You are not logged in | log in

Wydział Matematyki, Informatyki i Mechaniki Uniwersytetu Warszawskiego

  • Skala szarości
  • Wysoki kontrast
  • Negatyw
  • Podkreślenie linków
  • Reset

Financial Mathematics

Description

Modelling of financial markets, pricing of derivatives, portfolio theory, term structure modelling, credit risk, risk measures, probabilistic and statistical methods in insurance, mathematical economics, game theory, high-dimensional numerical algorithms with financial applications.

Seminars

Links

Employees

  • Term structure models, bond markets, futures markets, measuring and management of risk, pricing of financial derivatives, credit risk
  • Statistical and probabilistic methods in mathematical finance, theory of copulas, risk theory, portfolio analysis
  • Portfolio analysis, risk measures, decision-making under uncertainty, asset pricing
  • Probabilistic and statistical models in insurance: Models of reinsurance, optimal reinsurance contracts, methods of computing the probability of ruin, Bayesian models of credibility theory
  • Interest rate modelling, dynamic portfolio theory of interest rate products, stochastic optimal control theory
  • Computational mathematics and numerical analysis, construction of efficient numerical algorithms for high dimensional problems with applications in finance
  • Econophysics
  • Discrete time financial market models, arbitrage pricing, hedging of financial derivatives, risk measure theory
  • Games with a continuum of players and their applications in ecosystems, simplified economies and models of financial market, existence and properties of Nash equilibria in such games, mathematical economics
  • Applications of stochastic analysis to financial mathematics, stochastic volatility models,applications of theory of Bessel processes and Brownian motion functionals to financial derivatives pricing