Stochastic Finance at Warwick draws together a variety of finance-related research and activities taking place within the Department of Statistics at the University of Warwick.
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, which has been updated to the MSc in Mathematical Finance. 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.
The research in Mathematical Finance within the Department of Statistics is concentrated on the use of stochastic processes and probabilistic modelling in mathematical finance, and encompasses fundamental research on the properties of no-arbitrage, stochastic volatility, interest rate modelling, American options and optimal stopping problems, agent interactions, robust and model-free hedging, along with many other topics.
Related events at Warwick and elsewhere
Events organised or co-organised by members of SF@W:
- Fudan-Warwick Spring School on Financial Mathematics and Stochastic Analysis, Shanghai
- Fudan-Warwick Workshop on Financial Mathematics and Stochastic Analysis, Warwick
Stochastic Finance @ Warwick preprints.
Applicants for PhD
We welcome expressions of interest from candidates interested in studying for a PhD in the general theme of stochastics and finance with one of the faculty listed above. Applicants should either contact members of staff, or apply directly.
The Warwick Centre of Doctoral Training (CDT) in Mathematics and Statistics is a new collaboration between the Mathematics Institute and the Department of Statistics which started in 2019. General information about this CDT can be found here.
For more information on Stochastic Finance @ Warwick please contact Gechun Liang