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 core areas are:
- development and analysis of stochastic methods in mathematical finance
- the efficient use of (quasi-) Monte Carlo methods in finance
- 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.
Institute of Financial Mathematics and Applied Number Theory
Johannes Kepler University Linz
Altenberger Straße 69
Science Park 2, 3rd floor, Room 333
Opening Hours Sekretary
Mon-Thu: 08.00 - 16.00
Fri: 08.00 - 12.00
+43 732 2468 4030