Financial models of the future
Dr Ivan Guo’s research lies predominantly in the areas of stochastic control and financial mathematics. In this interview, he reflects on his SMRI visit and explains the models behind financial mathematics. He describes how transport theory applies to quantitative finance (as well as logistics and astronomy), how financial models are tested and debunks some misunderstandings about his field.
Ivan Guo is a senior lecturer in the School of Mathematics at Monash University, where he is based at the Centre for Quantitative Finance and Investment Strategies. For more about optimal transport theory, Ivan’s research featured in this recent Risk.net article “What quant finance can learn from a 240-year-old problem“.
Ivan visited SMRI from 7–25 February 2022, during which time he gave a SMRI Seminar on his research:
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