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Areas of Study and Research |
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Tuesday, 04 October 2005 |
Each graduate program is formulated to prepare the student for research and teaching. The aim is to provide a strong disciplinary background, coupled with significant competence in some area of application. The emphasis is on the conceptual foundations, mathematical models of real phenomena, and computational issues in practical problem solving.
Current teaching and research activities include probability and stochastic processes, linear and nonlinear optimization, optimal stochastic control, dynamic and stochastic programming, stochastic differential equations and stochastic flows, statistics and calibration of stochastic models, statistical signal and image analysis, trajectory optimization, dynamic resource management, transportation and equilibrium analysis. A particular area of interest is financial engineering: stochastic calculus for finance, models of stochastic volatility and insider information, statistical and computational aspects of finance, risk analysis and management.
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