The group contributes to the following mathematical research topics of WIAS:

Analysis of ordinary and partial stochastic diff erential equations

An ordinary differential equation is often used to model the movement of a particle. Similarly, partial differential equation can be used to describe the evolution of a total of trajectories of particles. It is natural to add randomness to such models: sometimes because this is a more realistic description which takes into account random noise, sometimes because this randomness is fundamental to the model itself as is the case for financial markets. [>> more]

Development and analysis of financial models

The scope is the development of new mathematical tools for treating more complex and realistic financial models. Specifically, the focus is on local and stochastic volatility models and models with jumps for describing the evolution of stock price processes, LIBOR interest rates, and volatility surfaces. In the area of interest rates, after the financial crisis there is an emerging need for modeling multi-curve LIBOR models. Also FX LIBOR models are recently within the scope. [>> more]

Methods for optimal stopping and control

Stochastic numerical algorithms for optimal stopping and control problems are required for the evaluation of usually high-dimensional callable or cancelable products, or the determination of optimal decision strategies in systems involving high-dimensional underlying quantities. In this respect, primal methods provide suboptimal exercise strategies, hence lower estimations of the target value (e.g. price), while dual methods provide upper estimations. Naturally, the gap between lower and upper bounds due to these approaches should be as small as possible. [>> more]

Statistical Inference

The term statistical inference summerizes methods to extract information from observed data in order to characterize properties in populations. This involves statistical modeling, estimation and uncertainty assessment of parameters, testing of hypothesis. [>> more]

Statistical inverse problems

In many applications the quantities of interest can be observed only indirectly, or they must be derived from other measurements. Often the measurements are noisy and the reconstruction of the quantities of interest from noisy measurements is unstable. [>> more]

Stochastic Optimization

Stochastic Optimization in the widest sense is concerned with optimization problems influenced by random parameters in the objective or constraints. [>> more]