FPS -- Finance: Probability and Statistics

 

About FPS
English (USA)

Traditionally research in probability theory has been driven by questions arising from statistics, and from the sciences: from physics and electrical engineering, to chemistry and biology. In more recent times microbiology has played an important role in the stimulation of probabilistic research. This has led to the development of a rich and useful theory, but if one adds research stemming from economics, the very nature of the subject changes, since the questions asked are often unrelated to questions arising from the sciences. The most important area in economics for its impact on probability theory is mathematical finance. Begun by the foundational work of Louis Bachelier in 1900, it began to develop more rapidly with its rediscovery by L. J. Savage and Paul Samuelson in the 1950s. The key breakthrough was the development of the Black-Scholes-Merton theory in the early 1970s, and since then the progress has been extraordinary, and has had a huge impact within society, easing the path of investment through the effective transfer of risk for a price. This impact has been reflected by intense student interest, a phenomenon experienced by many mathematics and statistics departments across the country. The first research journal devoted exclusively for this sub discipline (Mathematical Finance) was created in 1980, and the number of similar research journals has now grown to over 20 titles. Due to this interest, the IMS has recently formed a special interest group, and this meeting will be the first held under its auspices, where leading scholars will speak on the recent developments and trends of the theory: the state of the present, and where it is headed in the future.

Statistical modeling has played a fundamental role in quantitative finance, as exemplified by the mean-variance portfolio optimization theory, the Capital Asset Pricing Model, the conditional heteroskedastic models of asset returns, and the cointegrated vector autoregressive models of the Nobel laureates Markowitz, Sharpe, Engle, and Granger. In the past decade, statistical trading strategies and statistical methods in risk management have spurred increasing interest in the applications and the development of innovative statistical methods in finance.

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