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Financial Engineering & Risk Management Lab

Publications
Article
A Guaranteed Deterministic Approach to Superhedging: Numerical Experiment

Andreev N. A., Smirnov S. N.

Computational Mathematics and Modeling. 2021. Vol. 32. P. 22-44.

Book chapter
Guaranteed Deterministic Approach to Superhedging: Lipschitz Properties of Solutions of the Bellman–Isaacs Equations

Smirnov S. N.

In bk.: Frontiers of Dynamics Games: Game Theory and Management, St. Petersburg, 2018. Birkhauser/Springer, 2019. P. 267-288.

Working paper
Choosing the Weighting Coefficients for Estimating the Term Structure from Sovereign Bonds

Lapshin V. A., Sofia Sokhatskaya.

Financial Economics. FE. Высшая школа экономики, 2018. No. WP BRP 73/FE/2018.

News

3

2 March 2020

FERM Lab is hiring research interns

Financial Engineering and Risk Management Lab is hiring research interns. BSc, MSc and PhD students of HSE are welcome to apply.

The Financial Engineering & Risk Management Lab was founded in March 2007 to undertake advanced research in financial engineering, risk management and actuarial methods for financial institutions, such as banks, insurers and asset management companies, as well as non-financial enterprises. The laboratory has unique experience in developing mathematical models, analytical methods and business processes and implementing them leading Russian financial sector companies. Successful implementation of applied projects by the Laboratory has supported the establishment of working relationships with leading foreign and international organizations, such as the Professional Risk Managers International Association (PRMIA), the European Federation of Financial Analysts Societies, the European Bond Commission (EFFAS-EBC), and the China Government Securities Depository Trust & Clearing.