Much of the research presented fell naturally into broad themes, such as illiquid markets, transaction costs (TC), incomplete information, credit risk, and analysis of risk preferences. Talks on the same theme were often grouped together. Many delegates commented that they liked this format. The common theme was the extension of classical models of financial markets to incorporate one or more realistic and important market imperfections. The practical importance of such research is that it is essential to understanding how market failures can arise, and how to deal with the resulting risks.
The aims of the meeting were to build on the successes of the Developments in Quantitative Finance programme at the Isaac Newton Institute for Mathematical Sciences by inviting some of the participants of that programme to reconvene, to further the advances and achievements of that programme and to describe more recent progress.
