The Institute of Advanced Studies will assign the second ISA Medal for Science for 2008 to Peter Carr, Hélyette Geman, Dilip Madan, Marc Yor.
On the proposal of the Department of Mathematics for the Economic and Social Sciences "MatemateS" and of several other professors of the University of Bologna, the Council of the Institute of Advanced Studies has fully endorsed the nomination of creators of the mathematic model CGMY (Peter Carr, Héliette Geman, Dilip Madan, Marc Yor) for the ISA Medal for Science 2008.
The ISA Medal for Science is the highest honour awarded by the Institute "in recognition of research contributions characterized by both excellence and influence".
In the occasion of the award ceremony, the Professors will deliver a general lecture on their studies to the Institute Fellows, to the students of our Collegio Superiore and Professors and students of the University of Bologna.
The Ceremony is open to the public.
The Model CGMY
The research carried out by Peter Carr, Hélyette Geman, Dilip Madan and Marc Yor has represented a revolutionary step in the analysis of the dynamics of financial asset prices. They proposed a general framework encompassing jump processes both with finite and infinite activity besides diffusion processes. The new approach has enabled to address both the long standing problem of non-normality of returns and the issue of discontinuity of prices. At the beginning of the XXI century the CGMY model represents the model of asset price dynamics destined to substitute the diffusive processes that reigned throughout most of last century.
Department of Mathematics for Economic and Social Sciences "MatemateS" Website