***Note to prospective PhD candidates ONLY: please do not contact Financial Mathematics and Control Theory academics directly regarding PhD entry. Instead, please refer to MPhil and PhD in Mathematics.***
The area of financial mathematics is concerned with the development and the analysis of models that can be of use to the valuation of investments in financial assets. Since the pioneering days of Black and Scholes, the area has attracted increasingly interest, reflecting the growth in the business of financial institutions. The part of financial mathematics that is concerned with the valuation of investment decision strategies overlaps with the theory of control and optimisation, which is a traditional branch of mathematics with a wide and far-reaching range of applications. Developments in both areas involve advanced theory from several areas of mathematics, including probability and stochastic processes, analysis, and partial differential equations.
Christoph Czichowsky: Financial mathematics, stochastic optimal control, stochastic analysis, optimal portfolio choice, market frictions, transaction costs, shadow prices, duality, mean-variance portfolio optimisation.
Albina Danilova: Stochastic calculus and financial mathematics, in particular: filtering, enlargement of filtrations and stochastic control and optimisation; derivatives pricing and hedging in incomplete markets and/or under asymmetric information, utility maximization and equilibrium.
Pavel Gapeev: Stochastic calculus, optimal stopping and free-boundary problems, pricing of American options, sequential testing and disorder detection problems, interest rate and credit risk models, illiquidity markets, stochastic impulse control and optimization, Gaussian processes.
Arne Lokka: Probability and financial mathematics, with special emphasis on hedging and pricing of derivatives, utility maximization and equilibrium and real investment decisions under uncertainty.
Adam Ostaszewski: Mathematical finance, with a particular interest in real options and accounting theory, including Corporate Disclosure policy and Bargaining Theory. Other research interests include set-theoretic and general topology and topics in analysis such as automatic continuity and regular variation.
Amol Sasane: Applied Analysis. In particular, control theoretic problems for models described by partial differential equations.
Luitgard Veraart: Financial mathematics, particularly, optimal investment problems, stochastic volatility models, pricing of derivatives, risk management in financial markets.
Mihail Zervos: Stochastic analysis, stochastic control and optimisation, optimal stopping problems, valuation of investment decisions and investments in real options, options of American type, derivative pricing in incomplete markets, weather derivatives.