Preface to the special issue Mathematics in Finance

Abstract

The special issue Mathematics in Finance (published in two parts, volume 1 and 2, May and June 2012) originates with the international conference Mathematics in Finance held at the Berg-en-Dal camp of the Kruger National Park in South Africa, 21–26 August, 2011. The event is held triennially and this meeting was the fourth of its kind. All four conferences have been sponsored by Rand Merchant Bank and the Standard Bank of South Africa Ltd. The venue is very beautiful and highly conducive to a relaxed and informal atmosphere in which discussion can take place. It was clear from the response of the participants that the occasion was a great success. A very broad range of papers in financial, risk and insurance mathematics were presented. Invited papers were offered by Lane Hughston (University College London), Bernt Oksendal (University of Oslo), Martin Schweizer (ETH Zurich), William Shaw (University College London), Hans Follmer (Humboldt University), Matheus Grasselli (McMaster University), Andrea Consiglio (Universita’ degli Studi di Palermo), Dorje Brody (Brunel University) and Walter Schachermayer (University of Vienna). Although the conference name may seem somewhat limiting, in fact it encompasses an array of research efforts in finance and economics, and the papers presented during the conference were testimony to this. It is important to bear in mind the significance that novel mathematical results, ideas and techniques have on the analysis and development of financial markets. This gathering brings together research academics and practitioners from all areas of financial economics and quantitative finance, and in this manner strengthens and informs the links between academia and the financial industry. The special issue is the result of a commitment to these principles on the part of the journal Mathematics and Financial Economics and its Editor-in-chief Ivar Ekeland. The high quality of the papers in the special edition is further confirmation of the standard of the conference and we thank the panel of editors and especially the authors for their contribution. All papers have undergone the standard anonymous refereeing process of Mathematics and Financial Economics.