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Mathematical Finance and Partial Differential Equations

MSCF faculty Dmitry Kramkov and Steve Shreve were two of the eight invited speakers at the conference "Mathematical Finance and Partial Differential Equations" sponsored by the National Science Foundation and held at Rutgers University, November 4, 2011. Other invited speakers were Mihai Sirbu, who received his Ph.D. from the Carnegie Mellon Department of Mathematical Sciences in 2004, and Peter Carr, Managing Director and Head of Quantitative Research at Morgan Stanley.

Professor Kramkov spoke on how integral representations of martingales can be used to understand the role of supply and demand to determine asset prices. Professor Shreve's topic was the construction of optimal portfolios taking transaction costs into account.

Carnegie Mellon was well represented at the meeting; other participants in the conference with a CMU connection were MSCF faculty member Kasper Larson, Ph.D. alumni Maxim Bichuch and Gerard Brunick, and Ph.D. candidate Oleksii Mostovyi. Both Bichuch and Brunick served as teaching assistants in the MSCF program during their time at CMU, and Mostovyi presently serves in that capacity.

Information about the meeting is at Rutgers.


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