Innovative project wins Mathematical Finance competition

O método desenvolvido aproxima as soluções de uma ampla gama de Equações Diferenciais Parciais, que aparecem nos mais variados estudos em praticamente toda Ciência. Ele consegue lidar com equações em alta dimensão e com não-linearidade. No contexto de Finanças, o time vencedor analisou problemas de precificação de opções, risco sistêmico de sistemas de bancos e impacto agregado de preço no mercado financeiro.
应用数学
31 八月 2018
Innovative project wins Mathematical Finance competition

The project titled “Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning” won the Financial Mathematics Team Challenge Brazil. Organized by FGV’s School of Applied Mathematics (EMAp) and supported by University College London, the competition divided graduate and PhD students in Mathematical Finance into teams to come up with solutions for real-world problems.

The winning team, formed by Ali Al-Aradi (team leader - University of Toronto), Adolfo Correia (Institute for Pure and Applied Mathematics – Impa), Danilo Naiff (UFRJ), and Gabriel Jardim (EMAp), studied an innovative method to numerically solve equations related to major problems in Mathematical Finance. The team was guided by professor Yuri Saporito (EMAp).

The method developed by the team addresses solutions based on a wide range of Partial Differential Equations, which are part of several different studies across virtually the entire field of Science. The method effectively handles nonlinear and high-dimensional equations. In the field of Finance, the winning team analyzed problems regarding option pricing, systemic risks of banking systems, and aggregate price impact on the financial market.

Go to the website to learn more about the competition.