Areas of Research

Derivative Pricing

Extending and proposing new models with realistic and desirable financial properties and then employing various tools from Stochastic Calculus to PDEs and Monte-Carlo methods to find ‘no-arbitrage’ prices of derivatives. Many problems are still open in the case of incomplete markets.

 

Commodities

Studies of the markets of oil, metals, agricultural and electricity, from extraction or production through delivery and usage – the so called ‘supply chain’ and its financing issues all along.

 

Risk Management

Risk Management aims to quantifies various risks that financial players are subject to and studies ways to mitigate and reduce them.  Examples include credit risk and systemic risk.

 

Utility Optimization

Understanding and solving investor’s fundamental problem of wealth maximization in various settings, and then deriving the resulting price models, in particular in the very relevant and unsolved context of market incompleteness.

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