Research Workshop

WDSCSP21.6

Applications to Financial Engineering

Part of the long program on Distributed Solutions to Complex Societal Problems

December 6-8, 2021

Organizers:

  • Rene Carmona (ORFE, Princeton)
  • Beatrice Acciaio (ETH-Zurich)

Description:

Mean field theories, Mean Field Games, and Mean Field Control are theoretical concepts which can naturally be brought to bear in applications to financial engineering. The workshop will examine how they influenced the development of financial mathematics theoretical works and the implementation of financial engineering solutions to problems involving large ensembles of individuals or robots optimizing their behaviors in uncertain and complex environments.

Applications will include contract theory, cyber currency mining, high frequency trading, systemic risk, and recents developments in the applications of machine learning techniques to the numerical solutions of some of these problems.

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