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Financial Mathematics

King’s College has a large and thriving Financial Mathematics group, with an international reputation for research excellence. 

Based in Central London in close proximity to the City of London, King’s has fostered strong links with industry practitioners and offers state of the art facilities, including a suite of high performance Bloomberg Terminals as used on real trading floors and other advanced computing facilities.

Mathematics has revolutionized the finance industry. Financial mathematics originated in the early 1970s with the seminal papers of Black, Scholes and Merton and has subsequently evolved into a trillion dollar industry. The entire derivatives market relies upon financial mathematics, and the use of mathematical risk management principles is ubiquitous throughout the financial industry. In the wake of the financial crisis in 2008, the need for sound risk management and sophisticated, realistic modelling has been critical.

The mathematical techniques used in finance bring together a number of different branches of pure and applied mathematics, including but not limited to: probability, optimization, functional analysis, partial differential equations, statistics, geometry, complex systems and numerical analysis. Moreover, financial mathematics has benefited from cross-fertilisation with other disciplines such as economics, operations research, theoretical physics, and computer science.

As a result, financial mathematics offers a wealth of research opportunities across pure and applied mathematics, and the research of the financial mathematics group at King’s reflects this diversity. We research questions as applied as how to invest your pension and as pure as the existence and uniqueness of solutions to infinite dimensional stochastic differential equations. Our faculty have diverse backgrounds in mathematics, physics, computing and the financial industry which results in a lively sharing of ideas.

We have forged excellent links with industry and regularly engage in collaborative research and consultancy projects with industry partners.

We are committed to active research of international excellence.

Members of the Financial Mathematics Group are available for in-house training in financial institutions on a wide range of specialised topics, and also regularly undertake consultancy projects in their areas of specialisation. Contact: teemu.pennanen@kcl.ac.uk.