Abstract

This paper is intended to be a survey of the development of financial mathematics as seen through the events that I organised, and partly co-organised, between 1992 and 2008. These events all took place in Italy between 1992 and 2003, while in 2008 I was involved in the organisation of an entire special semester in Linz (Austria); this semester is included here because it marks quite well the state-of-the-art of the period just before the so-called big financial crisis that lasted from, roughly, 2008 to 2012. Even if the survey may be affected by my personal views, it can still be seen as reflecting the actual global development since what I am going to describe here concerns major occurrences. For completeness, I also mention, although only briefly, some events that took place in Italy during the given period, but where I was not personally involved.

Highlights

  • The development of a scientific field can best be seen from the output of scientific work, and this depends on the availability of scientific journals to disseminate it properly

  • 4.2.2 The first CIME School in 1996. This took place from July 8 to 13, 1996. It was suggested by Arrigo Cellina, an analyst who was a member of the CIME scientific committee, and originally I was supposed to co-organise it with Ivar Ekeland who could not continue his commitment with the School because of a major governmental appointment; it was Jean-Michel Lasry who helped me with the invitations, in particular for what concerns the French participation

  • The period of reference of this survey, namely between 1992 and 2008, is when I was active in the organisation of events in financial mathematics, of which I have considered here the major ones

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Summary

Introduction

The development of a scientific field can best be seen from the output of scientific work, and this depends on the availability of scientific journals to disseminate it properly. 2, I should like to take the opportunity to mention less known facts concerning some connections with Italy of the scientific society/network AMaMeF that started in Italy in 2005, as well as of the journal Finance and Stochastics itself, for which some preliminary initiatives took place in Italy before its actual launching in 1996. Since the activities took place in a relatively distant past, I could not always recover sufficient material to work out a full scientific review In those cases, I shall at least mention the topics/titles of the various presentations as they still give some indication on what was going on. The bibliography at the end is not intended to be exhaustive to this survey, but as it stands, it is included for convenience of presentation

Supporting scientific institutions and further comments
A comment relating to the journal Finance and Stochastics
The conferences
The place and some anecdotes
The conference in general
Trento
The Special Semester in Linz
The Semester in general
The thematic workshops
Schools in Cortona
The first CIME School in 1996
The second CIME School in 2003
Workshops in Quantitative Finance
Spring Schools in Bologna
Further activities
Concluding remarks
How things originated
On the topics
Modelling of price evolution
Pricing and hedging contingent claims
Portfolio optimisation
Modelling
Analytical tools
Optimisation
Full Text
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