Multivariate stochastic processes
Multivariate process modeling beyond the Gaussian framework, particularly Lévy-driven models, and their applications to:
interest rate and credit risk modeling in finance and insurance;
multifactor demand and price modeling for real options and commodity operations.
production pricing in economic networks.
Dynamic optimization
Numerical methods for solving dynamic optimization problems in discrete time (lattice and simulation) , and their applications to:
path dependent financial options (also embedded in insurance contracts),
capacity expansion problems modelled through real options.
Sensitivity Analysis
Numerical methods for the calculus of derivatives of sample performance functions and their applications in finance and operations research.