Stochastic Processes, Statistics and Financial Engineering
The page represents research, educational and other activities of the research group Stochastic Processes, Statistics and Financial Engineering and its part AF (Analytical Finance) Group created in 1999 by the Department of Mathematics and Physics (now at the Division of Applied mathematics at the School of Education, Culture and Communication) at Mälardalen University.
Stochastic processes, Statistics and Financial Engineering (financial mathematics) is the research group led by Professor Dmitrii Silvestrov and Associate Professor Anatoliy Malyarenko. Research in this group is focused on creating innovative models to model the pricing processes for option contracts, analysis of non-linear deviations in stochastic processes and stochastic system. The research is mainly financed by external funds from the Bank Tercentenary Foundation and from an EU Tempus projects. Two graduate students during the year was linked to the research environment at MDH, one of which (Ying Ni) PhD in 2011.
Large number of books, peer-reviewed articles and research papers have been published within the group and presented at international conferences.
Important part of the research in the group is conducted in the area of Analytical Finance (Analytical Finance group), the research area that includes as a core financial mathematics, financial engineering as well as financial and risk management software. Research studies of the Stochastic processes, Statistics and Financial Engineering (financial mathematics) group are concentrated in these domains as well as in some related research areas in applied mathematics, statistics and mathematical economics such as actuarial mathematics, optimisation, applied statistics and stochastic processes, computational game theory, simulation, scientific computing, informatics.
Educational activities are focused on realisation of Bachelor programme Analytical Finance (3 years); Master programme Financial Engineering (2 years); and Ph.D educational programme (4 years).
The group supports the seminar "Mathematical and Statistical Applications in Economics" (MSAE) and participates in organization of the
Higher seminar in Mathematics/Applied Mathematics
at Mälardalen University.