Members
Professor Teemu Pennanen, Professor in Financial Mathematics and Head of Group
teemu.pennanen@kcl.ac.uk
Financial risk management, financial econometrics, mathematical finance and the development of computational techniques for risk management.
Departmental Profile / Personal Webpage
Professor Damiano Brigo, Gilbart Professor of Financial Mathematics
damiano.brigo(at)kcl.ac.uk
Elected to the Gilbart Professorship of Financial Mathematics from autumn 2010. Damiano's interests include pricing, risk measurement, credit, counterparty risk, and stochastic models for commodities and inflation.
Departmental Profile / Personal Webpage
Professor Claudio Albanese, Visiting Professor in Financial Mathematics
claudio(at)level3finance.com
Credit modelling; Operator methods; advanced numerical methods. Computational finance, including GPU computing techniques.
Personal Webpage
Dr Tiziana Di Matteo, Reader in Financial Mathematics
tiziana.di_matteo(at)kcl.ac.uk
Econophysics, network modelling, dependency, financial data studies, application of complex systems studies to finance.
Personal Webpage / Departmental Profile
Dr Markus Riedle, Reader in Financial Mathematics
markus.riedle@kcl.ac.uk
Stochastic functional differential equations, Lévy processes, stochastic analysis in infinite dimensional spaces, stochastic processes in Bananch spaces
Departmental Profile / Personal Webpage
Dr Andrea Macrina, Lecturer in Financial Mathematics
andrea.macrina(at)kcl.ac.uk
Models for credit risk and credit derivatives, models for inflation and interest rates, information-based approach to asset pricing.
Departmental Profile / Personal Webpage
Dr Cristin Buescu, Lecturer in Financial Mathematics
cristin.buescu(at)kcl.ac.uk
Portfolio management in markets with "friction factors" (taxes and transaction costs), utility maximisation, optimal stopping and stochastic control problems, numerical methods for free-boundary problems.
Departmental Profile / Personal Webpage
Dr Martin Forde, Lecturer in Financial Mathematics
martin.forde(at)kcl.ac.uk
Asymptotics for stochastic volatility models and Lévy processes with an emphasis on large deviations theory, and diffusion-type processes
Departmental Profile / Personal Webpage