A New International Laboratory at the HSE

An International Laboratory of Quantitative Finance will open at the HSE, as part of a competition aimed at attracting leading scientists to Russian universities. It will be headed by one of the leading international experts in stochastic analysis and financial mathematics, Professor Yury Kabanov. Yury Kabanov, graduate of the Lomonosov Moscow State University Department of Mechanics and Mathematics, member of the prestigious European Academy (which includes only five mathematicians from Russia), founder of the international journal Finance and Stochastic, and Professor of mathematics at the University of Besancon, France, spoke to the HSE News Service.

Yury Kabanov

On April 22, 2013, the Grant Council under the RF Government headed by Dmitry Livanov, Minister of Education and Science, announced the winners of the third grant competition aimed at attracting leading international academics to Russian universities and research centers. The project to create an International Laboratory of Quantitative Finance headed by professor Yury Kabanov was one of the winners. 

As Professor Kabanov said in his interview to the HSE News Service, he held the first meetings with potential staff of the international laboratory at the end of May, including students and young researchers from the HSE who are interested in working in quantitative (mathematical) finance. The Laboratory will carry out purely theoretical studies as well as studies focused on those industries and businesses with a high demand for mathematical models.

The name ‘Laboratory of Quantitative Finance’, according to Yury Kabanov, has something in common with the name of the largest centre in this field, The Oxford-Man Institute of Quantitative Finance. Quantitative Finance is, primarily, a mathematical theory, also sometimes called financial mathematics. It is based on stochastic analysis – the theory of random processes and stochastic integration.

Just as ‘ordinary mathematics’ is the basis for applied engineering disciplines, financial mathematics, which involves refined mathematical concepts, is a basis for financial engineering. This is an applied area aimed at constructing and evaluating financial tools, risk evaluation, investment optimization, and other practical tasks.

According to Yury Kabanov, creating the Laboratory of Quantitative Finance at the Higher School of Economics will help consolidate and improve Russia’s position in this important area of applied mathematics and train staff able to carry out theoretical studies combined with practical, expert and consultation work.

Liudmila Mezentseva, HSE News Service

Authors: Yuri Kabanov, Liudmila V. Mezentseva, June 13, 2013