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Financial Mathematics
Description
Modelling of financial markets, pricing of derivatives, applications of stochastic analysis in financial mathematics, portfolio theory, term structure modelling, risk measures.
Seminars
Employees and PhD students
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dr hab. Michał Barski
Term structure models of interest rates, affine models with Lévy processes, risk minimizing hedging strategies, jump processes in models of financial markets
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prof. dr hab. Jacek Jakubowski
Applications of stochastic analysis in financial mathematics, term structure models, bond markets, futures markets, measuring and management of risk, pricing of financial derivatives
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dr hab. Piotr Jaworski, prof. UW
Statistical and probabilistic methods in mathematical finance, theory of copulas, risk theory, portfolio analysis
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dr hab. Karol Krzyżewski, prof. UW
Portfolio analysis, risk measures, decision-making under uncertainty, asset pricing
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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
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prof. dr hab. Andrzej Palczewski
Interest rate modelling, dynamic portfolio theory of interest rate products, stochastic optimal control theory
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prof. dr hab. Leszek Plaskota
Computational mathematics and numerical analysis, construction of efficient numerical algorithms for high dimensional problems with applications in finance
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prof. dr hab. Tadeusz Płatkowski
Econophysics
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dr Tomasz Tkaliński
Actuarial modelling, solvency modelling, risk measures
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dr hab. Agnieszka Wiszniewska-Matyszkiel, prof. ucz.
Games with a continuum of players and their applications in ecosystems, simplified economies and models of financial markets, existence and properties of Nash equilibria in such games, mathematical economics
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dr hab. Maciej Wiśniewolski, prof. ucz.
Stochastic analysis, Markov processes, random field theory (Gassian, Poisson) in models of financial mathematics
