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3rd International Summer School started its work

On Sunday, August 21, the opening ceremony of the annual summer school in financial mathematics for senior students took place in the Kochubey training center (Pushkin, St. Petersburg). The event is held by the Vega Institute Foundation. Leading Russian and foreign experts are invited to the school as lecturers. 40 participants from 6 cities of Russia have arrived to the school.

At the opening, Kirill Y. Klimov, Chief Executive Officer of the Foundation, Yury M. Kabanov, Scientific Director of the Foundation, Deputy Chief Executive Officer of the Foundation Marianna N. Prutovykh, and one of the invited lecturers, professor of the Moscow State University 'M. V. Lomonosov', Stanislav V. Shaposhnikov, delivered a welcoming speech.

Already in the first hours of the school, the participants had the opportunity to prove themselves in teams during an intellectual game, and in the evening, sitting on the lawn, in cozy lighting, tell about themselves and share their scientific interests.

During the week, from August 22 to 27, the participants will study complex interesting topics from financial mathematics under the guidance of lecturers of the school:

  • Miryana Grigorova (University of Warwick): Non-linear Dynkin games with applications to pricing, hedging and risk management;
  • Mikhail Zhitlukhin (V. A. Steklov Mathematical Institute RAS): Fast computations in Python with applications in financial mathematics;
  • Vasily Kolokoltsov (Moscow State University 'M. V. Lomonosov', Professor Emeritus of the University of Warwick): Introduction to the duality of Markov processes with applications in finance and actuarial science;
  • Stanislav Shaposhnikov (Moscow State University 'M. V. Lomonosov'): Superposition principle for probabilistic solutions of the Fokker-Planck-Kolmogorov equation.

The special guest of the school Academician of the Russian Academy of Sciences, Doctor of Physical and Mathematical Sciences, Honored Professor of the Moscow State University 'M. V. Lomonosov', head of the Department of Probability Theory Albert N. Shiryaev will give several lectures on the topic "Brownian motion and the Wiener measure".

After the lecture hours, the participants work together under the lectures material, discussing parts that tricky to understand.

An extensive cultural program is also planned after lecture hours.