Introduction:
The Financial Mathematics Group was founded in 2015 thanks to the ``Lendület'' (Momentum) program of the Hungarian Academy of Sciences. Our research concentrates on optimal investment problems of financial markets. Empirical studies suggest that several financial processes exhibit non-Markovian features while most models in use are based on Markov processes. We work on developing methods of stochastic control that bring theory closer to reality. In addition, we deal with adaptive algorithms and markets with frictions as well as with a more realistic description of investors' behaviour.
Head of Group:

Rásonyi Miklós
research professor
research professor
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Research group:Financial Mathematics
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Research department:Probability & statistics
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Room:II.4.
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Phone:+3614838324
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Email:rasonyi.miklos (at) renyi.hu
Employees:

Ivkovic Iván
assistant research fellow
assistant research fellow
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Research group:Financial Mathematics
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Research department:Probability & statistics
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Room:II.2.
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Phone:+36 1 483 8307
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Email:ivkovic.ivan (at) renyi.hu

Lovas Attila
research fellow
research fellow
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Research group:Financial Mathematics
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Research department:Probability & statistics
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Room:III.16.
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Phone:+3614838343
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Email:lovas.attila (at) renyi.hu
Events:
Nagy Lóránt (CEU és Rényi Intézet): How to invest in mean-reverting markets?
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Online, Zoom webinar
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István Berkes: Spekulatív pénzügyi folyamatok és az ARCH modell III.
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Online, Zoom webinar
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Raj Bhansali, University of Liverpool: A dual parameter long-memory model
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MTA Rényi Intézet, nagyterem
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Andrea Sofia Meireles-Rodrigues (Dublin City University): Reference Dependence and Market Participation
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MTA Rényi Intézet, nagyterem
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Scott Robertson (Carnegie Mellon University): The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets
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MTA Rényi Intézet, nagyterem
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