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.
Jobs
Currently the Department has a position advertised in Mathematical Finance at Assistant Professor level, for start in September 2025, and with a closing date of 6th January 2025.
2024/5 Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets Christoph Czichowsky, Martin Herdegen, and David Martins
2024/6 Market Making with Exogenous Competition Robert Boyce, Martin Herdegen, and Leandro Sánchez-Betancourt
2024/7 Risk, utility and sensitivity to large losses Martin Herdegen, Nazem Khan and Cosimo Munari
2023/1 An injective martingale coupling. David Hobson and Dominykas Norgilas.arXiv:2303.01578
2023/2 Predictable forward performance processes: Infrequent evaluation and applications to human-machine interactions, Gechun Liang, Moris Strub and Yuwei Wang
2023/3 A new monotonicity condition for ergodic BSDEs and ergodic control with super-quadratic Hamiltonians, Gechun Liang and Joe Jackson
SIAM Journal on Control and Optimization
2023/4A universal robust limit theorem for nonlinear Levy processes under sublinear expectation. Mingshang Hu, Gechun Liang, Lianzi Jian and Shige Peng
2023/5 Stochastic representation under g-expectation and applications: the discrete time case.
Miryana Grigorova and Hanwu Li
Journal of Mathematical Analysis and Applications
2022/3 When is Recursive Utility Well-Founded? Martin Herdegen, David Hobson and Joseph Jerome SSRN 4217738
2022/2 Vague and weak convergence for signed measures, Martin Herdegen, Gechun Liang and Osian Shelley.arXiv 2205.13207
2022/1 A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem, Martin Herdegen, Gechun Liang and Osian Shelley.ArXiv 2205.13075
2021/8 Proper solutions for Epstein-Zin Stochastic Differential Utility, Martin Herdegen, David Hobson and Joseph JeromeArXiv 2112.06708
2021/7 Callable convertible bonds under liquidity constraints. David Hobson, Gechun Liang and Haodong Sun.ArXiV:2111.02554
2021/6 Sensitivity to large losses and ρ-arbitrage for convex risk measures, Martin Herdegen and Nazem Khan SSRN 3925492
2021/5 A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of alpha-stable limit theorem under sublinear expectation, Mingshang Hu, Lianzi Jiang, Gechun Liang,arXiv:2107.11076
2021/4 Liquidity Provision with Adverse Selection and Inventory Costs, Martin Herdegen, Johannes Muhle-Karbe and Florian Stebegg,arXiv:2107.12094
2021/3 Bubbles in discrete time modelsss, Martin Herdegen and Dörte Kreher,arXiv:2104.12740
2021/2 The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility, Martin Herdegen, David Hobson and Joseph Jerome,arXiv:2107.06593
2021/1 A construction of the left-curtain coupling, David Hobson, Dominykas Norgilas,arXiv:2102.10549
2020/16 Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation, Jorge González Cázares and Aleksandar Mijatović,arXiv:2011.06618
2020/15 Joint density of a stable process and its supremum: regularity and upper bounds, Jorge González Cázares, Arturo Kohatsu-Higa and Aleksandar Mijatović,arXiv:2008.01894
2020/14 Reflecting random walks in curvilinear wedges,Mikhail V. Menshikov, Aleksandar Mijatović and Andrew R. WadearXiv:2001.06685
2020/13 Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection, Gechun Liang, Dingqian Sun andShanjian Tang,arXiv:2010.05707Link opens in a new window.
2020/12 Ergodic singular stochastic control motivated by the optimal sustainable exploitation of an ecosystem, Gechun Liang,Mihail Zervos,arXiv:2008.05576Link opens in a new window.
2020/10 A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models,Juan Li,Wenqiang Li and Gechun Liang,arXiv:2005.10660Link opens in a new window.
2020/9 Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes, Gechun Liang and Xingchun Wang,arXiv:2001.09443,To appear inReview of Derivatives Research
2020/6 Equilbrium Asset Pricing with Transaction Costs. M. Herdegen, D. Possamai and J. Muhle-Karbe, arXiv:1901.10989Link opens in a new windowTo appear in Finance and Stochastics
2020/5 Constrained optimal stopping, liquidity and effort. D. Hobson and M.Zeng,arXiv:1901.07270To appear in Stochastic Processes and Applications
2020/4 The shape of the value function under Poisson optimal stopping. D. Hobson,arXiv:2003.03834To appear in Stochastic Processes and Applications
2020/3 Cautious stochastic choice, optimal stopping and deliberate randomization. V.Henderson, D. Hobson and M.Zeng.SSRN Working Paper
2020/2 The potential of the shadow measure. M. Beiglboeck, D. Hobson and D. Norgilas.ArXiV:2008.09936
2020/1 Pricing and Hedging the No-Negative-Equity Guarantee in Equity-Release Mortgages. K. Engelbrecht and S. Jacka,arXiv:2010.02511
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2018/16 On finiteness and tails of perpetuities under a Lamperti-Kiu MAP, Larbi Alili & David Woodford,arXiv:1811.10286
2018/15 On the semi-group of a scaled skew Bessel process, Larbi Alili, Andrew Aylwin, to appear inStatistics & Probability Letters
2018/14 Stability of overshoots of zero mean random walks, Aleksandar Mijatović, Vladislav Vysotsky,arXiv:1812.05909
2018/13 A note on the exact simulation of spherical Brownian motion, Aleksandar Mijatović, Veno Mramor, Gerónimo Uribe Bravo,arXiv:1811.12107
2018/12 Geometrically Convergent Simulation of the Extrema of Lévy Processes, Jorge González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo,arXiv:1810.11039
2018/11 Non-asymptotic bounds for sampling algorithms without log-concavity, Mateusz B. Majka, Aleksandar Mijatović, Lukasz Szpruch,arXiv:1808.07105
2018/10 Stationarity of entrance Markov chains and overshoots of random walks, Aleksandar Mijatović, Vladislav Vysotsky,arXiv:1808.05010
2018/9 Exact Simulation of the Extrema of Stable Processes, Jorge Ignacio González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo,arXiv:1806.01870
2018/8 Projections of spherical Brownian motion, Aleksandar Mijatović, Veno Mramor, Gerónimo Uribe Bravo,arXiv:1806.00266
2018/7 Invariance principle for non-homogeneous random walks, Nicholas Georgiou, Aleksandar Mijatović, Andrew R. Wade,arXiv:1801.07882
2018/6 Trading with small nonlinear price impact, T. Cayé, M.Herdegen and J. Muhle-Karbe,SSRN:3067040
2018/5 Systems of ergodic BSDE arising in regime switching forward performance processes, Y. Hu, G. Liang and S. Tang,arXiv:1807.01816
2018/4 Optimal investment and consumption with forward preferences and uncertain parameters, W. F. Chong and G. Liang,arXiv:1807.01186
2018/3 Dynkin games with Poisson random intervention times, G .Liang and H. Sun,arXiv:1803.00329
2018/2 An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians, S. Huang G. Liang and T. Zariphopoulou,arXiv:1801.00583
2018/1 The left-curtain martingale coupling in the presence of atoms, D. Hobson and D. Norgilas,arXiv:1802:08337.
2017/5 Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs, G. Liang, Z. Yang and C. Zhou,arXiv:1711.02939. To appear in Mathematics and Financial Economics.
2017/1 Stability of Radner Equilibria with Respect to Small Frictions, M. Herdegen and J. Muhle-Karbe,SSRN:2921220Link opens in a new window, To appear in Finance and Stochastics.
2015/4 Integrability of solutions of the Skorokhod Embedding Problem for diffusions. D. Hobson.https://projecteuclid.org/euclid.ejp/1465067188Electronic J.Probability 20, #83 1-26, 2015. DOI:10.1214/EJP.v20-4121
2015/3 Finite, integrable and bounded time embeddings for diffusions. S. Ankirchner, D. Hobson and P.Strack. Bernoulli. 21(2), May 2015. 1067-1088http://arxiv.org/abs/1306.3942arXiv:1306.3942
2015/1Optimal consumption and sale strategies for a risk averse agent. D. Hobson and Yeqi Zhu.https://arxiv.org/abs/1409.3394To appear in SIAM J Financial Mathematics
2014/7 Henderson V, Hobson D, and A.S.L. Tse, 2014, Randomized Strategies and Prospect Theory in a Dynamic Context,SSRN Working paper, 27 Nov, 2014
2014/6 On Trading American Put Options with Interactive Volatility, S. Assing and Y. Zhao.arxiv:1411.6938
2013/4 A new look at short-term implied volatility in asset price models with jumps A Mijatovic (with Peter Tankov), Published in Mathematical Financehttp://arxiv.org/abs/1207.0843)
2013/3 Monotonicity of the value function for a two-dimensional optimal stopping problem. S Assing, SD Jacka and A Ocejoarxiv.org/pdf/1309.1404(Published in Annals of Applied Probability)
2013/2 Boundary crossing identities for Brownian motion and some nonlinear ode's. L. Alili and P. PatiearXiv:1211.2222
2013/1 Gambling in contests with regret. Han Feng and D.HobsonarXiv:1301.0719To appear in Mathematical Finance
2011/1 Utility theory front to back - inferring utility from agents' choices. A.M.G. Cox, D.Hobson and J. Obloj.arXiv:1101.3572
2010/5 Maximising functionals of the joint law of the maximum and terminal value in the Skorokhod embedding problem. D.Hobson and M. Klimmek.arXiv:1012.3909
2010/3 Constructing time-homogeneous generalised diffusions consistent with optimal stopping values. D.Hobson and M.KlimmekarXiv:1005.0160To appear inStochastics
2010/2 Time homogeneous diffusions with a given marginal at a random time. A.Cox, D.Hobson and J.Obloj.arXiv:0912.1719To appear inESAIM: Probability and Statistics. Special issue in honour of Marc Yor.DOI: 10.1051/ps/2010021
2010/1 Recovering a time-homogeneous stock price process from perpetual option prices. E.Ekstrom and D. HobsonarXiv:0903.4833To appear inAnnals of Applied Probability
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.
