Financial Mathematics
- Research group overview
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Our research interests cover a number of different inter-related areas.
These interests include mathematical finance and more generally probability and statistics, including (but not limited to) stochastic processes, stochastic control, and nonlinear filtering. In the mathematical finance sector research is active on derivatives pricing and hedging; asset price dynamics; interest rate, inflation and FX models; credit risk models; equity and commodities models; volatility smile modeling; counterparty risk (CVA) pricing; liquidity modeling; mortality risk; real options; risk management; portfolio optimisation under constraints; computational finance; information-based asset pricing; econophysics, differential geometric approach to statistics, information geometry.
- Credit risk and pricing of credit derivatives
- Information-based modelling of asset prices
- Models for inflation and of inflation-linked securities
- Hybrid products
- Interest rate modelling
- Insurance reserving
• Application of methods from Statistical Physics to Finance
• Complex Systems
• Science of Networks
Others:
• Granular materials
• Numerical simulations of diffusive processes for the analysis of the magnetic properties in new materials
• Strongly Correlated Electronic Systems and High-Tc Superconductivity
