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The Academic Director of the MSc in Financial Mathematics is Dr. Alex Stremme |
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The Admissions Director of the MSc in Financial Mathematics is Chendi Zhang |
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The following faculty teach on the programme 10-11
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Office: Economics S1.97
Phone: +44 24 7615 0588
Pablo dot Beker at warwick dot ac dot uk
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Pablo Beker joined the Economics Department in September 2007, previously holding a position as Assistant Professor of Economics at Universidad de Alicante, Spain, October 2001- August 2007. Pablo completed his Phd in Economics at Cornell University in 2002, His main research intersts are Economic Theory, Dynamic foundations of rationality and efficiency and Wealth dynamics, and Financial Economics. He is Member of the Econometric Society, the Society for the Promotion of Economic Theory and the European Economic Association.
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Office: Statistics C0.11
Phone: +44 24 7615 0396
David dot Hobson at warwick dot ac dot uk
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David Hobson joined the Department of Statistics in January 2007, from the University of Bath. Until recently he held an EPSRC Advanced Fellowship. In 2005 he organised a 6-month programme at the Isaac Newton Institute on Developments in Quantitative Finance. He was co-organiser (Michael Monoyios was Principal Organiser) of a meeting entitled Further Developments in Quantitative Finance held in July 2007, in Edinburgh. In 2003 he was awarded the Adams Prize for his work in Financial Mathematics. See the University of Bath press release or the Guardian Unlimited story. One of the opportunities for the prize winner involves writing a survey article on the theme of the prize.
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Office: WBS C2.39
Phone: +44 24 7657 5698
Xing,Jin at wbs dot ac dot uk
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Xing Jin is an Associate Professor of Finance at Warwick Business School. Previously he held the posts of Professor at the Chinese Academy of Science, 1998-1999 and Assoiate Professor at National University of Singapore, 2005-2006. Xing's research interests are Asset Pricing; derivatives; portfolio choice; risk management; financial engineering. Recent publications include 'A state-space partitioning method for pricing high-dimensional American-style options' and 'Temporal aggregations and risk-return relation'.
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Office: Statistics C1.23
Phone: +44 24 7652 3032
J dot E dot Kennedy at warwick dot ac dot uk
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Joanne Kennedy is a Senior Lecturer in Statistics at Warwick, having joined the department in 1998. She previously held positions at the University of Oxford and Bristol. She gained her PhD in probability theory at the University of Cambridge after completing her undergraduate and MSc degrees at the University of Sydney. In recent years her research activities have focused on interest rate derivatives with particular attention to the modeling requirements of market practitioners. She is co-author with Phil Hunt of Financial Derivatives in Theory and Practice, John Wiley & Sons, 2nd Edition, 2004. Other recent publication include ‘A comparison of Markov-functional and market models: The one-dimensional case’, with Mike Bennett and ‘Longstaff-Schartz, effective model dimensionality and reducible Markov-functional models’ with P Hunt. |
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Office: Mathematics C2.14
Phone: +44 24 7652 8384
oleg dot kozlovski at warwick dot ac dot uk
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Oleg Kozlovski is reader in Mathematics at Warwick. His main research interests are in dynamical systems theory, hydrodynamics, financial time series analysis and its applications to real time trading. In 2001 he was awarded a Advanced Research fellowship by EPSRC. He was invited to give a talk on many major international congresses (including International Congress on Mathematical Physics, International congress on Dynamical Systems, etc) and has many publications in top mathematical journals. |
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Office: Statistics C0.16
Phone: +44 24 7657 2579
A dot J dot Lawrance at warwick dot ac dot uk
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Tony Lawrance is a professor in Warwick's Department of Statistics, having joined in November 2004 from being Professor and Head of Statistics and Management Mathematics at the University of Birmingham. He has held visiting positions in the USA, Australia, Hong Kong and Japan. While in Birmingham he developed a course in statistics and finance which has also been presented internationally. Former research interests include stochastic point processes and non-Gaussian time series modelling. Current research directions are in the statistical aspects of chaos, mainly in respect of communications modelling, diagnostic and validation aspects of statistical inference,and in nonlinear time series modelling. The latter is motivated by finance applications and by teaching in Warwick's Financial Mathematics masters programme. Preferred consulting and appliedwork is in engineering and finance, and in government use and misuseof statistics. Professor Lawrance has been a Vice-President of the Royal Statistical Society and is currently Chairman of its West Midlands region. Recent publications have appeared in Journal Royal Statistical Society, RSS Significance, IMA Mathematics Today, IEEE J Circuits Systems, Journal Institute Japan Electronics and Journal Circuits, Systems and Signal processing. |
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Office: WBS B2.19
Phone: +44 24 7652 2955
Anthony dot Neuberger at wbs dot ac dot uk
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Anthony Neuberger is Professor of Finance at Warwick. Prior to joining Warwick in 2004 he was an associate professor at the London Business School, where he was also associate dean and director of the full-time Masters in Finance programme. His current research interests include derivative markets, market microstructure and pensions policy, and he has recently published studies on investment management fees and commissions, the impact of derivatives use on the gold price and on pensions and the capital markets.
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Office: Mathematics B2.21
Phone: +44 24 7652 2651
F dot Theil at warwick dot ac dot uk
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Florian Theil is Associate Professor in the Mathematics Institute. His research interests include multiscale systems, analysis and nonlinear partial differential equations.
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Office: WBS B2.23
Phone: +44 24 7652 2701 Nick dot Webber at wbs dot ac dot uk
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Nick Webber, is reader of finance and director of the financial options research centre. His research interests include interest rate modelling and hedging, financial options and computational finance. Previously he was Director of the Centre for Computational Finance at Cass Business School, City University. Teaching and research experience outside the UK, including USA, Denmark, Italy and Switzerland. He has industrial experience prior to academic career.
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Office: Mathematics B2.22 Phone: +44 24 7652 2676 O dot V dot Zaboronski at warwick dot ac dot uk
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Oleg Zaboronski is a reader in Mathematics at Warwick, having joined the department in 1998. He previously held a postdoctoralposition at the Institute for Advanced Study at Princeton. He gainedhis PhD in mathematical physics from the University of Californiaat Davis and MSc in theoretical physics from Moscow EngineeringPhysics Institute.
His main research interests are in non-equilibrium statistical physics and turbulence, stochastistic processes and informationtheory for data storage. In 2004 he was awarded a Royal Society IndustryFellowship to conduct research into methods and algorithms for digitalsignal processing in an industrial setting.
Oleg has extensively published in the leading maths and physics journals (Communications in Mathematical Physics, Physical Reviews, Physical Reviews Letters, etc.) and has been invited to speak at the number of international conferences (International Congress for Mathematical Physics, International Conference on Magnetic Recording, etc.) |
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Office: Statistics
Phone: +44 24 7615 0920
N dot Zygouras at warwick dot ac dot uk
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Nikolaos Zygouras is an Assistant Professor in the Statistics Department of Warwick University. His research interests lie in the field of Probability Theory and Mathematical Physics (random media, statistical mechanics, stochastic PDEs).
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