Asset pricing and portfolio management

Global and integrated economies generate complex dynamics in financial market prices. The general understanding of asset pricing, risk evaluation and, in turn, portfolio management is still partial. Our research aims at developing new theoretical and empirical approaches to shed some new light on long-standing puzzles in the finance and the economics literature especially, but not limited to, FX and fixed income markets.

Computational methods

The globalisation of the world economy enhances risks for financial institutions. This means that there is a growing need for reliable forecasting and risk measurement.  Risk analysis is usually associated with solving multidimensional problems, which requires novel computational methods which need to be efficient and, thus, provide effective support to risk management for institutions generally dealing swamped with colossal sets of data and information.

Finding a solution acceptable for the industry requires a widerange of expertise, including data mining, highdimensional approximation, Monte Carlo techniques, stochastic and statistical modelling. We develop mathematical methods and computational simulation that are applicable to a wide number of areas that are core for the financial sector – competitive intelligence, product positioning, sales forecasting, customer acquisition, or supply chain management.

Software architectures

The increasing availability and diversity of delivery channels in a global environment requires that the information systems that support financial services are endowed with a robust but flexible software architecture that can accommodate new ways of making business while preserving core business invariants and customer trust. We carry out research on the new ICT-enabled architectures that are beginning to emerge in the financial services industry, mostly around the emerging service-oriented paradigm, including: standards that are being developed to support them; methods and techniques for business analysis and requirements engineering for new classes of services; model-driven development and automated code generation; re-engineering of legacy systems to operate in new architectures; mechanisms through which security and trust can be ensured.