University of St.Gallen
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Faculty of Mathematics and Statistics (MS)

homepage http://www.mathstat.unisg.ch
phone +41 (0)71 224 2429
fax +41 (0)71 224 2894
street Bodanstrasse 6
post code & city 9000 St. Gallen
   
publications papers (135)
projects project entries (7)
persons members of staff (10)
   
institute overview The Faculty of Mathematics and Statistics is responsible for the teaching of mathematical and statistical methods at all levels of the University of St.Gallen.

It consists of three chairs: Mathematics, Statistics and Financial Econometrics. Next to teaching in these and related areas, we conduct research in quantitative methods in general.

Below you will find a summary of the fields and specific topic in which members of our three chairs conduct research.

Mathematics
- Asset Pricing
- Decision Theory
- Game Theory
- Pension Finance
- Portfolio Theory
- Life Cycle Analysis
- Risk Theory
- Theoretical Foundation for Behavioural Finance
- Behavioral Economics
- Experimental Economics

Statistics
Univariate and multivariate regime-switching models, applied to different problems such as:
- the term structure of interest-rate estimation and forecasting
- the description of relationships between interest-rate bahavior and indicators of inflation, real activity and business cycles
- the interdependence of bond and stock returns

Multivariate computational methods to solve high-dimensional statistical and financial estimation problems with application to
- the implied volatility-surface estimation and term-structure forecasting
- the analysis of huge economic databases

Volatility estimation and forecast, with implications for
- risk management
- derivative pricing
- asset allocation and investment risks
- public policy

Financial Econometrics
- Efficacy and performance of static and dynamic hedging strategies for derivatives
- Model risk of structured products
- Modeling of implied volatility under no-arbitrage constraints
- Modeling of realised variance
- Modeling of dynamic dependencies in high dimensional stochastic systems
- Non- and semiparametric estimation methods in Finance