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BCAMSevero Ochoa Award

basque center for applied mathematics

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Scalas, Enrico

External Scientific Member

Statistical Physics

Alameda de Mazarredo, 14. 48009 Bilbao Basque Country - Spain


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.

Eusko Jaurlaritza - Gobierno Vasco ikerbasque - Basque Foundation for Science Bizkaia xede. Bizkaiko Foru Aldundia innobasque - Agencia vasca de la innovación Universidad del PaÌs Vasco (UPV/EHU)