Blogentry

Three projects on financial mathematics with international partners

17.03.2024|15:19 Uhr

Funded by the German Academic Exchange Service (DAAD), three new projects have been established within the "Applied and Computational Mathematics" group at IMACM. The international partners are univeristiies in Hong Kong, France and Portugal; the projects are led by Long Teng, Thomas Kruse and Matthias Ehrhardt.

Reliable predictions, risk management in the financial sector and strategies for emissions trading - these are the topics of the three projects.

•  The project "ACROSS: A robust data analytics-based FBSDE solver for high-dimensional stochastic control problems" deals with the development of new types of deep learning-based calculations in certain areas of financial mathematics, which are important for the planning and management of capital investments and portfolio strategies, for example. Project leader is PD Dr. Long Teng, cooperation partner is The Chinese University of Hong Kong with Prof. Dr. Phillip Yam.
• The project "Modeling and simulation of illiquid financial markets" by Prof. Dr. Thomas Kruse with the University of Le Mans has already been reported on in this blog. Here is the link.
•  In "PRISEMA - Pricing of Financial Instruments in Emission Markets", new models and methods for the pricing of CO2 emission rights and certificates for renewable energies are being developed. It is headed by Prof. Dr. Matthias Ehrhardt, cooperation partner is the Universidade de Lisboa with Prof. Dr. João Guerra and team.

All three projects will be funded over a period of two years as part of the DAAD's "Project-related Exchange of Persons Program". The aim is in particular  to give young researchers the opportunity to gain international research experience through research stays at the partner institution.