Financial Mathematics

Description

Modelling of financial markets, pricing of derivatives, portfolio theory, term structure modelling, credit risk, risk measures, probabilistic and statistical methods in insurance, mathematical economics, game theory, high-dimensional numerical algorithms with financial applications.

Seminars

• Seminar of Quantitative Finance
• Seminar of the Group of Mathematical Methods in Economy, Finances and Insuarance

Employees and PhD students

• prof. dr hab. Jacek Jakubowski

  Term structure models, bond markets, futures markets, measuring and management of risk, pricing of financial derivatives, credit risk

• dr hab. Piotr Jaworski, prof. UW

  Statistical and probabilistic methods in mathematical finance, theory of copulas, risk theory, portfolio analysis

• 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

• prof. dr hab. Leszek Plaskota

  Computational mathematics and numerical analysis, construction of efficient numerical algorithms for high dimensional problems with applications in finance

• dr Tomasz Tkaliński

  Discrete time financial market models, arbitrage pricing, hedging of financial derivatives, risk measure theory

• dr hab. Agnieszka Wiszniewska-Matyszkiel, prof. UW

  Games with a continuum of players and their applications in ecosystems, simplified economies and models of financial market, existence and properties of Nash equilibria in such games, mathematical economics

• dr Maciej Wiśniewolski

  Applications of stochastic analysis to financial mathematics, stochastic volatility models,applications of theory of Bessel processes and Brownian motion functionals to financial derivatives pricing