Financial Mathematics

The group was created in 2015, thanks to a "Momentum" grant of the Hungarian Academy of Sciences. Research is centered around optimal investment problems in financial markets. Empirical evidence reveals the non-Markovian nature of several financial processes while mainstream models are Markovian. We are working on the development of stochastic control tools to help bridging the gap between theory and reality. We also study adaptive algorithms, markets with frictions and realistic preferences for investors.