The Institute of Quantitative Finance promotes interdisciplinary research activities related to the quantitative modeling of financial risks. Current topics of research of our team include:

  • Statistical modelling of financial time series
  • Counterparty risk and its implications for pricing and risk management
  • Quantitative models of systemic risk and financial stability
  • Network models of interbank markets
  • Price dynamics in limit order markets
  • Agent-based models of financial markets
  • Optimal execution
  • Optimisation with transaction costs
  • Learning algorithms in market microstructure

The Institute supports doctoral training in topics related to mathematical modeling of financial markets through CFM-Imperial PhD Fellowship and is a  partner of the EPSRC Centre for Doctoral Training in Financial Computing and Analytics.