Institute of Financial Mathematics and Applied Number Theory

The Institute's main areas of research are the development of efficient quasi-Monte Carlo methods for the numerical integration and numerical approximation of functions and for mathematical simulation in a wide range of application areas, particularly in the field of financial mathematics. Quasi-Monte Carlo methods are based on partially high-dimensional point sets and point sequences with special distribution properties, which are generated and analysed with the help of number-theoretical algorithms. The efficient generation and analysis of such point sets, as well as the analysis of the resulting numerical algorithms (complexity theory) are at the centre of the Institute's research work. Further focal points are: Development and analysis of stochastic methods in financial mathematics; Efficient use of (quasi-) Monte Carlo methods in financial mathematics; Analysis of derivative financial products and trading strategies