Stochastic analysis, finance, insurance and risk
Our research group develops the theory for modelling and managing different forms of risk: economic, financial, insurance, technical, weather and technological. All of energy, finance and insurance industry evolves around risk analysis, in the same way as planning and control of projects and installations (power plants, networks, airplanes).
About the group
Stochastic analysis is a mixture of mathematical analysis and probability theory with many applications in fields like mathematical finance, biology, energy and insurance. By using advanced stochastic processes and techniques from stochastic analysis and probability, we investigate various problems within these fields, like for instance management of financial investment portfolios and networks for energy distribution. This involves stochastic control theory, where for instance partial differential equations play a crucial role. In insurance mathematics, stochastic modelling and analysis are used for understanding car accident risk or mortality, and in the derivation of fair premiums. The group also contributes to more general research on how to manage risk in technical/financial systems. Stochastic analysis is a vital research field on its own, and we are active in contributing to the theoretical development, in particular, random fields and stochastic partial differential equations.
The group consists of employees from the Section with the same name, including researchers with a background in probability theory, stochastics, mathematics and statistics. At present, the group consist of 6 permanent professors, 2 tenure-track postdocs and several PhD and postdocs funded by the institute and external research grants.
The group's research ranges from the theoretical to the applied with the main activity within these areas:
- Stochastic analysis
- Mathematical finance
- Energy finance
- Reliability and industrial risk
- Spatial-temporal statistical modelling and risk
The group is heading several major research projects with external funding (see right menu).
Members of the group have a wide variety of cooperation in research and education with researchers, industry and universities in many countries, including developing mathematical research and PhD-programmes in Africa as well as a collaboration with Ukraine (see right menu).
Academic programmes and courses
This research group is involved in several programme options in two bachelor programmes and three masters programmes:
- Stochastic Modelling, Statistics and Risk Analysis
- Computational Science: Applied Mathematics and Risk Analysis (programme option)
The group is responsible for the programme option that will qualify students as actuaries (Norwegian link), and supervise master- and PhD-students within the areas of stochastic analysis, finance, energy, insurance and risk.
The group offers these courses
- MAT4720/MAT9720 Stochastic Analysis and Stochastic Differential Equations
- MAT4740/MAT9740 Malliavin Calculus and Applications to Finance
- MAT4750/MAT9750 Mathematical Finance: Modelling and Risk Management
- MAT4760/MAT9760 Advanced Mathematical Methods in Finance
- MAT4770/MAT9770 Stochastic Modelling in Energy and Commodity Markets
- MAT4790/MAT9790 Stochastic Filtering
- STK3405/STK4405 Introduction to Risk and Reliability Analysis
- STK3505/STK4505 Problems and Methods in Actuarial science
- STK4500/STK9500 Life Insurance and Finance
- STK4520/STK9520 Laboratory for Finance and Insurance Mathematics
- STK4530/STK9530 Interest Rate Modelling via SPDE's
- STK4540 Non-Life Insurance Mathematics
- STK-MAT2011 Project Work in Finance, Insurance, Risk and Data Analysis
- STK-MAT3700/STK-MAT4700 An Introduction to Mathematical Finance