PhD research in risk and stochastics encompass many aspects of the discipline. Methodological and theoretical research is mainly guided by applications with the aid of both academic and industrial experts, covering topics of modern stochastic finance with an emphasis on insurance and financial mathematics. Applications include pricing and hedging exotic products, counterparty risk, portfolio optimisation, risk management and insurance, risk transfer and securitisation, etc.

Research topics may be identified in advance by the applicant or may be arrived at through communication with a potential supervisor. The relative emphasis on methodology/theory vs. application may vary.

If you are interested in applying to undertake PhD research in risk and stochastics, you are welcome to contact members of staff regarding a suitable topic for your research proposal.

Suggested research areas of PhD research projects include:

Energy markets
Excursions of Lévy processes and applications in finance and insurance
Financial market with frictions
Information asymmetry
Interface between insurance and finance
Model uncertainty quantification
Lévy processes
Optimal stopping
Point processes in insurance and credit risk
Quantile options and options based on occupation times
Stochastic analysis and its applications in financial mathematics
Stochastic control and analysis of partial differential equations in mathematical finance