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Members

Teemu PennanenProfessor Teemu Pennanen,
Professor in Financial Mathematics and Head of Group

teemu.pennanen@kcl.ac.uk

Mathematical finance, risk management, convex analysis, optimization, stochastics, financial econometrics, computational techniques for stochastic optimization

      Departmental Profile / Personal Webpage



Tiziana DiMatteoProfessor Tiziana Di Matteo,

Professor of Econophysics

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  



Markus RiedleDr 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


 

JohnArmstrong

Dr John Armstrong,
Lecturer in Financial Mathematics

john.1.armstrong@kcl.ac.uk

Non linear filtering – applying ideas from information geometry to approximate solutions to non-linear   filtering problems. Special structures on Riemannian manifolds, especially Einstein metrics and almost Kahler structures.

Departmental Profile


 

 CristinBuescuDr Cristin Buescu,
Lecturer in Financial Mathematics

cristin.buescu(at)kcl.ac.uk

CVA (credit valuation adjustment): impact of closeout conventions and of the first to default, impact of regulatory Basel III framework on counterparty credit risk. 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



Martin FordeDr 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


 

Gechun-Liang

Dr Gechun Liang,
Lecturer in Financial Mathematics

gechun.liang@kcl.ac.uk

Mathematical finance and stochastic analysis. Backward stochastic differential equations (BSDEs), rough path theory, optimal investment and credit risk modeling and management. 

Departmental Profile / Personal Webpage


 

Aleksander MijatovicProfessor Aleksandar Mijatović
Chair in Probability

aleksandar.mijatovic@kcl.ac.uk

Aleksandar Mijatović holds a Chair in Probability, within the Financial Mathematics research group in the Department of Mathematics of King's College London.  Before joining KCL, Professor Mijatović was a Reader in Probability at Imperial College London and Associate Professor at the University of Warwick. He has worked as a front-office quantitative analyst for the Foreign Exchange Derivatives desk at the Royal Bank of Scotland in the City of London. His earlier positions include a Lectureship and a Research Fellowship at Imperial. He holds a PhD in low-dimensional topology from Trinity College, Cambridge.

 Departmental Profile

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Dr Roxana Dumitrescu
Lecturer in Financial Mathematics

roxana-larisa.dumitrescu@kcl.ac.uk

(joined 7 November 2016)


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