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The influence of economic research on financial mathematics: Evidence from the last 25 years

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Abstract

This is an attempt to review some of the breakthroughs in economic research as they impacted the nascent field of financial mathematics over the last 25 years. Because of the prominent role of Finance and Stochastics in the definition of this emerging field, I try to view things through the lens of its published papers, and I try to stay away from financial engineering applications.

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Notes

  1. Throughout the paper, we use the short terminology Nobel prize in economics even though we should say The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel.

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Acknowledgements

I want to personally thank Martin Schweizer for inviting me to contribute to this special issue, for accepting to let me write an opinion piece instead of a scientific review paper, and for patiently helping me turn my unstructured notes into a readable outcome.

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Authors and Affiliations

  1. Department of Operations Research & Financial Engineering, Bendheim Center for Finance, Program in Applied & Computational Mathematics, Princeton University, Princeton, NJ, 08544, USA

    René Carmona

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  1. René Carmona
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Appendices

Appendix A: List of Nobel laureates

Table 1 gives the recipients of the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, an award which is abusively known as the Nobel in economics. We marked with an asterix those individuals cited in the text.

Table 1 Nobel Prize Laureates
Full size table

Appendix B: CME-MSRI prize medalists

Table 2 lists the recipients of the CME Group–MSRI Prize in Innovative Quantitative Applications. This medal is awarded to an individual or a group to recognise originality and innovation in the use of mathematical, statistical or computational methods for the study of the behaviour of markets, and more broadly of economics. As in the case of the Nobel prize, an asterisk identifies those individuals who are cited in the text. Since official citations were not available, in lieu of official reason for the award, I suggested a few words describing some of the reasons these academics are known in the financial mathematics community.

Table 2 CME-MSRI Prize
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Carmona, R. The influence of economic research on financial mathematics: Evidence from the last 25 years. Finance Stoch 26, 85–101 (2022). https://doi.org/10.1007/s00780-021-00469-0

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