The CFM-Imperial Institute of Quantitative Financepromotes interdisciplinary research activities related to the quantitative modeling of financial risks. Current topics of research of our team include:
- Market microstructure
-Optimisation with transaction costs
- Statistical modelling of financial time series
- Quantitative models of systemic risk and financial stability
-Counterparty risk and its implications for pricing and risk management
-Network models of interbank markets
The Institute supports doctoral training in topics related to mathematical modeling of financial markets through CFM-Imperial PhD Fellowships and is a partner of the EPSRC Centre for Doctoral Training in "Mathematics of Random Systems".