MATHRISK

MATHRISK is a joint team between INRIA Paris, Ecole des Ponts ParisTech (CERMICS laboratory) and Université Gustave Eiffel (LAMA laboratory, UMR 8050 CNRS). It is the follow-up of the project team MATHFI (2000-2012), which has extensively contributed to the development of methods for the pricing and hedging of increasingly complex financial products. The 2007 global financial crisis has abruptly highlighted the critical importance of a better understanding and management of risk. The project MathRisk is focused on mathematical handling of risk, and addresses broad research topics embracing risk measurement and risk management, modeling and optimization in quantitative finance, but also in other related domains where risk control is paramount. It develops collaborations with various institutions involved in risk control and submitted to increasing regulatory legislations. In these contexts, the management of risk appears at different time scales, from high frequency data to long term life insurance management, raising challenging renewed modeling and numerical issues. 

The numerical platform (http://www.premia.fr) Premia} that MathRisk is developing in collaboration with a consortium of financial institutions, focuses on the computational challenges the recent developments in financial mathematics  encompass, in particular risk control in large dimensions.