Mathematical Finance Group

Department of Mathematics

AREAS OF RESEARCH ACTIVITY

Arbitrage and option pricing in markets with friction and incomplete markets

Entropy and financial value of information

Optimal investment strategies in markets with prices depending on the volume of trading

Discrete time models and their continuous time limits in the presence of market imperfections

Non-standard analysis methods in mathematical finance

Probability theory and applications to mathematical finance

Robust arbitrage and model-independent pricing

Stochastic differential equations

BOOKS AUTHORED

M.Capinski&T.Zastawniak
Mathematics for Finance. An Introduction to Financial Engineering

R.J.Elliott&P.E.Kopp
Mathematics of Financial Markets

Z.Brzezniak & T.Zastawniak
Basic Stochastic Processes

M.Capinski &T.Zastawniak
Probability Through Problems

M.Capinski & P.E.Kopp
Measure, Integral and Probability