Mathematical and empirical finance , Financial Econometrics, Probaility and Statistics
Research fields in mathematical and empirical finance:
(i) modeling financial time series: asset returns time series models with heavy-tailed innovations, exhibiting clustering of the volatility, and short and long range dependence;
(i) pricing and hedging in volatile markets;
(ii) portfolio optimization;
(iii) risk management (market, credit and operational risk management);
(iv) asset liability management.
RESEARCH ACTIVITIES, 2006- 2007
General Research Projects:
(i) Finance and Econometrics: non-Gaussian models in mathematical and empirical finance, financial econometrics, factor models for asset returns, market and credit risk management, operational risk assessment and forecast, asset liability modeling, optimal choice of performance measures, momentum and risk-neutral strategies, statistical arbitrage, optimal portfolio theory for highly volatile markets, option pricing with stable GARCH-type processes for the underlying risk factors, statistical tests for CAPM and APT in the presence of heavy-tailed distributed financial returns, Bayesian methods in finance, tempered stable processes in finance, credit serivatives and CDOs, modeling high-frequency data;
(ii) Probability and Statistics: general stability and ill-posed problems in stochastic modeling.
In 2006-2007, the work on these projects was based on a joint collaborative research with Frank J. Fabozzi, (Yale University, School of Management), G.Samorodnitsky (Cornell University), Stefan Mittnik (Ludwig-Maximilians-University of Munchen), Doug Martin (Washington University), Stoyan Stoyanov (FinAnalytica) , John Hsu, Anna Chernobai, Mike Grebeck, Biliana Bagasheva , Deszong Wang (UCSB), Christian Menn, Stefan Trueck, Almira Biglova, Teo Jasic , Markus Hoechstoetter, Nadezhda Safronova, Aaron Kim (University of Karlsruhe), Marida Bertocchi, Rosella Giacometti, Sergio Ortobelli and Michele-Leonardo Bianchi (University of Bergamo), Haim Shalit (Ben-Gurion University ),Lev Klebanov (Charles University), Tomasz Kozubowski, (University of Nevada, Reno), Marco Moscadelli, (Banking Supervision Department, Bank of Italy), Krzysztof Burnecki, and Rafal Weron (Wroclaw University of Technology, Poland), Carlo Marinelli (University of Bonn ) and others, see http://www.statistik.uni-karlsruhe.de/292.php