Chair 

Derivatives of the Future 

This Chair is held at the Applied Mathematics Department, Ecole Polytechnique, and is sponsored by the French Federation of Banks. There are two main components in this research project: 

- An up to date research activity on the risk management under market conditions outside the classical paradigm of the Black-Scholes model. The main focus of our team is on market illiquidity, and new financial markets as longevity derivatives and environemental financial instruments.

- An advanced PhD project at the European level centered around the SMAI European Summer School in Financial Mathematics.


Events:

Our weekly working group: Stochastic Methods in Finance, Ecole Polytechnique.

Special Semester on Longevity Risk, starting on February 2011. Location: Institut Henri Poincaré, Paris.













 

CMAP UMR 7641 École Polytechnique CNRS, Route de Saclay, 91128 Palaiseau Cedex France, Tél: +33 1 69 33 46 00 Fax: +33 1 69 33 46 46