This research area is for those interested in the mathematical theory of finance as well as practitioners interested in the rigorous treatments of related scientific computational issues.

Upcoming Related Conferences

Upcoming Related Conferences

HAPPENING VIRTUALLY: SIAM Conference on Financial Mathematics and Engineering (FM21)

June 1 - 4, 2021 Originally scheduled in Philadelphia, Pennsylvania, U.S. More Information

By René Aïd , Mike Ludkovski , and Ronnie Sircar
Following the global lockdown in March 2020, the SIAM Activity Group on Financial Mathematics and Engineering launched a virtual seminar ...

By Oleksii Mostovyi SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page 641-671, January 2021. We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading...

By Jillian Kunze
The burden of student loans in the U.S. continues to grow unabatedly, currently accounting for a total of $1.7 trillion in household debt among nearly 45 million borrowers. ...

By Peter Bank and Yan Dolinsky SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page SC-31-SC-43, January 2021. We consider the Bachelier model with information delay where investment decisions can be based only on...

By Hitoshi Ishii and Alexandre Roch SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page 604-640, January 2021. We prove the existence and uniqueness of the viscosity solution of an integro-differential equation (IDE) arising...

By Pieter M. van Staden, Duy-Minh Dang, and Peter A. Forsyth SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page 566-603, January 2021. We compare the distributions of terminal wealth obtained from implementing the optimal investment strategies associated with...

By Paolo Guasoni, Yu-Jui Huang, and Saeed Khalili SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page SC-16-SC-30, January 2021. American student loans are fixed-rate debt contracts that give borrowers the option to repay their balances...

By Stefano De Marco SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page 551-565, January 2021. It is well known that, in the short-maturity limit, the implied volatility approaches the integral harmonic...

By Mehdi El Amrani, Antoine Jacquier, and Claude Martini SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page SC-1-SC-15, January 2021. We develop a dynamic version of the SSVI parameterization for the total implied variance, ensuring that...

Mathematics and statistics play a vital part in everyday life. Mathematical and statistical techniques are used to help solve real-world problems, focusing on topics such as disease spread, ...

By David Edelman and Jonathan Crook
The following is a short reflection from two of the authors of Credit Scoring and Its Applications (Second Edition) , which was published by SIAM in ...

By Simon J. A. Malham, Jiaqi Shen, and Anke Wiese SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 487-549, January 2021. Efficient sampling for the conditional time integrated variance process in the Heston stochastic volatility model is...

By Bastien Baldacci, Dylan Possamaï, and Mathieu Rosenbaum SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 446-486, January 2021. Following the recent literature on make-take fees policies, we consider an exchange wishing to set a...

By Chi Seng Pun SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 410-445, January 2021. This paper proposes a self-calibrated sparse learning approach for estimating a sparse target vector, which is...

By Eduardo Abi Jaber, Enzo Miller, and Huyên Pham SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 369-409, January 2021. This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate...

By Sergey Lototsky and Austin Pollok SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 342-368, January 2021. The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a...

By Fabio Bellini, Pablo Koch-Medina, Cosimo Munari, and Gregor Svindland SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 318-341, January 2021. We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals. Our...

By Oleksii Mostovyi SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page 641-671, January 2021. We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading...

By Peter Bank and Yan Dolinsky SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page SC-31-SC-43, January 2021. We consider the Bachelier model with information delay where investment decisions can be based only on...

By Hitoshi Ishii and Alexandre Roch SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page 604-640, January 2021. We prove the existence and uniqueness of the viscosity solution of an integro-differential equation (IDE) arising...

By Pieter M. van Staden, Duy-Minh Dang, and Peter A. Forsyth SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page 566-603, January 2021. We compare the distributions of terminal wealth obtained from implementing the optimal investment strategies associated with...

By Paolo Guasoni, Yu-Jui Huang, and Saeed Khalili SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page SC-16-SC-30, January 2021. American student loans are fixed-rate debt contracts that give borrowers the option to repay their balances...

By Stefano De Marco SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page 551-565, January 2021. It is well known that, in the short-maturity limit, the implied volatility approaches the integral harmonic...

By Mehdi El Amrani, Antoine Jacquier, and Claude Martini SIAM Journal on Financial Mathematics, Volume 12, Issue 2, Page SC-1-SC-15, January 2021. We develop a dynamic version of the SSVI parameterization for the total implied variance, ensuring that...

By Simon J. A. Malham, Jiaqi Shen, and Anke Wiese SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 487-549, January 2021. Efficient sampling for the conditional time integrated variance process in the Heston stochastic volatility model is...

By Bastien Baldacci, Dylan Possamaï, and Mathieu Rosenbaum SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 446-486, January 2021. Following the recent literature on make-take fees policies, we consider an exchange wishing to set a...

By Chi Seng Pun SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 410-445, January 2021. This paper proposes a self-calibrated sparse learning approach for estimating a sparse target vector, which is...

By Eduardo Abi Jaber, Enzo Miller, and Huyên Pham SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 369-409, January 2021. This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate...

By Sergey Lototsky and Austin Pollok SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 342-368, January 2021. The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a...

By Fabio Bellini, Pablo Koch-Medina, Cosimo Munari, and Gregor Svindland SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 318-341, January 2021. We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals. Our...

By Peter Cotton SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 295-317, January 2021. We provide a fast and scalable numerical algorithm for inferring the distributions of participant scores in...

By Álvaro Cartea and Leandro Sánchez-Betancourt SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 254-294, January 2021. Latency is the time delay between an exchange streaming market data to a trader, the trader...

By Fernanda Cipriano, Nuno F. M. Martins, and Diogo Pereira SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 226-253, January 2021. In this article we study an optimal portfolio problem for an investor with constant relative risk...

By Nicole El Karoui and Mohamed Mrad SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 189-225, January 2021. Decision making under uncertainty is generally considered as the selection of an optimal...

By Stephan Eckstein, Gaoyue Guo, Tongseok Lim, and Jan Obłój SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 158-188, January 2021. We consider robust pricing and hedging for options written on multiple assets given market option prices...

By Lu Lu, Xuhui Meng, Zhiping Mao, and George Em Karniadakis SIAM Review, Volume 63, Issue 1, Page 208-228, January 2021. Deep learning has achieved remarkable success in diverse applications; however, its use in solving partial differential equations (PDEs) has...

By Nicholas A. Battista SIAM Review, Volume 63, Issue 1, Page 181-207, January 2021. While students may find spline interpolation quite digestible based on their familiarity with the continuity of a function and...

By Bengt Fornberg SIAM Review, Volume 63, Issue 1, Page 167-180, January 2021. The trapezoidal rule uses function values at equispaced nodes. It is very accurate for integrals over periodic intervals, but...

By Michelle Feng and Mason A. Porter SIAM Review, Volume 63, Issue 1, Page 67-99, January 2021. A crucial step in the analysis of persistent homology is the transformation of data into an appropriate topological object...

By Juan Kuntz, Philipp Thomas, Guy-Bart Stan, and Mauricio Barahona SIAM Review, Volume 63, Issue 1, Page 3-64, January 2021. Computing the stationary distributions of a continuous-time Markov chain (CTMC) involves solving a set of linear equations. In most...

By Nour Riman, Jonathan D. Victor, Sebastian D. Boie, and Bard Ermentrout SIAM Review, Volume 63, Issue 1, Page 100-120, January 2021. Animals use stereo sampling of odor concentration to localize sources and follow odor trails. We analyze the dynamics of...

By Xavier Allamigeon, Pascal Benchimol, Stéphane Gaubert, and Michael Joswig SIAM Review, Volume 63, Issue 1, Page 123-164, January 2021. Tropical geometry has been recently used to obtain new complexity results in convex optimization and game theory. In this...

By Misha E. Kilmer SIAM Review, Volume 63, Issue 1, Page 65-65, January 2021. We have two Research Spotlights papers in the lineup this issue. The first of these, “Persistent Homology of...

By Darinka Dentcheva SIAM Review, Volume 63, Issue 1, Page 165-166, January 2021. This issue of SIAM Review presents three papers in the Education section. The first paper, “Improving the Accuracy of...

By J. M. Sanz-Serna SIAM Review, Volume 63, Issue 1, Page 1-1, January 2021. The use of probabilistic ideas by applied mathematicians has seen a continued increase in recent decades. Probability now...

By The Editors SIAM Review, Volume 63, Issue 1, Page 121-121, January 2021. The SIGEST article in this issue is “What Tropical Geometry Tells Us about the Complexity of Linear Programming,” by...

By Volker H. Schulz SIAM Review, Volume 63, Issue 1, Page 231-245, January 2021. The section opens with a review well written by a giant in the field of numerical solution of partial...

By Cyril Bénézet, Jean-François Chassagneux, and Christoph Reisinger SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 110-157, January 2021. We consider numerical approximations to the quantile hedging price of a European claim in a nonlinear...

By Ning Ning and Jing Wu SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 79-109, January 2021. In this paper, to cope with the shortage of sufficient theoretical support resulting from the fast-growing...

By Zhou Zhou SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 47-78, January 2021. An investor initially shorts a divisible American option $f$ and dynamically trades stock $S$ to maximize...

By Asaf Cohen and Virginia R. Young SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 29-46, January 2021. We revisit the classical problem of optimal payment of dividends and determine the degree to which...

By Martin Redmann, Christian Bayer, and Pawan Goyal SIAM Journal on Financial Mathematics, Volume 12, Issue 1, Page 1-28, January 2021. We consider high-dimensional asset price models that are reduced in their dimension in order to reduce...

By René Aïd , Mike Ludkovski , and Ronnie Sircar
Following the global lockdown in March 2020, the SIAM Activity Group on Financial Mathematics and Engineering launched a virtual seminar ...

By Jillian Kunze
The burden of student loans in the U.S. continues to grow unabatedly, currently accounting for a total of $1.7 trillion in household debt among nearly 45 million borrowers. ...

Mathematics and statistics play a vital part in everyday life. Mathematical and statistical techniques are used to help solve real-world problems, focusing on topics such as disease spread, ...

By David Edelman and Jonathan Crook
The following is a short reflection from two of the authors of Credit Scoring and Its Applications (Second Edition) , which was published by SIAM in ...

By James Case
The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution. By Gregory Zuckerman. Portfolio/Penguin Random House, New York, NY, November 2019. 384 pages, ...

SIAM is excited to welcome you to the platform for our 2021 virtual conferences. Below is an overview of the features available; note that these will vary slightly depending on the specific ...

The Pioneer Prize is awarded every four years at the International Council for Industrial and Applied Mathematics (ICIAM) Congress to one individual for pioneering work introducing applied mathematical methods and scientific computing techniques to an industrial problem area or a new scientific field of applications. Nominations can be submitted via the ICIAM website.

The prize was established in 1986 in memory of Richard C. DiPrima, who served SIAM for many years and in 1979–1980 as SIAM President. It aims to recognize an early career researcher in applied mathematics and is based on the doctoral dissertation.

This joint prize was established in 2002 to honor Sonia Kovalevsky and her work on the theory of differential equations. It is awarded to anyone in the scientific or engineering community whose work highlights the achievements of women in applied and computational mathematics. Nominations can be submitted via the AWM website.

This prize was created in 2013 to emphasize George Pólya’s legacy of communicating mathematics effectively. It joins two long-standing Pólya prizes SIAM has awarded in combinatorics and other fields beginning in 1969.

Through the generosity and inspiration of Gerald and Judith Porter, the Mathematical Association of America (MAA), American Mathematical Society (AMS), and SIAM offer this annual lecture at the Joint Mathematics Meetings. The lecture, first awarded in 2010, is given on a mathematical topic accessible to the broader community.

Named in honor of I. E. Block, a co-founder and the first managing director of SIAM, this lecture is open to the public at the SIAM Annual Meeting. It is intended to encourage public appreciation of applied mathematics and computational science by reaching out to the local community.

Established in 1959, the prize honors John von Neumann, a founder of modern computing. The prize is awarded annually for distinguished contributions to applied mathematics and for the effective communication of these ideas to the community.

The JPBM Communications Award is given annually to reward and encourage communicators who, on a sustained basis, bring mathematical ideas and information to non-mathematical audiences. The prize may be awarded in two categories: For Public Outreach and For Expository and Popular Books. Nominations can be submitted via the AMS website.

Established in 1998 in memory of Ralph E. Kleinman, the prize recognizes contributions that bridge the gap between high-level mathematics and engineering problems. The award is based on the quality and impact of the mathematics.

The prize recognizes outstanding research presented by students or postdocs at the SIAM Conference on Financial Mathematics and Engineering. Finalists are selected before the conference, and one or two winners are selected and awarded at the conference, based on the delivery of the paper.

Established in 2010, the prize is awarded to an individual in their early career for research contributions to the mathematical modeling of financial markets, based on publications in peer-reviewed journals.

The prize recognizes students for outstanding solutions to real world math problems. It is awarded to two of the teams judged "Outstanding" in the Mathematical Contest in Modeling (MCM) administered annually by the Consortium for Mathematics and Its Applications (COMAP). Registration is accepted via the COMAP website.

The SIAM Outstanding Paper Prize is not currently active. For the 20 years before it was discontinued in 2019, the SIAM Outstanding Paper Prizes brought attention to papers published in SIAM journals. Three awards were made each year to the authors of papers deemed by SIAM journal editors-in-chief worthy of particular attention.

The prize, established in 1985 and originally intended to be awarded periodically, is now awarded annually for contributions to the advancement of applied mathematics on the national or international level.

The SIAM Student Paper Prize is awarded annually to the student author(s) of the most outstanding paper(s) accepted by SIAM journals within the three years preceding the nomination deadline. Starting with the 2018 award, the focus of the prize is to recognize outstanding scholarship by students in SIAM journals.

This activity group focuses on research and practice in financial mathematics, computation, and engineering. Its goals are to foster collaborations among mathematical scientists, statisticians, computer scientists, computational scientists, and researchers and practitioners in finance and economics, and to foster collaborations in the use of mathematical and computational tools in quantitative finance in the public and private sector. The activity group promotes and facilitates the development of financial mathematics and engineering as an academic discipline.

SIAM Journal on Financial Mathematics (SIFIN) addresses both theoretical developments and computational challenges in financial mathematics. This journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation.

Multiscale Modeling & Simulation
SIAM J. on Applied Algebra and Geometry
SIAM J. on Applied Dynamical Systems
SIAM J. on Applied Mathematics
SIAM J. on Computing
SIAM J. on Control and Optimization
SIAM J. on Discrete Mathematics
SIAM J. on Financial Mathematics
SIAM J. on Imaging Sciences
SIAM J. on Mathematical Analysis
SIAM J. on Matrix Analysis and Applications
SIAM J. on Numerical Analysis
SIAM J. on Optimization
SIAM J. on Scientific Computing
SIAM/ASA J. on Uncertainty Quantification
SIAM Review
Theory of Probability & Its Applications

General Opportunities

We know it can be overwhelming to keep track of career opportunities that may be relevant to you as a member of the SIAM community. So, we’ve compiled lists of some of our favorite fellowship, internship, and research opportunities. Check ‘em out!

Fellowships

Looking for financial support to further your research? Fellowships often provide funding plus experiential learning opportunities to young researchers. Learn more about fellowship opportunities.

Internships allow you to network and forge connections for future job possibilities, while also exploring possible areas of interest. Look at this list of companies who offer valuable opportunities.

Our community is founded on igniting groundbreaking developments in applied math and computational science. Take a deeper dive into your area of study with one of these opportunities.