We collaborate on our research with a range of companies and organisations in the UK and around the world, including the financial services industry, academic institutions, NGOs and the 3rd sector. We work across a diverse set of research areas, including:
Financial inclusion
Our financial inclusion research focusses on microinsurance and microfinance in low-income countries, with the aim of using the mathematical models we develop to help alleviate poverty around the world.
Extreme events
Our research in the area of extreme events focusses on how society can financially protect and recover from extreme events such as earthquakes and pandemics, and specifically how financial services can aid faster recovery.
Mortality and longevity modelling
Our research on mortality and longevity modelling supports and informs policy details for insurance companies and pensions.
Machine learning in finance
We harness machine learning technologies to both calibrate traditional financial stochastic models and to transition towards data-centric approaches. Using these techniques, we aim to tackle classically complex financial decision-making challenges such as analysing large financial datasets, pricing, and hedging complex financial instruments, mitigating operational risk, and forecasting price trends.
Pension mathematics
Our research in pension mathematics involves product design, modelling, and valuing pension savings in public and individual pension systems. We focus on a number of areas including mortality and interest rate modelling, analysing funding and investment strategies, regulatory compliance, and risk management.
Stochastic processes, stochastic analysis, and applications
We have global research expertise in topics such as stochastic analysis, backward-forward stochastic differential equations (FBSDEs), stochastic control, numerical stochastic differential equations, Malliavin calculus, Malliavin-Stein approach, rough path theory, regularisation by noise, pathwise methods in stochastic analysis, fractional Brownian motion, and Markov processes, particularly in their applications to stochastic finance and insurance.
Financial mathematics
Our financial mathematics research focuses on financial derivatives – contracts based on an underlying asset, group of assets, or benchmark, agreed upon by two or more parties. Our research encompasses pricing, hedging, risk management, optimal investment strategies, implied volatility modelling, and rough volatility models.