Educational Sciences and Mathematics
Stochastic Processes, Statistics and Financial Engineering
The research group Stochastic Processes, Statistics, and Financial Engineering was created by Professor Dmitrii Silvestrov External link. in 1999. An important part of the research in the group is conducted within the area of Analytical Finance, a research area that includes financial mathematics, financial engineering as well as financial and risk management software.
The research of the Stochastic Processes, Statistics and Financial Engineering group is concentrated in these domains as well as in some related research areas in applied mathematics, statistics, stochastic processes, simulation, actuarial mathematics, mathematical economics, optimisation, scientific computing, statistical data analysis and informatics. The group publishes a large number of books, peer-reviewed articles and book chapters and presents its research at numerous international conferences.
The educational activities of the group include realisation of the Bachelor’s programme in Analytical Finance External link., the Master’s programme in Financial Engineering External link., and doctoral studies programmes, as well as teaching in mathematics courses on other programmes relevant to the group, and active participation in research studies in Mathematics and Applied Mathematics. The group conducts its research and education in broad international and industrial cooperation.
The group contributes actively to MAM’s higher seminar in Mathematics and Applied Mathematics as well as other research and research studies events arranged by the Mathematics and Applied Mathematics, MAM, research environment.
Ongoing research projects
The project is devoted to advanced studies of fractional processes. These processes include: fractional Brownian motion, fractional Gaussian noise, tempered fractional Brownian motion, Gaussian-Volterra processes, multifractional Brownian motion, multiparameter fractional fields.
Project manager at MDU: Yuliia Mishura
Main financing: Stiftelsen för Strategisk Forskning