Adam Kolkiewicz

Since joining the Faculty of Mathematics in 1995, Professor Kolkiewicz has been involved in consulting activities related to the valuation and hedging of exotic financial contracts. Currently, he provides consulting for the Integrated Managed Futures Corp., which is a member of the Integrated Asset Management Corp., Canada's leading provider of alternative asset classes.

Professor Kolkiewicz's research interests are primarily in the areas of statistics and financial mathematics. In statistics, he has focused on statistical tools for time series analysis, robust methods of estimation, and asymptotic methods of inference. In his research on financial risks, he has worked on valuation and hedging problems in the context of incomplete markets. Such situations typically arise in realistic models of asset prices, such as stochastic volatility models, or in insurance contracts that are linked to equity markets and provide some form of protection. For the latter class of models, Professor Kolkiewicz has developed a framework that enabled him to model jointly the market risk and the risk of the early withdrawal of a policyholder.

Professor Kolkiewicz has also done research on numerical methods in finance. He has focused on techniques for high-dimensional problems that use the dynamic programming approach. These methods have applications in numerous practical problems, such as pricing of American options, hedging, and dynamic selection of a portfolio. Recently, with his colleagues, he has proposed a novel approach to this problem, which uses low discrepancy points.