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Financial Mathematics and Control Theory Research

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. 

*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.*

Individual faculty interests are listed below, along with our Research students. 


Dr Christoph Czichowsky


Financial mathematics; stochastic optimal control; stochastic analysis; optimal portfolio choice; market frictions; transaction costs; shadow prices; duality; mean-variance portfolio optimisation



Dr Albina Danilova


Financial mathematics; derivative pricing and hedging in incomplete markets and/or under asymmetric information;  stochastic calculus; stochastic control and optimisation; insider trading; utility maximisation and equilibrium theory


Dr 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 optimisation; Gaussian processes



Dr Arne Lokka


Probability and financial mathematics; hedging and pricing of derivatives; utility maximisation and equilibrium theory; real investment decisions under uncertainty


Professor Adam Ostaszewski

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Mathematical finance; real options and accounting theory; corporate disclosure policy and bargaining theory; set-theoretic and general topology; analysis


Professor Johannes Ruf


Financial mathematics; stochastic portfolio theory; stochastic analysis; applied probability; econometrics; economic learning models; green finance; financial statistics; financial data


Professor Amol Sasane


Applicable analysis; topological algebras (especially Banach algebras of holomorphic functions); partial differential equations; mathematical control theory


Professor Luitgard Veraart


Financial mathematics; statistics in finance; risk management in financial markets; systemic risk; networks; modelling of energy markets; optimal investment problems; stochastic volatility models



Professor 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


Research Students