DAAD funds research project between Wuppertal and Le Mans (F)

20.11.2023|14:28 Uhr

The German Academic Exchange Service (DAAD) is supporting a project by IMACM member Thomas Kruse in 2024 and 2025 as part of its project-related exchange of persons programme with France (PROCOPE). The project partner in France is Alexandre Popier's group at the Laboratoire Manceau de Mathématiques at the University of Le Mans. The project funding is intended in particular to strengthen the scientific exchange between the two research institutions and to give young scientists the opportunity to gain international research experience through research stays at the partner institution.

The funded project addresses the development of risk management strategies in illiquid financial markets. In particular, the effects of stochastic liquidity on strategies for optimal trade execution will be analysed and the associated price risks quantified. In this context, so-called Backward Stochastic Differential Equations (BSDEs) have proven to be a powerful mathematical tool. As part of the project, the equations that arise are checked for well-posedness and efficient numerical methods are developed to approximate their solutions.