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Financial Mathematics

We are active in research areas, which range from stochastic analysis and the theory of stochastic processes to more applied topics including the analysis and modelling of data.

UCL research in financial mathematics is versatile and interdisciplinary as the nature of this dynamic field of mathematical science is. We are active in research areas, which range from stochastic analysis and the theory of stochastic processes to more applied topics including the analysis and modelling of data sets. Across the range one finds research projects and interests focusing on, e.g., asset pricing and hedging (fixed-income, equity, credit, commodities & emissions markets, insurance, etc.), financial risk management, computational methods for finance and insurance, stochastic (partial) differential equations, control theory and applications, algorithmic finance, filtrations and information modelling, probabilistic numerical methods, rough path theory, statistical inference and machine learning, and research on heavy-tailed processes.

Apart from running a successful Masters programme in financial mathematics, we also foster continued cooperation with the financial industry. We co-author research papers with industry practitioners and are keen on collaborating with the financial and insurance industry on current issues and challenges. A number of senior industry practitioners are affiliated to UCL Mathematics allowing regular exchange of ideas and updates on research problems which benefit from cooperation between academia and the industry. We are a member of the London Graduate School of Mathematical Finance, co-organise the London Mathematical Finance Seminar series, and run the financial mathematics practitioner seminars.

Group Members

Dr Camilo Garcia Trillos
Dr Andrea Macrina
Prof Carlo Marinelli
Dr Hao Ni
Dr Daniel Schwarz