Research

Research conducted in the Mathematical Finance section focuses on the quantitative modeling of financial markets and mathematical tools and theories -probability, statistics, partial differential equations, optimization, simulation- which underpin this modeling process. This research is disseminated through our Working Paper Series and our Publications.

Current research topics in the section include:

• Stochastic analysis and Probability theory: Functional Ito calculus, path-dependent partial differential equations, Backward Stochastic Differential Equations, Malliavin calculus.

• Rough Path theory: rough differential equations, rough paths on manifolds.

• Advanced methods for pricing and hedging of derivative securities: models with jumps and stochastic volatility, asymptotic methods in option pricing, model calibration, valuation of long-term equity contracts and investment strategies, market with imperfections (proportional transaction costs, delta constraint)

• Interest rate modeling: multi-factor models, multi-curve term structure models, impact of funding on interest rate derivatives

• Systemic risk: network models of credit contagion, quantitative modeling of feedback effects, metrics for systemic risk, quantitative models of financial stability

• Counterparty Credit risk, Collateral and Funding: Credit Value Adjustment (CVA), DVA, collateral requirements and their impact on pricing of derivatives, and consistent inclusion of funding costs (FVA); credit derivatives

• Stochastic control and applications in finance

• Liquidity risk: models of price impact and liquidity risk, liquidity-adjusted risk measures, liquidity-based pricing models

• Market microstructure and high frequency modeling: mathematical modeling of limit order markets, statistical modeling of high frequency market data, consequences of high frequency trading for market stability and volatility.

• Numerical Methods for finance: probabilistic methods for non-linear PDE, numerical methods for BSDEs, model calibration

The Mathematical Finance section organises the weekly Finance and Stochastics seminar as well as other seminars and numerous conferences and workshops on topics related to mathematical modeling in finance. 

For further information on our research activities, browse the list of our research publications or visit the personal homepages of our academic staff.