RESEARCH AREAS
Stochastic Modelling in Finance and Insurance:
- Risk Management in Finance and Insurance.
- Pricing and Hedging of financial instruments and insurance products in stochastic models;
in particular with several underlying assets and multiple risks.
- Interest Rate Models and Interest Rate Derivatives.
- Regime switching models.
- Risk modelling and risk measures in finance and insurance.
- Study of stop-loss premiums of a sum of dependent variables.