April 20 - 22, 2005
Max Planck Institute for Mathematics in the Sciences

The workshop is concerned with applications of stochastic analysis and related fields to problems from finance such as the pricing and hedging of derivatives and optimal portfolio choice. Both issues are well-understood in standard linear finite-dimensional models with complete markets and symmetric information. However, these models are at best a stylized picture of real markets, and the development of new, more realistic models leads to challenging mathematical questions. The two-day workshop will focus on two issues in this area, infinite-dimensional models on the one hand and models with incomplete markets and incomplete information on the other. Before the workshop there will be a one-day minicourse on stochastic analysis in infinite dimensions with applications to financial mathematics.