CORDIS Project
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This project seeks to establish a new mathematical framework for financial valuation and risk management, emphasizing the use of market data over traditional probabilistic models. It aims to enhance the robustness of financial strategies by integrating historical and current market information.
The last forty years have seen a remarkable interplay between Mathematics and contemporary Finance.
At the heart of the successful growth of Mathematical Finance was a perfect fit between its dominant model--specific framework and the tools of stochastic analysis.
However, this approach has always had important limitations, and the dangers of overreach have been illustrated by the dramatic events of the recent financial crisis.I set out to create a coherent mathematical framework for valuation,…
THE CHANCELLOR, MASTERS AND SCHOLARS OF THE UNIVERSITY OF OXFORD
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