Research

Financial Mathematics Server
financial mathematics

Financial mathematics concerns mathematical models and problems arising in financial markets and applies tools from probability, optimization, stochastic analysis and statistics. Specific areas of research include risk management, pricing and hedging in incomplete markets, stochastic volatility models, markets with transaction costs, energy markets, credit risk, portfolio optimization, utility indifference valuation, and stochastic differential games.

Faculty Research Interests

  • René Carmona
    stochastic analysis (SPDEs, BSDEs, FBSDEs, stochastic control and stochastic differential games), financial mathematics (models for the equity, fixed income and credit markets, commodity, energy and emission markets), environmental finance
  • Patrick Cheridito
    security pricing, stochastic processes, stochastic modeling, mathematical finance, risk analysis
  • Jianqing Fan
    financial econometrics, risk management, bioinformatics, data-analytic modeling, nonlinear time series, analysis of longitudinal data, model selection, nonparametric inference, wavelets, survival analysis, generalized linear models, mathematical statistics, computational biology, statistics theory and methods
  • John Mulvey
    financial optimization models and associated algorithms, asset management strategies for global pension plans, (re)insurance companies, and other long-term investors, dynamic portfolio tactics for hedge funds, replicating performance of active managers
  • Birgit Rudloff
    financial management and risk analysis, hedging in incomplete markets, convex and coherent risk measures, convex analysis, mathematical finance, risk management
  • Ronnie Sircar
    financial mathematics, stochastic volatility models, credit risk, asymptotic and computational methods, portfolio optimization and stochastic control problems, utility indifference valuation, stochastic differential games
  • Robert Vanderbei
    convex optimization, interior-point methods, efficient frontiers associated with L¹ risk measures, optimal stopping and related differential equations, high-contrast imaging, celestial mechanics, stability of Saturn's rings, political mapping