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The Institute is located on the third floor of Science Park 2 (Secretary's office: room 333). ...  more of How to find us (Titel)

Book: Applied Algebra and Number Theory

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Book: Uniform Distribution and Quasi-Monte Carlo Methods

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Book: Introduction to Quasi-Monte Carlo Integration and Applications

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Book: Digital Nets and Sequences, Discrepancy and Quasi Monte Carlo Integration

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About us

Welcome to the Institute of Financial Mathematics and Applied Number Theory

The department at the Johannes Kepler University Linz was founded in October 2000 as a sub-department of the Department of Analysis and Numerical Mathematics and is a department of its own since 2004. Early 2015 the name was changed to "Department of Financial Mathematics and Applied Number Theory".

The department's main fields of research are the development of efficient quasi-Monte Carlo methods for numerical integration and approximation of functions and for mathematical simulation in various fields of applications, in particular in the field of mathematical finance.

Quasi-Monte Carlo methods rely on - sometimes high-dimensional - point sets and sequences with particular distribution properties which are generated and analyzed with the help of number theoretical algorithms. The efficient generation and analysis of such point sets, but also the analysis of the resulting algorithms (complexity theory) are at the main focus of the department's research activity.

Other focal points are the development and analysis of stochastic methods in mathematical finance, the efficient use of (quasi-) Monte Carlo methods in finance, as well as the analysis of derivative financial instruments and trading strategies.

G. Larcher and F. Pillichshammer are speaker and co-speaker of the Austrian Science Fund-Special Research Area "Quasi-Monte Carlo Methods:Theory and Application",
which started in February 2014.

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