Mathematical Finance
Mathematical Finance
Key motivations for stochastic analysis—and, at the same time, its prominent applications—include the modeling of financial markets, the valuation of financial products such as options and derivatives, and the associated risk theory. In particular, we consider models with changing underlying regimes and models with affine structures. On the more applied side, the focus is on credit risks and energy markets. This also includes estimating the respective parameters using statistical methods from the fields of artificial intelligence and machine learning.