German-Slovakian Project on Computational Finance
Sixteen mathematics students, doctoral candidates and professors are taking part in a new project on numerical financial mathematics between the Bergische Universität Wuppertal and the Comenius University Bratislava.
The aim of the German-Slovakian cooperation is the analysis and construction of novel numerical methods for the effective solution of nonlinear extensions of the classical Black-Scholes theory and models of stochastic dynamic portfolio optimization on the basis of the Hamilton-Jacobi-Bellman equation.
These nonlinear partial differential equations for the valuation of options have – in comparison to the classic linear Black-Scholes equation – various models for transaction costs, illiquid markets, influences of very large traders on the market price as well as the estimation of investor risks.
The bilateral project is funded by the German Academic Exchange Service (DAAD) for two years (2018-2019). It is planned that all 16 project participants will travel to the partner university for one week each year in order to exchange ideas with their peers.
The industrial partner of this project, the GEFA bank, has the main office located in Wuppertal and a branch in Bratislava. This setting will offer the unique opportunity for mutual exchange between academia and industry, transfer of knowledge and also with the option for jointly supervised theses.
Further information can be found on the project homepage.