Research focus
Derivative pricing is an extremely active field of research and is one of the focal points of the chairs research activities. Derivatives are very complex risk transfer instruments. Pricing derivatives in incomplete markets is a problem that usually can neither be solved analytically, nor uniquely. Even modelling the underlying asset returns realistically requires highly sophisticated tools such as GARCH-models or Lévy processes. Furthermore, the road towards a unified valuation theory is complicated by the lack of an unique risk neutral probability measure in incomplete markets.
Quantitative risk management is another focal point of the chairs research activities. Since the implementation of Basel II risk management is an integral part of business for banks in Europe and the US. In Germany the BaFin monitores regulation compliance of financial institutions. Insurance companies face similar regulations, according to Solvency II. Risk management, among other duties, consists of risk identification, risk measurement, and backtesting models used for risk measurement.
Contact
Chair of Business Administration and Finance
Head of Chair
Prof. Dr. Thomas Mazzoni
Administration
Corinna Papendorf
Friedrich-Loeffler-Straße 70
Room 318
17489 Greifswald
Phone +49 3834 420 2498
Fax +49 3834 420 2497
rsf-financeuni-greifswaldde