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International Laboratory of Quantitative Finance, National Research University Higher School of Economics, Moscow, Russia
Address: Russia, Moscow
E-mail:
Website: https://ilqf.hse.ru
Number of authors: 3
Number of publications: 2
Conferences: 1

Personnel: Gushchin, Alexander Alexandrovich
Zhitlukhin, Mikhail Valentinovich

The International Laboratory of Quantitative Finance (ILQF) was established at the HSE in June 2013 with financial support from the Russian Government pursuant to Decree ¹ 220 Concerning Measures to Attract Leading Researchers to Russian Universities.

Key areas of research

The ILQF focuses on mathematical models of financial markets, including transaction costs and taxes, actuarial models for financial markets, high-frequency trading models, and the dynamic risk management theory, as well as the development of probabilistic mathematical tools for analyzing such models. It also conducts research on risk assessment, portfolio optimization, liquidity risk, real options, and optimal stopping.

Financial econometrics is focused on systemic risk and its indicators, ratings of banks and financial corporations, and ways to consider inter-market interactions. Research is also carried out on the globalization of markets by examining the correlation between their global and local components and the dynamics of these relationships.

Key areas of educational activity

The ILQF develops and implements courses based on research findings in financial mathematics. These courses include Stochastic Analysis, Arbitrage Theory, Credit Risk Models, Risk Measurement Theory, Mathematical Models of Risk Management, Financial Markets with Transaction Costs.




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