T
+34 946 567 842
F
+34 946 567 843
E
escalas@bcamath.org
Information of interest
Evidence-based financial mathematics:
The core of contemporary financial mathematics consists of Black-Scholes theory for derivative valuation and of Markowitz method for portfolio selection. In both cases, theoretical assumptions were falsified by empirical analyses.
The problem of finding suitable stochastic models for price fluctuations in financial markets is still open and the object of active research. It can be partially solved by means of interdisciplinary work involving experimental and behavioral economics as well as probability theory and statistics. This is what I plan to do at BCAM, keeping in mind that comparing theory with reality is never a trivial task.