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Mathematical Economics

Mathematical Economics

Mathematical Economics

 

The mathematical economics section conducts teaching within a broad area of quantitative economics and statistics. Topics include mathematical optimization, financial engineering, time series analysis, multivariate statistics (dimensionality reduction, supervised- and unsupervised learning), econometrics, financial econometrics, and models in continuous time finance.

The research undertaken by the section is mainly focused on energy economics (applications of econometrics and financial derivatives within commodity markets), statistical methods in econometrics in general, long memory models, forecasting of volatility, particle Gibbs sampling, and financial risk management.