The Mathematical Finance Section of the Department of Mathematics at Imperial College London, is devoted to research on mathematical modeling and computational methods in finance. It is the largest research group in Mathematical Finance in the UK and is recognized as one of the world's leading research groups in this field.
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Research conducted in the Mathematical Finance section focuses on the quantitative modeling of financial markets and mathematical tools and theories - probability, statistics, partial differential equations, optimization, simulation - which underpin this modeling process. Recent research efforts have also focused on issues relevant to industry and regulatory issues such as counterparty credit risk, funding valuation, collateral modeling, central clearing of over-the-counter (OTC) derivatives, liquidity risk management, collateral transformation, the impact of new regulations on risk, multiple-curve term structure models and novel, holistic approaches to the modeling of financial risks and systemic risk.
Our research is disseminated through the Imperial College Mathematical Finance Working Paper Series.
The Mathematical Finance section offers a PhD programme, which trains highly skilled candidates towards research careers in academia and industry. PhD students are supported by public or private sources of funding and work on a wide range of topics in stochastic analysis, mathematical modeling of finance and computational finance. Some PhD projects are carried out in collaboration with industry sponsors. We are a founding partner of the London Graduate School in Mathematical Finance which provides an array of research-oriented courses for PhD students at participating institutions.
The Mathematical Finance section also offers an MSc, designed to prepare graduates with a prior training in mathematics, science or engineering for careers as quantitative analysts in the financial services industry.