Stochastics programme – Korteweg – de Vries Institute
Contact person: dr. Asma Khedher
All phenomena in science and society are ruled by randomness, sometimes partially or to a considerable extent. The branches of mathematics that enable one to understand, predict, and control such phenomena are Statistics and Stochastic Operations Research with Probability Theory and Financial Mathematics as sub-disciplines. Collectively they go by the name Stochastics. All said branches are represented within the stochastics research programme of the Korteweg-de Vries Institute.
Research within the group involves Markov switching processes and applications to hedging and pricing of financial claims in complete and incomplete markets, robustness and sensitivity analysis, stochastic networks and queueing theory. Topics on the statistical side are nonparametric and semi-parametric statistics, as well as Bayesian statistics with applications in finance, neuroscience, systems biology, and forensic science.
Computational Science Lab – Institute for Informatics
Contact person: prof.dr. Drona Kandhai
We live in a highly connected and strongly coupled world, and are surrounded by a large diversity of complex systems. All these systems have one thing in common: they process information. We aim to understand this information processing in such dynamic multi-level complex systems.
Questions that arise are such as whether we can detect and describe the computational structure in dynamic processes and provide a quantitative characterization of essential aspects of this structure? Whether we can get a deeper understanding of the systemic economic crises that struck us in 2008?
The challenges include data-driven modeling of multi-level systems and their dynamics as well as conceptual, theoretical and methodological foundations that are necessary to understand these processes and the associated predictability limits of such large-scale computer simulations.
Actuarial Science & Mathematical Finance – Amsterdam School of Economics
Contact person: prof.dr.ir. Michel Vellekoop
Asset and liability management for insurance contracts and pension obligations can often be formulated in terms of optimal investment and consumption problems. Typical for such actuarial risk management problems are the relatively long time horizons, necessitating investment in less liquid assets and making the mitigation of interest rate risk more difficult. At the same time, methods for risk measurement and the determination of solvency requirements of financial institutions have come under intensified scrutiny in the wake of the recent financial crisis. This has increased the demand for sophisticated probabilistic and statistical methods which have a solid scientific foundation while being realistic and concise enough to be of value in practice.
Research within the group is performed on the mathematical modelling, estimation, evaluation and control of the risks in financial institutions, under complete and incomplete information and for complete and incomplete markets.