Agnes Sulem Project 97-03 Mathematical Finance Lyapunov Institute INRIA questions

July 23, 2014

Questions for Agnes Sulem who was a co-head of project 97-03 Mathematical Finance of the Lyapunov Institute a joint project of INRIA France and Moscow State University.

Reports for years 2000 to 2006 are missing.

Starting from 2007 they are present.

Were prior years ones with the collaboration with Albert Shiryaev and Moscow State University and Steklov Institute?

Were these reports given under the Liaupunov Institute?

Project 97-03. Financial Mathematics


Prof. A.N. Shiryaev
Faculty of Mech. and Math., Moscow State University
Main Building, MSU, Vorobjevy Gory, 119992 Moscow, Russia
Tel: 7 (095) 939-14-03
Fax: 7 (095) 939-14-03

Prof. A. Sulem
INRIA, Domaine de Voluceau-Rocquencourt
BP 105, 78153 Le Chesnay Cedex, France
Tel: (33) 1-39-63-55-69
Fax: (33) 1-39-63-57-86

The appearance of increasingly complex financial products requires the use of advanced techniques in the stochastic and numerical analyses that poses challenging problems for mathematicians. In this connection, the efforts of the French-Russian research team are focused on the following subjects: modeling of the price of assets by random processes; the stochastic control; dynamic portfolio optimization on incomplete markets; approximate hedging of derivative products and calibration of financial assets.

All traces of this project appear to be gone.

“Project 97-03” “Financial Mathematics”


Because the Russians were using it for spying and kompromat? The French government realized this sometime in the mid 2000s decade? Then shut it down? The Mathrisk project under Agnes Sulem alone then picked up in 2007 with no reference to the prior version of the project?

Albert Shiryaev was in Zurich sometime in 1997 to 1999 in association with Freddy Delbaen of the ETH.

Albert Shiryaev

Friday, February 5, 1999, 15.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
Albert N. Shiryaev (Steklov Mathematical Institute, Moscow)
An extension of the distributional Paul Lévy theorem with applications to the behaviour of financial prices

(Seminar for Financial and Insurance Mathematics, ETHZ)

This page at INRIA was not removed.

Why is math finance so carefully removed but this is not? Because math finance is where the spying was?

Compare this

adresse : Institut franco-russe A.M.Liapunov, Université de Moscou, Bâtiment E, Vorobyevie Gory, 119899 Moscou, Russie
téléphone +7 095 932 89 53, fax +7 095 932 89 52
Directeur russe : Alexandr Borissovitch Ugolnikov,
Directeur français : Pierre Népomiastchy, Relations Internationales de l’INRIA,
téléphone +33 1 39 63 56 46, fax +33 1 39 63 50 80,

Liste des projets de l’Institut franco-russe A.M.Liapunov
(mise à jour juillet 2002)
AS = Académie des Sciences de Russie

Mathématiques financières
SULEM Agnès (INRIA-Rocquencourt) SHIRYAEV Albert (Faculté de Méca & Maths, Université de Moscou)

Or the following for 2001/2002

Institut franco-russe A.M.Liapunov d’informatique et de mathématiques appliquées
Rapports scientifiques des projets pour l’année scolaire 2001/2002

Mathématiques financières

Project Participants

On the Russian Side:
1. A.N. Shiryaev – Project Leader; Professor, Moscow State University
2. O.V. Bogoslavsky – Student, Moscow State University
3. A.V. Bulinski – Professor, Moscow State University
4. A.S. Cherny – Senior Lecturer, Moscow State University
5. N.G. Khimtchenko – Scientific Secretary of the Department of Probability Theory, Moscow State University
6. Yu.A. Kuznetsov – Ph.D. student, Moscow State University
7. S.N. Lobanov – Student, Moscow State University
8. M.L. Nechaev – Research Assistant, Steklov Mathematical Institute
9. V.N. Tutubalin – Professor, Moscow State University
10. M.A. Urusov – Research Assistant, Moscow State University

On the French Side:
1. A. Sulem – Project Leader; Research Director, INRIA
2. S. Aspandiarov – Senior Lecturer, University Paris-V
3. V. Bally – Professor, Universities de Maine and INRIA
4. J. Jacod – Professor, University Paris-VI
5. M. Jeanblanc – Professor, University d’Evry-Val d’Essone
6. D. Lamberton – Professor, University de Marne la Vallee
7. B. Lapeyre – CERMICS, ENPC
8. D. Lefevre – Doctorant, INRIA
9. F. Legland – Research Director, INRIA Rennes
10. P. Malliavin – Academy of Sciences,
11. M. Mnif – Doctorant, INRIA and University Paris-VII
12. M. Yor – Professor, University Paris-VI

The main results

1) A.N. Shiryaev and A.S. Cherny investigated the relationship between thefollowing classes of processes that are important in the mathematicalfinance: a martingale with independent increments, a local martingale withindependent increments, a sigma-martingale with independent increments(see the paper by A.N. Shiryaev and A.S. Cherny “Vector stochasticintegrals and the fundamental theorems of asset pricing”).

2) A.N. Shiryaev and J. Kallsen have obtained rather general resultsconcerning the structure of the Esscher transform to be applied to the construction of the martingale measures (see the paper by J. Kallsen and A.N. Shiryaev “The cumulant processes and Esscher’s change of measure”).

3) A.N. Shiryaev and G. Peskir solved the problem of the quickestdetection of the “disorder” for Poisson processes (see the paper by G. Peskir and A.N. Shiryaev “Solving the Poisson disorder problem”).

4) A.N. Shiryaev and A. Sulem investigated the price structure and the optimal strategies in the barrier version of the Russian option(see the paper by L. Shepp, A.N. Shiryaev and A.Sulem “A barrier version of the Russian option”).

5) A.N. Shiryaev, M. Yor and A.S. Cherny investigated the limit behaviourof a “horizontal-vertical” random walk on a plane (see the paper byA.S. Cherny, A.N. Shiryaev and M. Yor “Limit behaviour of the horizontal-vertical random walk and some extensions of the Donsker-Prokhorov invariance principle”). This subject has arisen from the problems in the control theory, where one needs to gain the optimal strategy by changing the portfolio of securities (switching the markets).

6) A.N. Shiryaev and M. Yor have developed a new method for obtaining the stochastic integral representations of maxima and partial maxima of a Brownian motion. This is intended for the technical analysis. Similar investigations have been started for Levy processes.

7) A.A. Gushchin has developed a new method for obtaining the upper and thelower option prices. The method is based on the theory of the “statistical experiments”. This makes it possible to get, in effect, all the known particular cases (see the paper by A.A. Gushchin and E. Mordecki “Boundsfor option prices in the semimartingale market models”).

8) D. Lefevre studied the maximization of the utility function with the incomplete data (see the paper by D. Lefevre “An introduction to utility maximization with partial observation”).

9) V.N. Tutubalin compared the theoretical results of the mathematical finance with the methods that are used in the actual trading (see the paper by V.N. Tutubalin “Comparison of some models and results of the stochastic finance with the real financial data”).

10) M.A. Urusov has obtained the results dealing with the “technical analysis”of the financial index dynamics. In particular, he has found suboptimal stopping times that are the closest (in some metric) to the time when a Brownian motion attains its maximum (see the paper by M.A. Urusov “On theoptimal prediction of the time when a Brownian motion attains its maximum”).

Recent Publications

1) A.S. Cherny, A.N. Shiryaev, M. Yor.Limit behaviour of the “horizontal-vertical” random walk and some extensionsof the Donsker-Prokhorov invariance principle.//To be published in the Theory of Probability and Its Applications, 2002. A short version of the paper was published as a preprint in Laboratoire de Probabilités & Modèles Aléatoires, 676, 2001.

2) A.A. Gushchin, E. Mordecki. Bounds for option prices in the semimartingale market models.//Proceedings of the Steklov Mathematical Institute, 237 (2002).

3) J. Kallsen, A.N. Shiryaev. The cumulant processes and Esscher’s change of measure.//To be published in Mathematical Finance, 2002.

4) D. Lefevre. An introduction to utility maximization with partial observation.//Rapport INRIA, 2001.

5) G. Peskir, A.N. Shiryaev. Solving the Poisson disorder problem.//Advances in Finance and Stochastics. Essays in honour of DieterSondermann. Springer, 2002, p. 295-312.

6) L. Shepp, A.N. Shiryaev, A. Sulem. A barrier version of the Russian option.//Advances in Finance and Stochastics. Essays in honour of DieterSondermann. Springer, 2002, p. 271-284.

7) A.N. Shiryaev. Quickest detection problems in the technical analysis of the financial data.//Proceedings of the First International Congress of the Bachelier Finance Society. Springer, 2001.

8) A.N. Shiryaev, A.S. Cherny. Vector stochastic integrals and the fundamental theorems of asset pricing.//Transactions of the French-Russian A.M. Liapunov Institute, 2001, p. 5-37.

9) V.N. Tutubalin. Comparison of some models and results of the stochastic finance with the realfinancial data.//Proceedings of the Steklov Mathematical Institute, 237 (2002).

10) M.A. Urusov. On the optimal prediction of the time when a Brownian motion attains itsmaximum.//Russian Mathematical Surveys, 57 (2002), No. 1, p. 165-166.

So what happened to Project 97-03 Mathematical Finance of the French Russian A. M. Liapunov Institute? Why did this disappear? When? Who decided it? For what purpose?

This is draft and preliminary. The above is hypotheses and speculation. Comments and corrections welcome. Please restate as questions. All other disclaimers apply.


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