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. 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 mathematiucal 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.

Events

• Stochastic Finance Reading Group
• Stochastic Finance Seminars

Related events at Warwick and elsewhere

Events organised or co-organised by members of SF@W:

• 2011/2012 EPSRC Symposium on Probability, Warwick
• Workshop on Stochastic Methods in Financial Markets, Ljubljana
• Short Courses, Warwick
  

People

Pre-prints

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.

There are two PhD degrees offered by the Department, a PhD in Statistics and a PhD in Mathematics and Statistics. The main difference is that the PhD in Mathematics and Statistics has a taught first year which is equivalent to a Masters qualification. This degree may not be appropriate for those who have already studied for a Masters, or equivalent.

For more information on Stochastic Finance @ Warwick please contact the Director, Professor David Hobson