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Probability and Mathematical Finance

Probability

Probability theory is of great power and utility, and in the last hundred years has made significant contributions to almost all branches of science and engineering. Stochastic processes are, for example, ubiquitous throughout mathematical physics, essential in modern finance, and increasingly appear in the study of biological phenomena.

Moreover, probability theory is a core mathematical discipline in its own right, and has many beautiful connections with other parts of mathematics. Some of the main research themes can be found on the homepage of our Probability at Warwick group (P@W).

Probabilists from the Department of Statistics also have strong links and take part in many research activities with the Department of Mathematics, particularly those organised by the probability and statistical mechanics groups.

A list of people interested in probability can be found at http://www2.warwick.ac.uk/fac/sci/statistics/research/paw/#people.

More precise information about potential PhD projects in probability can be found here.

Stochastic Finance

Mathematical finance is a relatively new and vibrant area of mathematics. As a branch of mathematics it involves the application of techniques from stochastic processes, stochastic differential equations, convex analysis, functional analysis, partial differential equations, numerical methods, and many others. Moreover, the unique issues which arise in financial modelling have inspired fundamental research in each of these areas.

The Department of Statistics has a strong tradition of research in the mathematics of finance, and especially in the interface between stochastics and finance. The Department is a major contributor to the MSc in Financial Mathematics, one of the longest running and most successful MScs in the area. This degree is a collaboration between the Department of Statistics, Warwick Business School and Warwick Mathematics Institute, and helps foster the close links between these Departments in research in finance.

More detailed information can be found on the homepage of our Stochastic Finance at Warwick (SF@W) group, and a list of members of staff interested in Stochastic Finance can be found at: http://www2.warwick.ac.uk/fac/sci/statistics/research/sfw/#sfawpeople.

Some of the potential PhD projects in this topic can be found at this link.

A typical student's experience -- Alex Tse

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I first came to Warwick in 2008 for a one-year MSc course in Financial Mathematics. Having spent several years working in the industry thereafter, Warwick remained to be my first choice when I decided to pursue a doctoral study in the same subject.

The Department of Statistics has provided me a stimulating environment to build up my research skill set. I particularly love the size of the community here - large enough to host a variety of research areas but small enough to facilitate interaction among the PhD students and the faculty members. I have also been greatly benefited from the resources and training offered by the department, ranging from regular research seminars to workshops on support classes teaching. There are just so many things happening around which make my PhD experience here very rewarding and exciting!