Head:
Vladimir Spokoiny

Coworkers:
Valeriy Avanesov, Christian Bayer, Nazar Buzun, Pavel Dvurechensky, Andzhey Koziuk, Peter Mathé, Mario Maurelli, Hans-Joachim Mucha, Jörg Polzehl, Martin Redmann, John G. M. Schoenmakers, Benjamin Stemper, Alexandra Suvorikova, Karsten Tabelow

Secretary:
Christine Schneider

Honorary Member:
Peter Friz


The research of the group is organized in the research projects Statistical Data Analysis and Applied Mathematical Finance. The focus is on applications in economics, financial engineering, life sciences, and mathematical physics. Of special interest are the modeling of complex systems using methods from nonparametric statistics, risk assessment, and valuation in financial markets using efficient stochastic algorithms. The research group has reached a leading position with important mathematical contributions and the development of statistical software.

Highlights

Prof. Dr. Vladimir Spokoiny, head of our research group, has been awarded a "mega"-grant of the russian government to establish a research group ''Predictive Modelling'' at the University of physics and technology Moscow. [>>more]