This award supports travel for participants in the Workshop on Stochastic Analysis in Finance and Insurance, held 17-20 May 2011 at the University of Michigan, Ann Arbor. The workshop brings together researchers in stochastic analysis and financial and insurance mathematics, in order to survey the state of the art of stochastic analysis in finance and insurance, to exchange ideas, and to forge new directions of research. The conference topics include optimal stochastic control, stochastic portfolio theory, market microstructure and interest-rate modeling, backward stochastic differential equations, stochastic mortality risk, pricing/hedging equity-linked insurance products, optimal risk sharing, contract design, and investment with annuities, and risk management for insurance firms.

The workshop features twelve plenary talks by senior researchers and eight invited talks by junior researchers. The meeting includes a panel discussion focused on the current needs of financial and insurance mathematics, as well as the relationship between the academic research and practical applications. Panelists will identify open problems in the field and lead a discussion of open problems and new directions for the field.

The workshop will enhance communication among junior and senior researchers in stochastic analysis in finance and insurance. The conference encourages and supports participation by graduate students, junior researchers, and members of under-represented groups.

Conference web site: http://sites.google.com/site/safimichigan/

Project Report

The purpose of this sponsored project was the organization of the workshop 'Stochastic Analysis and Finance and Insurance', held at the University of Michigan, Ann Arbor, from May 17 to May 20, 2011. The workshop took place as planned; it brought together over 100 participants, ranging from doctoral students and postdoctoral researchers to some of the most esteemed figures from the fast-growing and increasingly important fields of mathematical finance and insurance. Quantifying, managing and pricing financial risk has become increasingly important for either individuals, who are trying to reduce the risk of outliving their wealth through their retirement funds, or institutional investors representing them. Moreover, the financial markets provide the necessary liquidity for the rest of the economy to function well, and not understanding the nature of the risk taken, the mispricing of the risk and an inadequate oversight, can have dramatic impacts on the welfare of our society, as the latest crisis demonstrated one more time. As a result, there has been an intense research effort, which is embodied in the field of financial mathematics, to solve the new mathematical challenges. This new field takes its roots in stochastic analysis and also frequently interacts with other fields of mathematics such as the theory of partial differential equations and functional analysis. This workshop was an important step in promoting research in this burgeoning field with important impact on the welfare of the society in the US institutions. The workshop brought together leading researchers in stochastic analysis, as well as financial and insurance mathematics. The workshop certainly fostered collaboration and brought to light many new ideas, thus making fertile ground for future advances in the field and beyond. The organizers made a special effort to provide ample opportunity for doctoral and postdoctoral students to present their work. These kinds of presentations afford a unique training ground for the young researchers: they can hone their speaking (teaching) skills and receive immediate feedback from the leaders in the field. As far as research experience goes, the workshop's schedule provided for numerous breaks and discussion periods, where the participants could engage in collaborations and other research-related activities. The workshop was advertised widely through the websites of the American Mathematical Society (AMS), Institute of Mathematical Statistics (IMS; http://imstat.org/meetings/2011archive.htm), the Mathematical Finance Conferences blog (http://mathfinance.blogspot.com/2011/03/stochastic-analysis-in-finance-and.html), and through the departmental websites of the University of Michigan and the University of Texas at Austin. By doing so, the organizers not only reached the potential participants within the research community, but also spread the word about the field among a much wider audience. A website with the detailed information about the workshop, its program, participants, sponsors, https://sites.google.com/site/safimichigan/ was made publicly accessible. Abstracts of all talks, together with the presentation slides are also available. The workshop had a significant impact on the fields of mathematical finance and actuarial sicence, as well as the communication between the two. Moreover, as one of the very few US-based meetings of this kind, it consolidated the network of the North-American financial mathematicians and put them in a closer contact with the researchers in related fields from across the world. The conference hosted a diverse group of scientists, including several Ph.D students, post-doctoral researchers and women participants. The exposure these and other participants received during the conference will doubtlessly improve their access to (or retention in) research and teaching career. Moreover, the abstracts and talk slides posted on the conference website serve as excellent educational materials - they deal with the most recent advances in the field, many of which have not been described anywhere else. Some of the conference's participants hold positions in the financial industry, and as such serve as 'bridges' between the academic world and the industry. Their participation greatly improved the quality of the meeting and started several discussions about the societal impact of our field. Many of these discussions originated in a Panel Discussion held during the third day of the conference. The discussants shared their thoughts about the place of quantitative finance in the contemporary society and answered several questions from the audience, often raised by PhD students and postdocs. The PIs believe that - through tight collaboration with the representatives of the financial industry - the conference has made an impact outside of its target discipline. While this certainly applies to the financial and insurance industries , the impact is likely to be wider and includes the spheres of regulation and economic policy. The money left over from the conference was used to support the weekly financial/actuarial mathematics seminar at the University of Michigan. This helped the PI bring distinguished speakers from peer institutions. Through these talks, the graduate students and post-doctoral associates had a chance to hear the cutting edge resarch in the field of financial mathematics.

Agency
National Science Foundation (NSF)
Institute
Division of Mathematical Sciences (DMS)
Type
Standard Grant (Standard)
Application #
1108593
Program Officer
Henry A. Warchall
Project Start
Project End
Budget Start
2011-03-01
Budget End
2014-02-28
Support Year
Fiscal Year
2011
Total Cost
$40,000
Indirect Cost
Name
University of Michigan Ann Arbor
Department
Type
DUNS #
City
Ann Arbor
State
MI
Country
United States
Zip Code
48109