Association of Mathematical Finance Laboratory (AMFiL) is an institute established to encourage research and studies on mathematical finance, stochastic analysis and other related fields.

We are interested in

  • Theoretical studies on algorithmic trading and related issues
  • Innovative approach to quantitative financial risk management
  • Other topics on mathematical finance

The members of AMFiL conduct to study the following themes.

  • New frameworks for dynamic risk measures
  • Credit risk modeling with delayed information
  • Extreme value theory (EVT) and its application to quantitative operational risk management
  • Modeling limit order books (LOBs)
  • Numerical methods for calculating derivative prices
  • Optimal execution algorithms and market liquidity
  • Stochastic jumps in finance
  • Stock price fluctuations and reflected stochastic differential equations (RSDEs)
  • Stress tests and risk quantification by using long-term scenarios
  • Volatility uncertainty and robust modeling