Stochastic Differential Inference (SDI)
Models
- Discretely Observed Diffusions
- Stochastic Differential Equations
- Semimartingales and Levy driven SDEs
- SDEs driven by Fractional Brownian Motion
- Stochastic Filtering and Stochastic Volatility Models
- Anticipative Stochastic Differential Equations
- Stochastic Partial Differential Equations
- Stochastic Navier-Stokes Equation, KPZ Equation
- Interacting Particle Systems, Superdiffusions
Methods
- Higher-Order Asymptotics
- Sequential Methods
- Monte Carlo Methods
- Particle Filters
(Sequential Monte Carlo) - Bayesian Methods
- Nonparametric Methods
- Semiparametric Methods
- Sieve Methods
- Bootstrap Methods
- Robust Methods
- Asymptotic Equivalence
- Hypothesis Testing
Mathematical Finance and Financial Econometrics
- Computational Finance
- Term Structure of Interest Rates
- Asset Pricing, Options Pricing and Hedging
- Fractional Brownian Motion in Finance
- Lattice Methods for Derivatives Pricing
- Weak Convergence of Financial Markets
- Real Options in Corporate Finance
- Risk Management and Insurance
- Valuation and Estimation of Credit Risk
- Extreme Value Theory
- Incomplete Markets
- High-Frequency Data
- Market Microstructure
- Stochastic Volatility
- Hawkes Process in Finance
Stochastic Analysis and Probability
- Diffusions in Random Environments
- Berry-Esseen Theorems and Large Deviations
- Stochastic Numerical Analysis
- Fractional Stochastic Calculus
- Malliavin Calculus
- Anticipative Stochastic Calculus
Mathematical Biology
- Nonlinear SPDE in Neurobiology
- Gomperz Diffusion Models for Tumor Growth
- Sub-diffusion Models for Nanoscale Biophysics
- SPDE with Jumps for Neurons
