Current research projects

• Principal co-investigator of the industrial project:
  Uncertainty quantification in the forecast of electricity generation from wind turbines using SDEs.
• Principal investigator of the HFRI project:
  New paradigms in mathematical finance: Modeling, analysis, computation.

Past research projects

• Principal investigator of the EIF project:
  Interest rate term structures in a low-rate environment: Modelling, calibration and regulatory aspects.
• Principal investigator of the EIF project:
  Collateral management in centrally cleared trading.
• Principal investigator and board member of the Research Training Group (RTG) 1845:
  Stochastic analysis with applications in biology, finance and physics.
  
• Project co-leader of the EIF project:
  Post-crisis models for interest rate markets.
• Project coordinator of the PROCOPE program 57050542:
  Financial markets in transition: mathematical models and challenges.
  
• Principal investigator of the MATHEON project E13:
  Affine processes in finance: LIBOR modeling and estimation.
• Project coordinator of the IKYDA program 54718970:
  Stochastic analysis in finance and physics.