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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.


Employees and PhD students

  • prof. dr hab. Jacek Jakubowski

    Term structure models, bond markets, futures markets, measuring and management of risk, pricing of financial derivatives, credit risk

  • dr hab. Piotr Jaworski, prof. UW

    Statistical and probabilistic methods in mathematical finance, theory of copulas, risk theory, portfolio analysis

  • 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

  • prof. dr hab. Leszek Plaskota

    Computational mathematics and numerical analysis, construction of efficient numerical algorithms for high dimensional problems with applications in finance

  • dr Tomasz Tkaliński

    Discrete time financial market models, arbitrage pricing, hedging of financial derivatives, risk measure theory

  • dr hab. Agnieszka Wiszniewska-Matyszkiel, prof. UW

    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

  • dr Maciej Wiśniewolski

    Applications of stochastic analysis to financial mathematics, stochastic volatility models,applications of theory of Bessel processes and Brownian motion functionals to financial derivatives pricing