Financial Mathematics

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.