeling and risk measures.The research on the areas related to the current expertise of the team in modeling and numerical analysis remain active in this new context, motivated by new issues. Mathematical tools for dealing with the new challenges of financial modeling are stochastic modeling, stochastic analysis, in particular stochastic (partial) differential equations and various aspects of stochastic control of these equations, and advanced numerical probability for effective solutions.

International and industrial relations

PREMIA: a numerical platform for computational finance www.premia.fr Consortium Premia: Crédit Agricole CIB, Société Générale, Natixis, Pricing Partners.

Keywords: Financial mathematics Risk measures Systemic risk Dependence modeling Market microstructure High frequency Stochastic control Numerical probability