###
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:

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.