As of 30.01.2020
Name of the project: Laboratory of Mathematical Finance
Strategy for Scientific and Technological Development Priority Level: а
Research directions:
 Mathematical models of financial markets that are closed to reallife practice (models with transaction costs and taxes, actuarial models in the setting of financial markets, highfrequency trading models, dynamic market models theory), and development of probability statistical mathematical apparatus for analysis of such models;
 Assessment of risks, asset portfolio optimization, liquidity risks, real options and optimal stopping;
 Financial econometrics targeting the problem of system risk and its indicators, bank and financial corporation rankings, accounting of intermarket interactions;
 Study of globalization of markets on the basis of ratios between «global» and «local» components and dynamics of these ratios.
Project objective: Conducting research in the domain of mathematical finance theory and financial econometrics
Hosting organization

Field of studies

City

Invited researcher

Time span of the project


Laboratory «Probability techniques in analysis» (10)
Saint Petersburg State University  (SPbU) 
Maths 
St. Petersburg 
Hedenmalm Haakan Per
Sweden 
20242028 
Laboratory «Nonlinear and nonlocal equations and their applications»
Peoples' Friendship University of Russia  (RUDN University) 
Maths 
Moscow 
Kuksin Sergei Borisovich
Russia, France 
20222024 
Probabilistic Methods in Analysis
Saint Petersburg State University  (SPbU) 
Maths 
St. Petersburg 
Hedenmalm Haakan Per
Sweden 
20212023 