
CMAP
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ChairDerivatives 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.