Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest rates ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

Randomness is inherent to real world problems so faculty research in this area includes the development and application of probabilistic tools to model, predict, and analyze randomness in applications ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Stochastic processes as a research area focuses on the mathematical modeling and analysis of systems that evolve randomly over time, typically formalized as families of random variables indexed by ...

Our research focus here employs probabilistic and analytic methods to explore complex random systems. At its core, the methods developed and utilized include a wide array of tools from stochastic ...

This course is compulsory on the MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Econometrics and Mathematical Economics, MSc in Financial Mathematics, MSc in ...