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.
Research Area Faculty
Research Interests: Stochastic analysis (SPDEs, BSDEs, FBSDEs, stochastic control and large stochastic differential games such as mean field games), high frequency markets, energy and commodity markets, environmental finance and financial mathematics models.
Research Interests: High-dimensional statistics, Machine Learning, financial econometrics, computational biology, biostatistics, graphical and network modeling, portfolio theory, high-frequency finance, time series.
Research Interests: Stochastic control and games, including in particular mean-field games and continuous-time principal-agent problems, using recently introduced and state of the art tools in stochastic control such as second-order backward SDEs. Research motivated by applications to energy management, epidemiology,…
Research Interests: 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
Research Interests: Financial mathematics, stochastic models, especially for market volatility, optimal investment and hedging strategies, analysis of financial data, credit risk; employee stock options, dynamic game theory, energy and commodities markets
Research Interests: Decisions under uncertainty, Knigthian uncertainty, stochastic optimal control, financial mathematics, robust techniques in quantitative finance.
Research Interests: Financial mathematics (risk management, model uncertainty, optimal investment); Stochastic analysis (stochastic control, SDEs, BSDEs, FBSDEs, probabilistic representations of parabolic/elliptic PDEs); Probability theory (optimal transportation, functional inequalities)