International Laboratory of Quantitative Finance
This laboratory was established as part of a scientific research project supported with a monetary grant awarded by the Government of the Russian Federation under a grant competition designed to provide governmental support to scientific research projects implemented under the supervision of the world's leading scientists at Russian institutions of higher learning (Resolution of the RF Government No.220 of April 9, 2010).
Grant Agreement No.:
Name of the institution of higher learning:
National Research University "Higher School of Economics"
Fields of scientific research:
Leading scientist's full name: Kabanov, Yuri Mikhailovich
Academic degree and title:
Doctor of physical and mathematical sciences, professor
Scientific Director of the International Laboratory of Quantitative Finance at the National Research University "Higher School of Economics"; professor at the University of Franche- Comté (Besançon, France).
Field of scientific interests:
Financial mathematics, stochastic analysis, mathematical economics, actuarial mathematics
Member of the European Academy (Academia Europaea).
Member of the National Union of Universities (France, 2007-2010).
Mercator Professor (Munich, 2002).
Daiwa Professor (Kyoto, 2003, 2004).
Specializes in the theory of semimartingals and arbitration theory, theory of two-scale stochastic systems and singularly perturbed stochastic equations; theory of markets with transaction costs.