After the Summer School, no More Questions about Why Learn Mathematical Finance

The HSE International Laboratory of Quantitative Finance (ILQF) ran a near St. Petersburg. The lecturers were leading international academics and representatives of major investment funds, one of which opened its own representation in the laboratory.

Summer schools on mathematical finance are organised regularly in the best universities around the world but this was a first for Russian universities. The head of research at the ILQF Yuri Kabanov said that their main aim is to show young mathematicians those areas of the discipline which could be called “mathematics without compromises”.

Those who don’t have much to do with mathematical finance often muddle it up with financial engineering and there is an opinion among students that if it is mathematics then it is of a rather inferior sort.

Yuri Kabanov
Academic Supervisor at ILQF

The best lecturers on Quantitative Finance were invited to the summer school. Freddy Delbaen (Eidgenossische Technische Hochschule, Zurich), Dmitry Kramkov (Carnegie Mellon University, Pittsburg), Peter Tankov (Université Paris-7). At the same time there was an international conference at Pushkino on Stochastic Calculus, Martingales and Financial Modeling. Some of the speakers at the conference dropped in to the summer school and the students got to meet one of the leading academics on the theory of probability and mathematical finance, RAS Academician Albert Shiryaev and Professor Kostas Kardaras from the LSE.

“Those who don’t have much to do with mathematical finance often muddle it up with financial engineering and there is an opinion among students that if it is mathematics then it is of a rather inferior sort,” says Professor Kabanov. “To overcome this misconception we chose topics which would demonstrate just how short a distance it is from elementary modelling to deep conceptual results.”

25 of the 100 students at the school had won grants to cover their expenses including accommodation. There were students from the top Russian universities and several young researchers among them Daniel Schwartz from Carnegie Mellon University, and Tsiatu Tsaiya from University Paris-7.

The lectures were open to any St Petersburg students interested in mathematical finance.

There were four courses on the summer school programme: Mathematics behind risk measures (taught by Freddy Delbaen), Arbitrage theory for markets with transaction costs (Yuri Kabanov), Arbitrage-free pricing, optimal investment, and equilibrium (Dmitry Kramkov), Jump processes in risk management (Peter Tankov). Each day was divided into four teaching sessions but the discussions continued long into the evenings.

“Thanks to the opportunity to talk to the professors outside class every day I have now got a pretty good idea of the state of mathematical finance in the world, possible areas for research and work in leading laboratories,” says MSU mechanical maths aspirant (PhD equivalent graduate student), Yulia Gusak. “After several walks around The Catherine Park in the company of teachers, I’m convinced I want a career in academic research and I am keen to get down to work on my dissertation”

London’s FM Investment Management has opened a representation at the HSE’s ILQF and will fund three aspirantura (PhD equivalent) students annually and give them an internship at their office in the laboratory.

FM Management and one of the world’s largest quantitative hedge funds, WorldQuant both gave  presentations at the school. WorldQuant recently opened an office in St Petersburg and expressed an interest in attracting specialists with a strong mathematical education and knowledge of finance.

 

Professor Dmitry Kramkov, Carnegie Mellon University

— I taught similar courses on mathematical finance at summer schools in Oxford and Mumbai, but the school at Pushkino was different because of the participants. Class work is about connecting with your students so who they are is really important. 

The worse thing when you are giving a lecture is when students are closed and indifferent. Here it was the opposite, the students approached me to ask questions, and not just at the end of the lecture but all day long. It was similar in Mumbai - there we had meals together which made it easier to get to know the students. At Pushkino, the organisers went a step further and put us all in one hotel so we came across one another outside classes and that created a feeling of total immersion in the educational process.

It was also good that young academics like my postdoc student at Carnegie Mellon, Daniel Schwartz joined us. It think it is helpful for the students to have contact with young academics who have just defended their dissertations. They can be easier for students to talk to and can explain how academia works.  

— What do you see as the main differences between university courses and summer schools?

— Summer schools are about learning a little about everything. Students can discover new areas of knowledge, get a picture that they couldn’t buy for love or money. From the point of view of mathematics, summer courses can go into the details of a thing in a way that university doesn’t allow. 

— The students said that you have a way of grabbing your audience and that you have unusual office hours...

— I like to run in the morning and wherever I go in the world, I always take my trainers. The run gives me a burst of energy that lasts all day, so I say office hours at 6.30 am, and we meet in the hall. Where else can you talk to your professor while running though Catherine Park? And during classes, when I was lecturing and I looked at one of the organisers, Nastya Cherkashina who is always smiling and that put me in a good mood every time.

— How did you feel when the school was over? What are you plans now?

— At the end of the course I felt like I used to at the end of pioneer camp - a little bit sad. The summer school at Pushkino was a rare coming together of circumstances, it was a truly remarkable event. Now I feel like grabbing a pen and paper and working on some mathematics. Often in daily life we wonder why, but this summer school made it absolutely clear. I saw that there are lots of other ‘crazy’ people like me. Next week I’ll be in Moscow and I already have lots of plans for research.

 

Mikhail Savostyanov, for the HSE News Website

Photos by Margarita Kabanova