The mathematical modelling of such problems frequently leads to
partial differential equations (to be more specific: reaction-convection-diffusion
equations), which we treat by high-end numerical techniques. Within
the project „Fast numerical methods for computational finance“,
which has been funded by the Austrian Science Foundation FWF, we
could intensify our research activities in this area.
Another field of research and development is the stable and robust calibration of
model parameters in the above-mentioned differential equations describing the stochastic
movement of, say, interest rates. Mathematically, this leads to a parameter identification
problem, which should be treated by special techniques, so called regularization methods.
See also the section on inverse problems.
Two software products are developed by MathConsult: The UnRisk PRICING ENGINE and the UnRisk FACTORY.
Visit www.unrisk.com for a more detailed description.