10th European Summer School in Financial Mathematics Dresden, 28 August - 1 September 2017



Dresden. Photo: TU Dresden, Anja Upmeier

TENTH EUROPEAN SUMMER SCHOOL 
IN FINANCIAL MATHEMATICS

"Rough Volatility and Transaction Costs"

  • Lectures by:

  • Jim Gatheral
  • Johannes Muhle-Karbe
  • Mathieu Rosenbaum
  • Walter Schachermayer

Dresden, Institute of Mathematical Stochastics, 28 August - 1 September 2017

An EMS Applied Mathematics school,
funded by TU Dresden's Institutional Strategy

The European Summer School in Financial Mathematics aims at bringing together the most talented young researchers in mathematical finance. The successful applicants will be sponsored for their travel and living expenses during the summer school.

For its tenth anniversary, the European Summer School in Financial Mathematics will be held in Dresden at the Institute of Mathematical Stochastics on the campus of TU Dresden.

The Summer School is centred around four advanced courses related to two main topics:

  • Models for volatility in financial markets based on rough stochastic processes such as fractional Brownian motion

  • Mathematical methods for markets with transaction costs.


Student presentations and discussion sessions will allow participants to engage with each other and discuss their current research.

One of the aims of the Summer School is to encourage active cooperation and collaboration in mathematical finance among European institutions. We very much count on the members of the Scientific Committee for their support in achieving this aim.

This school belongs to the series of the EMS Applied Mathematics schools. We gratefully acknowledge funding by TU Dresden's Institutional Strategy which is part of the Excellence Initiative of the German Federal and State Governments.




ira ems ilb ems
Technische Universität Dresden Förderverein für Mathematik zu Dresden e.V. Institut Louis Bachelier European Mathematical Society


Contact: summerschool2017.math@tu-dresden.de