26-28 April 2017

 

Every mathematical model poses by its very nature a risk in itself of not representing real world phenomena perfectly. To treat this issue in mathematical finance, the fields of robust, model-independent and pathwise mathematical finance rapidly emerged in the past 15 years. More recently, very promising new approaches from various mathematical areas as analysis (pathwise functional Ito calculus, regularity structures), optimal transport (martingale optimal transport, causal transport) and probability theory (multi-marginal Skorokhod embedding) make robust finance currently a very active and fast growing research area.

The Young Researchers Workshop on Robust Mathematical Finance brings together PhD students, postdoctoral researchers, and young faculty members working in robust finance and related fields. It provides a forum to present and discuss current research in an informal atmosphere. Keynote talks will be given by

Additionally, there will be 14 invited talks and a plenary discussion about the future challenges in robust finance and related fields. The plenary discussion with the keynote speakers will be complemented by Paul Embrechts (ETH Zurich) and Josef Teichmann (ETH Zurich).


Organizers:
Matteo Burzoni (ETH Zurich), Ariel Neufeld (ETH Zurich), David Prömel (ETH Zurich), Candia Riga (University of Zurich)