The Team

Our Research Associates

An international network of 23 quantitative researchers. Eastern European, Nordic, and East Asian backgrounds, spanning stochastic control, fixed income, computational mathematics, and quantitative macro.

Leadership

Institute Leadership

HS

H. Strakoš

Director General

Stochastic control, mean field games, institutional research strategy

MFG HJB Stochastic Control
AK

A. Kozmínski

Deputy Director

Fixed income modelling, macroeconomic dynamics, policy research

Fixed Income Macro Term Structure
TZ

T. Zamrik

Head of Research

HJB equations, MFG, numerical PDE methods, Lévy processes

HJB MFG Numerical PDE Lévy
Research Network

Research Associates

EN

E. Novákova

Senior Associate

Lévy processes, jump-diffusion pricing, Wiener–Hopf factorisation

Lévy Options Wiener–Hopf
JB

J. Björkman

Senior Associate

Affine term structure models, bond pricing PDEs, LIBOR transition

Fixed Income Term Structure Calibration
MV

M. Veselý

Senior Associate

Finite-difference schemes, American options, free-boundary problems

Numerical PDE Options Free Boundary
KL

K. Lindström

Senior Associate

Stochastic optimal control, singular control, real options

Stochastic Control Real Options HJB
PH

P. Hartmann

Senior Associate

Systemic risk, heterogeneous-agent models, DSGE methods

Macro Systemic Risk MFG
SV

S. Vukovic

Associate

Exotic derivatives pricing, Monte Carlo methods, model risk

Options Monte Carlo Model Risk
RC

R. Csernák

Associate

Portfolio optimisation under transaction costs, MFG equilibria

Portfolio Theory MFG Transaction Costs
AM

A. Mäkinen

Associate

FEM and finite-element methods for parabolic PDEs in finance

Numerical PDE FEM Parabolic PDE
DR

D. Řezníček

Associate

Mean field control, McKean–Vlasov SDEs, particle methods

MFG McKean–Vlasov Particle Methods
YN

Y. Nakashima

Associate

Machine learning for PDE solvers, deep BSDE methods

Deep Learning BSDE Numerical PDE
IP

I. Petrov

Associate

Stochastic volatility calibration, rough volatility, SPX options

Volatility Options Calibration
OH

O. Halvorsen

Associate

Sovereign wealth fund allocation, long-horizon optimal investment

Portfolio Theory Stochastic Control Macro
LK

L. Kováčová

Associate

Credit risk modelling, structural models, CVA/DVA computation

Credit Risk Structural Models XVA
FE

F. Eriksson

Associate

High-frequency market microstructure, optimal execution, MFG

Microstructure Optimal Execution MFG
TW

T. Wróblewski

Associate

Inflation modelling, central bank quantitative easing, DSGE

Macro Fixed Income Central Banking
CV

C. Varga

Associate

Numerical methods for integro-differential equations, PIDE solvers

Numerical PDE PIDE Lévy
BK

B. Koskinen

Associate

Commodity derivatives, energy market modelling, forward curves

Commodities Energy Derivatives
GS

G. Szabó

Associate

Systemic contagion, interbank networks, macro-prudential policy

Systemic Risk Networks Macro
WJ

W. Jankowski

Associate

Quantitative ESG, climate risk pricing, transition risk models

ESG Climate Risk Fixed Income
ZH

Z. Horáček

Associate

Differential games, Isaacs equations, pursuit-evasion problems

Differential Games HJI Stochastic Control

Research independence & client communication

IADU research associates contribute independently under the institutional umbrella. All client engagement, consulting inquiries, and institutional communication are handled exclusively through the Head of Research. Associates do not manage external relationships directly.

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