Principal researcher

Jiří Witzany

Members of the working group

Jiří Málek, Jiří Witzany, Tomáš Cipra, Michal Pešta, Pavel Vacek, Jakub Černý, Milan Fičura, Martin Šmíd, Jakub Seidler, Adam Gersl

The research objectives

  • Pricing of financial derivatives in incomplete markets (how to hedge derivatives in incomplete markets in the most efficient way)
  • Estimation of latent variables (introduce equations of the volatility processes with unknown constant parameters, study estimation methods for multivariate stochastic volatility jump-diffusion models)
  • Uncertainty of model parameters (Bayesian approach to model calibration, optimal portfolio allocation, or risk quantification)
  • Risk management in insurance (management of mortality and longevity risk by means of securitization applying special securities and financial derivatives, risk models used in the framework of new approaches to solvency in insurance)