CORDIS Project
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This project focuses on improving financial risk management by addressing modeling errors. It aims to develop robust methods using market data and explore new mathematical theories to better understand systemic risks and optimize portfolios.
Reliable techniques in finance should take into account the unavoidable modelling error.
This is the main focus of this project that we intend to address from two viewpoints raising new questions in applied mathematics.Our first research direction is to device robust risk management methods which use the market observations and the no-arbitrage principle. A classical result in financial mathematics essentially states that, in idealized frictionless financial markets, the price processes of trada…
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