Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes. This project plans to continue an ongoing theoretical study into continuous-time stochastic processes, concentrating on developing tools for the further analysis and understanding of extremal and multivariate phenomena with applications to portfolio analysis, value-at risk calculations and complex financial instruments, with particular emphasis on practical applications of the methodologies in the insurance and finance indus ....Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes. This project plans to continue an ongoing theoretical study into continuous-time stochastic processes, concentrating on developing tools for the further analysis and understanding of extremal and multivariate phenomena with applications to portfolio analysis, value-at risk calculations and complex financial instruments, with particular emphasis on practical applications of the methodologies in the insurance and finance industries. Expected outcomes would be of direct interest to these industries as well as having significant mathematical interest.Read moreRead less
Multi-person stochastic games with idiosyncratic information flows. The project will develop rigorous mathematical techniques aiming to quantify the impact of different information flows on solutions to decision making problems under uncertainty that are frequently encountered in Financial Economics, Mathematical Finance and Social Sciences.
Improving risk management based on short-term stochastic forecast for financial decisions. The project targets the problems of strategy selection in the framework of mathematical finance. The aim is to find ways to reduce the impact of forecast errors in the presence of uncertainty. Related forecasting algorithms and solutions of optimization problems will be obtained.