Research

Mathematical concepts and techniques provide the language and tools for developments in modern finance, economics and insurance. On the other hand, theoretical advances in economics and finance stimulate the development of new mathematical results and theories. Our group works in the interface between these areas. Main research interests of the group members are in the following topics: modelling of financial markets, pricing of derivatives, portfolio theory, stochastic controls and portfolio selection, term structure modelling, credit risk, risk measures, probabilistic and statistical methods in insurance, mathematical economics, game theory, high-dimensional numerical algorithms with financial applications.