PROCOPE 5750542

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Financial markets in transition: mathematical models and challenges

This project is funded by the German Academic Exchange Service (DAAD) and by Campus France (campusfrance.org) under the PROCOPE initiative. The aim of PROCOPE projects is to intensify the bilateral collaboration between scientists in France and Germany. Thus, these projects support scientists from both countries working together on common projects.

The PROCOPE project 5750542 "Financial markets in transition: mathematical models and challenges" has brought together scientists from the following institutions in Germany and France:

• École Polytechnique
• Humboldt-Universität zu Berlin
• Technische Universität Berlin
• Université d'Evry
• Université Paris Dauphine
• Université Paris Diderot

The initial funding period is 2 years and the project started in January 2014. There are 10 members in the project, working together on probability theory, stochastic processes, and their various applications in mathematical economics and finance. There are four main research directions:

• Volatility Smiles in interest rate markets
• Counterparty risk, funding and multiple curve modeling
• Model uncertainty and Lévy processes
• Contract Games with Applications in Finance.

Antonis Papapantoleon
Original design by Andreas Viklund