| Topic | People | Description |
|---|---|---|
| MSC 91G10 - Portfolio theory |
Francesco Rossi
|
Portfolio theory |
| MSC 91G20 - Derivative securities |
Guido Gazzani
|
|
| MSC 91G30 - Interest rates (stochastic models) |
Guido Gazzani
|
|
| MSC 91G60 - Numerical methods (including Monte carlo methods) |
Guido Gazzani
|
|
| MSC 91G70 - Statistical methods, econometrics |
Marco Minozzo
|
Statistical and econometric methods for the analysis and modelling (data science) of economic and social data; machine learning techniques for the analysis of large data bases; development of statistical software. |
| MSC 91G80 - Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems) |
Bruno Giacomello
Athena Picarelli |
Among the main applications of stochastic optimal control theory one finds mathematical finance. Indeed, many decision problems are formulated in terms of optimization on continuous-time stochastic models. We find typically: hedging problems, portfolio optimization, risk management and optimal stopping. |
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