Financial Mathematics
Project ID: 2228cd1404 (You will need this ID for your application)
Research Theme: Mathematical Sciences
UCL Lead department: Mathematics
Lead Supervisor: Camilo Garcia
Project Summary:
Research areas will cover stochastic analysis and the theory of stochastic processes to more applied topics including the analysis and modelling of data sets. Across the range one finds research projects and interests focusing on, e.g., asset pricing and hedging (fixed-income, equity, credit, commodities & emissions markets, insurance, etc.), financial risk management, computational methods for finance and insurance, stochastic (partial) differential equations, control theory and applications, algorithmic finance, filtrations and information modelling, probabilistic numerical methods, rough path theory, statistical inference and machine learning, and research on heavy-tailed processes.
Research will also foster continued cooperation with the financial industry: members of the group co-author research papers with industry practitioners and are keen on collaborating with the financial and insurance industry on current issues and challenges. A number of senior industry practitioners are affiliated to UCL Mathematics allowing regular exchange of ideas and updates on research problems which benefit from cooperation between academia and the industry. There are also close links with the nearby Alan Turing Institute.