We are interested in:

  1. Theoretical studies on algorithmic trading and related issues
  2. Innovative approach to quantitative financial risk management
  3. 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
  • Credit risk model based on transaction data
  • Modelling contagious credit events
  • 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


Also see here for further information.