Research

Our research focusses on the areas of mathematical finance, mathematical economics and applied probability theory.

Our team studies on array of reserach problems arising in microeconomic theory and models of financial price fluctuations. Specifically we focus on the following topics:

Mathematical Finance

  • Agent-based models of financial markets
  • Applications of stochastic backward differential equations and queuing theory in finance
  • Market microstructure models
  • Pricing and hedging of non-financial risk factors (e.g., weather and climate)
  • Pricing and hedgeing under market impact

Mathematical Economics

  • Dynamic asset pricing with heterogeneous agents
  • Equilibrium pricing in incomplete markets
  • Microeconomic models of non-market interactions
  • Stochastic games