MathConsult participates in the project “ROMSOC” within the Marie-Sklodowska-Curie action funded by the European Union. Onkar Jadhav, who joined us in Nov. 2018, will work on a European Industrial Doctorate on Reduced Order Models for Financial Risk Analysis (subproject Nr. 6 of ROMSOC, joint project between TU Berlin and MathConsult).
In the risk analysis of financial instruments (or portfolios of them), one key task is to calculate future returns and the possible risk under a wide range of scenarios. In extreme cases, this may require the calculation of millions of scenarios, calibrate financial models from these scenarios, and solve a stochastic or partial differential equation for each of the calibrated models.
Developing reduced order models is a key technology in obtaining competitive solutions.