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