Sztochasztikus rendszerek és pénzügyi piacok modellezése

Participants:

• MTA SZTAKI (Stochastic Systems Research Group)
• Corvinus University
• ELTE TTK

The purpose of the research project is to extend and apply the methods of stochastic systems for the solution of problems of modelling and analysis of financial markets. The interaction between the two areas has been very fruitful in solving problems of option pricing. A further motivation is the application of systems and control theory to macroeconomics, see the book of Thomas J. Sargent and Lars Hansen „Robust Control and Filtering for Macroeconomics” c. 2002.

In the development of the theory of stochastic systems a central role is played by hidden Markov-models. Another promising area is the combined use of arbitrage theory and stochastic programming and control for the solution of real-world problems. The development of effective computational methods is itself a challenge, randomization methods are often useful.

Our main research areas are logoptimal portfolios, utility functions and optimal portfolios, statistical analysis of hidden Markov-models, behavioural models of financial markets, stochastic volatility models, computational methods.