In my PhD, my main research topic was the study of the ultra-parobolic partial differential equations of Kolmogorov-Fokker-Planck type and their applications in finance, in particular in the option pricing. My research was also directed to the main numerical methods in option pricing: finite difference methods for partial differential equations, binomial trees, Monte Carlo and Least Squares Monte Carlo methods.
Currently, my main research topics focus on:
- interest rates models
- Strategic Asset Allocation models
- ALM models
- hybrid credit-equity models with calibration to CDS and survival probabilities
