The group studies by the means of different mathematical techniques (partial differential equations, stochastic analysis, numerical methods) problems arising from finance and economics. The aim is to solve advanced mathematical problems and provide useful tools for the analysis of real markets.

The main interests of the group are:

- performance indicators and risk measures as tools for decision making in finance;

- free boundary and optimal stopping problems related to pricing problems for American style, exotic contingent claims;

- stochastic volatility modelling;

- numerical methods for pricing and hedging derivatives, efficient implementation, calibration, risk analysis and sensitivity.

The group has the following main overall goals.

- to develop advanced mathematical methods for finance and to study the possible applications to risk management problems;

- to support and reinforce the relationships among researchers and internationally distinguished experts in the field;

- to promote strong and mutually reinforcing links with the private and Governmental institutions in order to further enhance the impact and influence of mathematical research on the financial industry.