Theme leader: P.J.C. Spreij
Financial Mathematics is a relatively new branch in applied mathematics.
Recent years have seen a truly quantitative revolution in the world of
finance. The call for advanced mathematical techniques has boosted
research
in new directions of applied mathematics, both of a theoretical and a
practical
nature. Many researchers from more traditional branches of mathematics
have made major contributions.
Within the Netherlands only a few mathematicians devote a major part
of their research to this field. The newly installed Stieltjes theme
group
on Financial Mathematics is a new initiative to coordinate research in
The Netherlands and to be a platform on which various activities in this
field find a common base.
Activities of the theme group are by no means
restricted to participants of the Stieltjes Institute itself. This is
reflected
by the composition of the steering committee and of the theme group as
a whole, where also mathematicians from other research institutes have
been included.
The theme group has strong connections with several
research
programmes of the Stieltjes Institute, in particular with Probability,
Statistics, Operator theory and Evolutionary Systems, and equally well
established links with other
research institutes in the Netherlands like CentER, DISC, EURANDOM and
MRI.
Status of the theme.
The members of the theme group have been active in various fields like
probability theory, mathematical statistics, time series analysis and
dynamical
systems.
It is the ambition of the theme group to promote the research
in Financial Mathematics in the Netherlands by organising a seminar
series,
workshops and special activities in the educational vein. All these
activities
will be conducted in close cooperation with members of the mathematical
institutes associated with the Stieltjes Institute and with other
research
institutes both in mathematics and in economics. The theme group started
its
activities in mid 2000.
Activities.
The main activity in 2002, apart form research, aimed at promoting
Financial
Mathematics
has been the organisation of a "Winter school on Mathematical Finance".
The Winter school has been
held at the Conference centre Oud-Poelgeest (Oegstgeest) from December
16 to 18,
2001. The winter school has been organised by Hans Schumacher (UvT) and
Peter Spreij
(UvA).
Minicourses have
been given by Marek Rutkowski (Warsaw) and Rama Cont (Palaiseau).
Special invited lectures have been presented by Jan Kallsen (Freiburg),
Damiano Brigo (Milan) and Dilip Madan (College Park).
There were four
additional short lectures by researchers on Financial Mathematics from
The Netherlands.
Some fifty
particpants have attended the winter school. Because of the
enthousiastic reactions
of the participants a follow up in December 2003 has already been
planned. The
winter school has been sponsored by the Stieltjes Institute, MRI, CentER
and NWO.
In 2003 the theme group will change its name into Theme group
"Mathematics and Economics". The theme will
enlarge its scope to include branches of Applied Mathematics (such as
optimization theory) that are relevant for a variety of subfields of
Economics.