The area of financial mathematics is concerned with the development and the analysis of models that can be of use to the valuation of investments in financial assets. Since the pioneering days of Black and Scholes, the area has attracted increasingly interest, reflecting the growth in the business of financial institutions. The part of financial mathematics that is concerned with the valuation of investment decision strategies overlaps with the theory of control and optimisation, which is a traditional branch of mathematics with a wide and far-reaching range of applications. Developments in both areas involve advanced theory from several areas of mathematics, including probability and stochastic processes, analysis, and partial differential equations.
*Note to prospective PhD candidates ONLY: please do not contact Financial Mathematics and Control Theory academics directly regarding PhD entry. Instead, please refer to MPhil and PhD in Mathematics.*
Individual faculty interests are listed below, along with our Research students.
Dr Ofelia Bonesini
Stochastic calculus: application to finance and to energy finance; numerical probability methods applied to finance; stochastic optimal control under complete and partial information; stochastic volatility models; Volterra SDEs; mean field games
Dr Christoph Czichowsky
Financial mathematics; stochastic optimal control; stochastic analysis; optimal portfolio choice; market frictions; transaction costs; shadow prices; duality; mean-variance portfolio optimisation
Dr Albina Danilova
Financial mathematics; derivative pricing and hedging in incomplete markets and/or under asymmetric information; stochastic calculus; stochastic control and optimisation; insider trading; utility maximisation and equilibrium theory
Dr Pavel Gapeev
Stochastic calculus; optimal stopping and free-boundary problems; pricing of American options; sequential testing and disorder detection problems; interest rate and credit risk models; illiquidity markets; stochastic impulse control and optimisation; Gaussian processes
Dr Arne Lokka
Probability and financial mathematics; hedging and pricing of derivatives; utility maximisation and equilibrium theory; real investment decisions under uncertainty
Professor Adam Ostaszewski
Mathematical finance; real options and accounting theory; corporate disclosure policy and bargaining theory; set-theoretic and general topology; analysis
Professor Johannes Ruf
Financial mathematics; stochastic portfolio theory; stochastic analysis; applied probability; econometrics; economic learning models; green finance; financial statistics; financial data
Professor Amol Sasane
Applicable analysis; topological algebras (especially Banach algebras of holomorphic functions); partial differential equations; mathematical control theory
Professor Luitgard Veraart
Financial mathematics; statistics in finance; risk management in financial markets; systemic risk; networks; modelling of energy markets; optimal investment problems; stochastic volatility models
Professor Mihail Zervos
Stochastic analysis; stochastic control and optimisation; optimal stopping problems; valuation of investment decisions and investments in real options; options of American type; derivative pricing in incomplete markets; weather derivatives