Stochastic analysis & risk modelling
The Stochastic Analysis & Risk Modelling research program explores the areas of:
- stochastic modelling of financial processes, including insurance risk processes, especially based on general models such as Levy processes, fractal activity and fractional Brownian motion
- statistical inference relating to those models, including advanced econometric modelling with stochastic volatility models such as 'generalised autoregressive conditional heteroskedasticity' (GARCH) and 'continuous time GARCH' (COGARCH) models
- stochastic integration and numerical aspects of partial differential equations
- option pricing models.