Mathematics

• Asset Pricing
• Decision Theory
• Game Theory
• Pension Finance
• Portfolio Theory
• Life Cycle Analysis
• Risk Theory
• Theoretical Foundation for Behavioural Finance

Statistics
Univariate and multivariate regime-switching models, applied to different problems such as:

• the term structure of interest-rate estimation and forecasting
• the description of relationships between interest-rate bahavior and indicators of inflation, real activity and business cycles
• the interdependence of bond and stock returns

Multivariate computational methods to solve high-dimensional statistical and financial estimation problems with application to

• the implied volatility-surface estimation and term-structure forecasting
• the analysis of huge economic databases

Volatility estimation and forecast, with implications for

• risk management
• derivative pricing
• asset allocation and investment risks
• public policy

Financial Econometrics

• Efficacy and performance of static and dynamic hedging strategies for derivatives
• Model risk of structured products
• Modeling of implied volatility under no-arbitrage constraints
• Modeling of realised variance
• Modeling of dynamic dependencies in high dimensional stochastic systems
• Non- and semiparametric estimation methods in Finance