School of Mathematics

Prof Klaus R Schenk-Hoppé

Centenary Chair in Financial Mathematics
Financial Mathematics

Contact details

Room: 9.22c
Tel: +44 (0)113 3435187
Email: K.R.Schenk-Hoppe @ leeds.ac.uk

Keywords

Evolutionary Finance
Mathematical Financial Economics
Dynamic Economic Theory
Random Dynamical Systems

Research interests

Understanding markets and the behaviour of its participants is vital for the prosperity of societies and individuals. Worryingly to the researchers, perhaps, the importance of markets and their smooth functioning becomes visible mostly when they fail and crisis strikes. My current research aims to improve our knowledge of financial markets, particularly the effect of boundedly rational behaviour and the role of regulations and the market architecture. The models in my research and their analysis combine finance and economic theory with the mathematics of random dynamical systems. My work is driven by the view that evolutionary principles have a large and unexplored potential to explain the dynamics modern markets, particularly financial markets.

Useful links

Personal homepage
Handbook of Financial Markets: Dynamics and Evolution

Selected publications

Handbook of Financial Markets: Dynamics and Evolution (eds. T. Hens and K. R. Schenk-Hoppé), volume in the Handbooks in Finance series (edited by William T. Ziemba), North-Holland, 2009 (608 pages).

Linearization and Local Stability of Random Dynamical Systems (Igor V. Evstigneev, Sergey A. Pirogov and Klaus Reiner Schenk-Hoppé). Proceedings of the American Mathematical Society, Vol. 139, p. 1061-1072, 2011.

Globally Evolutionarily Stable Portfolio Rules (Igor V. Evstigneev, Thorsten Hens and Klaus Reiner Schenk-Hoppé). Journal of Economic Theory, Vol. 140, p. 197-228, 2008.

Stochastic Equilibria in von Neumann-Gale Dynamical Systems (Igor V. Evstigneev and Klaus Reiner Schenk-Hoppé). Transactions of the American Mathematical Society, Vol. 360, p. 3345-3364, 2008.