Stochastic processes provide a rigorous framework for modelling systems that evolve over time under uncertainty, while extremal theory offers the tools for understanding the behaviour of rare, ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

The paper investigates stochastic processes directed by a randomized time process. A new family of directing processes called Hougaard processes is introduced. Monotonicity properties preserved under ...

This course provides doctoral students the foundations of applied probability and stochastic modeling. The first part of the course covers basic concepts in probability, such as the Borel Cantelli ...

Simulation research derives new methods for the design, analysis, and optimization of simulation experiments. Research on stochastic models develops and analyzes models of systems with random behavior ...

A cylindrical Lévy process does not enjoy a cylindrical version of the semimartingale decomposition which results in the need to develop a completely novel approach to stochastic integration. In this ...

This course is compulsory on the MSc in Financial Mathematics and MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Applicable Mathematics, MSc in Econometrics ...