You are not logged in | log in

Wydział Matematyki, Informatyki i Mechaniki Uniwersytetu Warszawskiego

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

Financial Mathematics


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.




  • 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