Diderot Mathematical Forums     

September 24-25, 1996

The first Diderot Mathematical Forum has been held in London, Moscow and Zürich on the subject of Mathematics and Finance. The three meetings went extremely well.

The London, Moscow, Zürich triangle was an appropriate one for this forum. All three cities are centres of research in probability theory, the mathematical discipline most closely associated with financial mathematics. London is Europe's leading financial centre, Zürich is the home of Switzerland's powerful banking sector and Moscow is the capital of a country in rapid transition towards a market based economy.

The three meetings went extremely well. The lectures were very diverse, substantial and of high quality. The audience of academics and pratictioners was very faithful and interested, debating each topic.

Some steps have been made towards the video-link (discussions between London and Zürich videotaped in advance and send to the other sites) but the direct telecommunication links between the three cities were not possible in spite of last minutes great efforts in each city.

LONDON : Organisers: Dr Mark DAVIS ( Tokyo-Mitsubishi International) and Professor Terry LYONS ( Imperial College, Londres)

Tuesday September 24 1996, 2.00pm - 7.30pm

Two hundred participants attended the forum which has comprised five short lectures with questions followed by a more general panel discussion. Talks were given by leading practitioners and academics and were concentrated on the problems faced by mathematicians within the financial industry together with specific areas of mathematics i.e. stochastic analysis, statistics and numerical analysis.


Professor Chris Rogers (Bath University)
Just what is the Black and Scholes Formulae?

Dr Riccardo Rebonato (Director, Head of Research, European exotic interest rate derivatives book, BZW)
Interest rates, are they infinite dimensional processes?

Dr Sam Howison (Oxford)
Beyond the Black Scholes paradigm; bubbles, crashes and non-linear forecasting.

Dr Lane Hughston (Director, Head of Research, Fixed income division, Merrill Lynch, London)
Foreign exchange rates complicate the issues

Professor Michael Dempster (Professor of Finance and Management Science, Cambridge University)
It is worthless if you cannot compute

The Panel Discussion has enable participants to interact with experts from the financial industry, regulators, the press and academia.

The full programme was recorded.

MOSCOW : Professor Albert SHIRYAEV ( Steklov Mathematical Institut, Russian Academy of Sciences) , Professor Alexei ZIZCHENKO ( Department of Mathematics, Russian Academy of Sciences) and Professor Boris KASHIN ( Actuarial-Financial Centre, Russian Academy of Sciences)

September 24-25 1996

One hundred and eighty participants attended the two days of the Forum. The choice of the programme (panorama lectures with not too many complicated mathematics) has been taken because of a wide-spread audience.


Professor Albert Shiryaev
Financial Mathematics
I. Basic concepts, structures, tools, aims and problems. II. Models of dynamics of financial markets for securities, rates of exchange, financial indexes. III. Statistical analysis of financial indexes. IV. Financial market under the absence of arbitrage possibilities.

Professor A. Melnikov
Financial calculations and tools in complete markets
I. Options. Problems of pricing and hedging of European and American options. II. Forwards and futures contracts. III. Bonds.

Professor D. Kramkov
Financial calculations and tools in incomplete markets
I. Illustration of basic principles of pricing and hedging of contingent claims in incomplete markets for Black-Scholes model with stochastic volatility. II. Dual characterizations in incomplete markets. III. General methodology of ``super" hedging. Risk-minimizing hedging. Hedging as an optimal investment.

ZURICH : Professor Ole BARNDORFF-NIELSEN ( Aarhus), Professor Paul EMBRECHTS (ETH) and Dr Rüdiger FREY (ETH)

September 24-25 1996

This meeting was one in the series of Latsis Conference and was organised under the auspices of ISI and Bernoulli Society.

Hundred participants attended the conference whose purpose was to consider, in broader terms, the present, and possible future, character of financial mathematics and insurance both as scientific fields in their own right and as concerns their role in Society. The programme was structured to consist of a number of key note talks, more specialised papers and several extensive discussions sessions.


Professor Hans Bühlmann (ETH)
On value in Insurance and Finance

Professor Hans Föllmer (Berlin)
Interactions between Finance and Probability

Professor Neil Shephard (Oxford)
Interactions between Finance and Statistics

Professor Ragnard Norberg (Copenhague)
After Black-Scholes: What is Insurance?

Professor David Heath (Cornell)
A characterization of measures of risk

Professor Stewart Hodges (Warwick)
New models of security price processes

Dr Richard Olsen (Olsen and Associates)
Views from the Frontier

More than four hundred Swiss college students and their teachers listened to an impressive general audience talk given by Hans Föllmer (Berlin) on the subject "Strategien gegen den Zufall oder wildes Wetten? Zur Mathematik von Boeersenkursen und Optionen"

Last change: March 1, 2004 Comments to: emis@math.tu-berlin.de