
Mathematical Finance Group
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
 Nonstandard analysis methods in mathematical finance
 Probability theory and applications to mathematical finance
 Robust arbitrage and modelindependent 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





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Edited 5 Jan 2010  13:30 by cac7
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