Our research in Probability in Finance and Insurance covers diverse aspects in quantitative modelling in finance, insurance, and risk management. Current areas include robust models on option pricing; model-uncertainty in decision making; valuation financial derivatives with exotic features; equilibrium with market constraints and informational asymmetry; optimal trading with micro-structure noise; insurance securitisation; contagion in financial and insurance markets; modelling energy, commodity markets and stochastic optimization and machine learning in finance.
Daniela Escobar - Assistant Professorial Lecturer
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Gelly Mitrodima - Assistant Professorial Lecturer
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Zezhun Chen
Research interests: Cluster Point Processes and INARMA Models.
Mingwei Lin
Research interests: market microstructure and stochastic processes.