Stochastic Finance at 糖心TV draws together a variety of finance-related research and activities taking place within the Department of Statistics at the University of 糖心TV.
Mathematical finance is a relatively new and vibrant area of mathematics. As a branch of mathematics, it involves the application of techniques from stochastic processes, stochastic differential equations, convex analysis, functional analysis, partial differential equations, numerical methods, and many others. Moreover, the unique issues which arise in financial modelling have inspired fundamental research in each of these areas.
The Department of Statistics has a strong tradition of research in the mathematics of finance, and especially in the interface between stochastics and finance. The Department is a major contributor to the MSc in Financial Mathematics, one of the longest-running and most successful MScs in the area, which has been updated to theMSc in Mathematical Finance. This degree is a collaboration between the Department of Statistics, 糖心TV 糖心TV School and 糖心TV Mathematics Institute, and helps foster the close links between these Departments in research in finance.
The research in Mathematical Finance within the Department of Statistics is concentrated on the use of stochastic processes and probabilistic modelling in mathematical finance, and encompasses fundamental research on the properties of no-arbitrage, stochastic volatility, interest rate modelling, American options and optimal stopping problems, agent interactions, robust and model-free hedging, along with many other topics.
Jobs
We have an opening for an Assistant Professor (Mathematical Finance) with a closing date of 23 November 2025. You can find the job advertisement here:
2024/1 Make hay while the sun shines: An empirical study of maximum price, regret and trading decisions, Brettschneider J., Burro G. and Henderson V.
2024/2 Portfolio optimization under transaction costs with Recursive Preferences. M.Herdegen, D.Hobson and A. Tse.
2024/3 A monotone scheme for G-equations with application to the explicit convergence rate of robust central limit theorem, Gechun Liang, Shuo Huang,
Journal of Differential Equations, Vol.398, (2024), 1-37.
Miryana Grigorova, Marie-Claire Quenez, and Peng Yuan Electronic Journal of Probability Volume 29: 1-29, 2024
2024/5 Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets Christoph Czichowsky, Martin Herdegen, and David Martins
2024/6 Market Making with Exogenous Competition Robert Boyce, Martin Herdegen, and Leandro S谩nchez-Betancourt
2024/7 Risk, utility and sensitivity to large losses Martin Herdegen, Nazem Khan and Cosimo Munari
2023/1 An injective martingale coupling. David Hobson and Dominykas Norgilas.
2023/2 Predictable forward performance processes: Infrequent evaluation and applications to human-machine interactions, Gechun Liang, Moris Strub and Yuwei Wang
2023/3 A new monotonicity condition for ergodic BSDEs and ergodic control with super-quadratic Hamiltonians, Gechun Liang and Joe Jackson
SIAM Journal on Control and Optimization
2023/4A universal robust limit theorem for nonlinear Levy processes under sublinear expectation. Mingshang Hu, Gechun Liang, Lianzi Jian and Shige Peng
2023/5 Stochastic representation under g-expectation and applications: the discrete time case.
Miryana Grigorova and Hanwu Li
Journal of Mathematical Analysis and Applications
2022/3 When is Recursive Utility Well-Founded? Martin Herdegen, David Hobson and Joseph Jerome SSRN 4217738
2022/2 Vague and weak convergence for signed measures, Martin Herdegen, Gechun Liang and Osian Shelley.
2022/1 A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem, Martin Herdegen, Gechun Liang and Osian Shelley.
2021/8 Proper solutions for Epstein-Zin Stochastic Differential Utility, Martin Herdegen, David Hobson and Joseph Jerome
2021/7 Callable convertible bonds under liquidity constraints. David Hobson, Gechun Liang and Haodong Sun.
2021/6 Sensitivity to large losses and 蟻-arbitrage for convex risk measures, Martin Herdegen and Nazem Khan SSRN 3925492
2021/5 A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of alpha-stable limit theorem under sublinear expectation, Mingshang Hu, Lianzi Jiang, Gechun Liang,
2021/4 Liquidity Provision with Adverse Selection and Inventory Costs, Martin Herdegen, Johannes Muhle-Karbe and Florian Stebegg,
2021/3 Bubbles in discrete time modelsss, Martin Herdegen and D枚rte Kreher,
2021/2 The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility, Martin Herdegen, David Hobson and Joseph Jerome,
2021/1 A construction of the left-curtain coupling, David Hobson, Dominykas Norgilas,
2020/16 Simulation of the drawdown and its duration in L茅vy models via stick-breaking Gaussian approximation, Jorge Gonz谩lez C谩zares and Aleksandar Mijatovi膰,
2020/15 Joint density of a stable process and its supremum: regularity and upper bounds, Jorge Gonz谩lez C谩zares, Arturo Kohatsu-Higa and Aleksandar Mijatovi膰,
2020/14 Reflecting random walks in curvilinear wedges,Mikhail V. Menshikov, Aleksandar Mijatovi膰 and Andrew R. Wade
2020/13 Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection, Gechun Liang, Dingqian Sun andShanjian Tang,.
2020/12 Ergodic singular stochastic control motivated by the optimal sustainable exploitation of an ecosystem, Gechun Liang,Mihail Zervos,.
2020/11 Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times, Gechun Liang andHaodong Sun,.
2020/10 A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models,Juan Li,Wenqiang Li and Gechun Liang,.
2020/9 Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes, Gechun Liang and Xingchun Wang,To appear inReview of Derivatives Research
2020/8 A Dual Characterisation of Regulatory Arbitrage for Coherent Risk measures. M. Herdegen and N. Khan,
2020/7 An elementary approach to the Merton problem. M. Herdegen, D. Hobson and J. Jerome,
2020/6 Equilbrium Asset Pricing with Transaction Costs. M. Herdegen, D. Possamai and J. Muhle-Karbe, To appear in Finance and Stochastics
2020/5 Constrained optimal stopping, liquidity and effort. D. Hobson and M.Zeng,To appear in Stochastic Processes and Applications
2020/4 The shape of the value function under Poisson optimal stopping. D. Hobson,To appear in Stochastic Processes and Applications
2020/3 Cautious stochastic choice, optimal stopping and deliberate randomization. V.Henderson, D. Hobson and M.Zeng.
2020/2 The potential of the shadow measure. M. Beiglboeck, D. Hobson and D. Norgilas.
2020/1 Pricing and Hedging the No-Negative-Equity Guarantee in Equity-Release Mortgages. K. Engelbrecht and S. Jacka,
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2018/16 On finiteness and tails of perpetuities under a Lamperti-Kiu MAP, Larbi Alili & David Woodford,
2018/15 On the semi-group of a scaled skew Bessel process, Larbi Alili, Andrew Aylwin, to appear in
2018/14 Stability of overshoots of zero mean random walks, Aleksandar Mijatovi膰, Vladislav Vysotsky,
2018/13 A note on the exact simulation of spherical Brownian motion, Aleksandar Mijatovi膰, Veno Mramor, Ger贸nimo Uribe Bravo,
2018/12 Geometrically Convergent Simulation of the Extrema of L茅vy Processes, Jorge Gonz谩lez C谩zares, Aleksandar Mijatovi膰, Ger贸nimo Uribe Bravo,
2018/11 Non-asymptotic bounds for sampling algorithms without log-concavity, Mateusz B. Majka, Aleksandar Mijatovi膰, Lukasz Szpruch,
2018/10 Stationarity of entrance Markov chains and overshoots of random walks, Aleksandar Mijatovi膰, Vladislav Vysotsky,
2018/9 Exact Simulation of the Extrema of Stable Processes, Jorge Ignacio Gonz谩lez C谩zares, Aleksandar Mijatovi膰, Ger贸nimo Uribe Bravo,
2018/8 Projections of spherical Brownian motion, Aleksandar Mijatovi膰, Veno Mramor, Ger贸nimo Uribe Bravo,
2018/7 Invariance principle for non-homogeneous random walks, Nicholas Georgiou, Aleksandar Mijatovi膰, Andrew R. Wade,
2018/6 Trading with small nonlinear price impact, T. Cay茅, M.Herdegen and J. Muhle-Karbe,
2018/5 Systems of ergodic BSDE arising in regime switching forward performance processes, Y. Hu, G. Liang and S. Tang,
2018/4 Optimal investment and consumption with forward preferences and uncertain parameters, W. F. Chong and G. Liang,
2018/3 Dynkin games with Poisson random intervention times, G .Liang and H. Sun,
2018/2 An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians, S. Huang G. Liang and T. Zariphopoulou,
2018/1 The left-curtain martingale coupling in the presence of atoms, D. Hobson and D. Norgilas,.
2017/5 Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs, G. Liang, Z. Yang and C. Zhou,. To appear in Mathematics and Financial Economics.
2017/4 Scaling Limits of Processes with Fast Nonlinear Mean Reversion, T. Cay茅, M. Herdegen and J. Muhle-Karbe,
2017/3 Robust bounds for the American Put, D. Hobson and D. Norgilas,.
2017/2 Equilibrium Returns with Transaction Costs, B. Bouchard, M. Fukasaw, M. Herdegen and J. Muhle-Karbe,
2017/1 Stability of Radner Equilibria with Respect to Small Frictions, M. Herdegen and J. Muhle-Karbe,, To appear in Finance and Stochastics.
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2015/5 The Value of Being Lucky: Option Backdating and Non-Diversifiable Risk. Henderson V, Sun J. and A.E. Whalley,SSRN Working paper, 20 April,2015.
2015/4 Integrability of solutions of the Skorokhod Embedding Problem for diffusions. D. Hobson.Electronic J.Probability 20, #83 1-26, 2015. DOI:10.1214/EJP.v20-4121
2015/3 Finite, integrable and bounded time embeddings for diffusions. S. Ankirchner, D. Hobson and P.Strack. Bernoulli. 21(2), May 2015. 1067-1088arXiv:1306.3942
2015/2 Mimicking martingales. D. Hobson.To appear in Annals of Applied Probability.
2015/1Optimal consumption and sale strategies for a risk averse agent. D. Hobson and Yeqi Zhu.To appear in SIAM J Financial Mathematics
2014/7 Henderson V, Hobson D, and A.S.L. Tse, 2014, Randomized Strategies and Prospect Theory in a Dynamic Context,, 27 Nov, 2014
2014/6 On Trading American Put Options with Interactive Volatility, S. Assing and Y. Zhao.
2014/5. J Cvitanic, V Henderson and A Lazrak. Mathematics and Financial Economics, 8 (4), 453-471, 2014.
2014/4. V Henderson and G Liang. SIAM Journal on Control and Optimization, 54(2), 690颅717, 2016.
2014/3 Gambling in contests with random initial law. D. Hobson and H. Feng.To appear in Annals of Applied Probability
2014/2 Robust price bounds for the forward starting straddle, D. Hobson and M. Klimmek,, To appear in Finance and Stochastics.
2013/4 A new look at short-term implied volatility in asset price models with jumps A Mijatovic (with Peter Tankov), Published in Mathematical Finance)
2013/3 Monotonicity of the value function for a two-dimensional optimal stopping problem. S Assing, SD Jacka and A Ocejo(Published in Annals of Applied Probability)
2013/2 Boundary crossing identities for Brownian motion and some nonlinear ode's. L. Alili and P. Patie
2013/1 Gambling in contests with regret. Han Feng and D.HobsonTo appear in Mathematical Finance
2010/3 Constructing time-homogeneous generalised diffusions consistent with optimal stopping values. D.Hobson and M.KlimmekTo appear inStochastics
2010/2 Time homogeneous diffusions with a given marginal at a random time. A.Cox, D.Hobson and J.Obloj.To appear inESAIM: Probability and Statistics. Special issue in honour of Marc Yor.DOI: 10.1051/ps/2010021
2010/1 Recovering a time-homogeneous stock price process from perpetual option prices. E.Ekstrom and D. HobsonTo appear inAnnals of Applied Probability
Applicants for PhD
We welcome expressions of interest from candidates interested in studying for a PhD in the general theme of stochastics and finance with one of the faculty listed above. Applicants should either contact members of staff, or apply directly.
