Workshop "Applied Mathematics and Pension Plans"

  • When Dec 19, 2016 from 02:00 PM to 04:30 PM (Europe/Amsterdam / UTC100)
  • Add event to calendar iCal

In the context of Fei Cong's PhD defence, December 19th (10AM),
we are organising a Workshop, with three presentations.

"Applied Mathematics and Pension Plans"

Place: Restaurant Room (1st floor), EEMCS Building, TU Delft, Mekelweg 4, Delft

Time : December 19th 2016, 2PM until 4:30PM


2:00 - 2:40 PM: prof. Daniel Sevcovic, Comenius University of Bratislava, Slovakia:
"Transformation Methods for Solving Nonlinear PDE Models in Mathematical Finance"

2:45 - 3:25 PM: prof. Peter Forsyth, University of Waterloo, Canada:
"Dynamic Mean Variance Asset Allocation:  Numerics and Backtests"

3:30 - 4:10 PM: prof. Hans Schumacher, University of Amsterdam and Tilburg University:
"Linear versus Nonlinear Allocation Rules in Risk Sharing under Financial Fairness"

4:15 PM: drinks

Abstract D. Sevcovoc:
In this talk we study two classes of nonlinear models arising in
mathematical finance based on solutions to nonlinear PDEs. The first
class consists of nonlinear extensions of the classical Black-Scholes
equation for pricing financial derivative whereas the second class is
represented by the fully nonlinear Hamilton-Jacobi-Bellman equation as a
model for stochastic dynamic portfolio optimization problem. After
suitable Riccati type of transformations, both problems can be
represented by solutions to quasilinear parabolic equations. Their
common feature is the fact that the nonlinear diffusion function need
not be sufficiently smooth. Furthermore, the diffusion function is often
obtained as the value function of the underlying nonlinear programming
problem. Qualitative analysis is focused on existence, uniqueness of
solutions and dependence on model parameters. Numerical part of this
talk will be devoted to development of stable finite volumes schemes for
solving corresponding nonlinear parabolic equations involving non-smooth
diffusion terms.

-- C.W. Oosterlee
CWI - Center for Mathematics and Computer Science
Amsterdam, the Netherlands
Delft University of Technology
Delft Institute of Applied Mathematics
Delft, the Netherlands