Mathematics against the crisis
10/30/2012How the consequences of a financial crisis can be limited in the future with improved mathematical models is being investigated by researchers from all over Europe in a new, interdisciplinary network. Alfio Borzi, mathematician at the University of Würzburg, is developing new control mechanisms for this purpose.
„STRIKE - Novel Methods in Computational Finance“: This is the name of a new researcher network, which brings together researchers from 14 European universities and staff of six companies from the financial sector. Their aim is to develop models and to develop concepts on a purely mathematical basis, which in the future should contribute to to mitigate the consequences of a financial crisis. The European Commission supports the network with around 3.6 million euros.
The members of the network work in the border area between financial mathematics, modelling, Numerical Mathematics, Optimization and Parallel Computing; in January 2013, they will
Get to work. Professor Matthias Ehrhardt, Mathematician at the University of Bergisch Wuppertal, coordinates the network. The mathematician Professor Alfio Borzi represents the University
Würzburg.
The importance of mathematical models
"In financial mathematics, the complexity of mathematical models increased enormously. In order to take this development into account, novel models analysed and state-of-the-art numerical methods developed," said Alfio Borzi describing the Task for the network.
Stock exchange traders today use mathematical models to calculate probabilities for this, within which time certain papers can reach a defined value, how large the deviation from this value could be and many more parameters. Based on this data in usually their buy or sell decisions. Small errors in the models can therefore have a major impact.
Important effects are not considered
This is all the more true when these models cannot even take certain effects into account, as is is currently the case. "Classical financial mathematical models, for example, do not allow the so-called 'contagion and herd effect'," says Borzi. Here for example, the contagion effect has a special role in the current financial crisis in Europe - if, for example, Italy stumbles, because Greece no longer has its loans from Rome and then pulls other countries into the maelstrom.
The members of the network therefore want to develop new models and extensions of the classic financial mathematical models and develop these models using effective and robust Check and realign calculation procedures. Alfio Borzi's task is to develop so-called to develop stochastic optimal control techniques. On a purely mathematical basis, these are to be Draw up proposals to mitigate the financial crisis.
In addition, over the next four years the members of the network will support twelve doctoral students and to train five post-doctoral students. Particular importance is attached to soft skills - especially a social consciousness. Especially in view of the recent financial crises, the European Commission considers this aspect to be extremely important.
Members of the Network
Partners in the network are the universities of Antwerp (Belgium), Bratislava (Slovakia), Coruna and
Valencia (Spain), Lisbon (Portugal), Greenwich and Sussex (United Kingdom), Paris VI
(France), Rousse (Bulgaria), Wuppertal, Würzburg, the University of Applied Sciences Zittau/Görlitz and the
Technical Universities of Delft (Netherlands) and Vienna (Austria). As a company in the network
are represented: MathFinance AG, d-fine, Postbank AG, Ortec Finance, ING Bank and Rabobank.
Link to Homepage
Contact
Prof. Dr. Alfio Borzi, T. (0931) 31-84132, E-Mail: alfio.borzi@mathematik.uni-wuerzburg.de
(einBLICK 30. Oktober 2012)
