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Financial Mathematics
Description
Modelling of financial markets, pricing of derivatives, applications of stochastic analysis in financial mathematics, portfolio theory, term structure modelling, risk measures.
Seminars
Employees and PhD students
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dr hab. Michał Barski
Term structure models of interest rates, affine models with Lévy processes, risk minimizing hedging strategies, jump processes in models of financial markets
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prof. dr hab. Jacek Jakubowski
Applications of stochastic analysis in financial mathematics, term structure models, bond markets, futures markets, measuring and management of risk, pricing of financial derivatives
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prof. dr hab. Wojciech Niemiro
Probabilistic and statistical models in insurance: Models of reinsurance, optimal reinsurance contracts, methods of computing the probability of ruin, Bayesian models of credibility theory
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prof. dr hab. Leszek Plaskota
Computational mathematics and numerical analysis, construction of efficient numerical algorithms for high dimensional problems with applications in finance
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dr Bartłomiej Polaczyk
Applications of stochastic analysis in quantitative finance. Calibration of models, derivative pricing
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dr Tomasz Tkaliński
Actuarial modelling, solvency modelling, risk measures
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dr hab. Agnieszka Wiszniewska-Matyszkiel, prof. UW
Games with a continuum of players and their applications in ecosystems, simplified economies and models of financial markets, existence and properties of Nash equilibria in such games, mathematical economics
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dr hab. Maciej Wiśniewolski
Stochastic analysis, Markov processes, random field theory (Gassian, Poisson) in models of financial mathematics
