Financial Mathematics Group

Organisational unit: Research group

Description

Our main line of research focus on inference and calibration of financial models such as diffusions and jump-diffusions. We also work with simulation of stochastic processes especially stochastic differential equations and Lévy processes which are important building blocks for models in mathematical finance. We also work with approximation of prices and hedging portfolios for financial derivatives.

Applications of Extreme Values analysis include: modeling of insurance claims using copulas; consequences of higher capital requirements in Basel III recommendations for financial institutes; modeling operational risk related to requirements in Basel III recommendations.

Recent research outputs

Nader Tajvidi & Turlach, B., 2018 Mar 14, In : Australian & New Zealand Journal of Statistics. 60, 1, p. 140-155 16 p.

Research output: Contribution to journalArticle

Erik Lindström & Carl Åkerlindh, 2018, International Series in Operations Research and Management Science. Springer New York LLC, Vol. 257, p. 165-181 17 p. (International Series in Operations Research and Management Science; vol. 257)

Research output: Chapter in Book/Report/Conference proceedingBook chapter

Nystrup, P., Madsen, H. & Erik Lindström, 2017 Dec, In : Journal of Forecasting. 36, 8, p. 989-1002

Research output: Contribution to journalArticle

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