Quantitative Methods for Finance

Computer terminal displaying asset price graph

The QMF research group utilises mathematical, statistical, and numerical methods to solve complex problems in finance.

Research topics include

  • pricing and hedging of derivative securities,
  • interest rate modelling and structured debt products,
  • algorithmic/automated trading strategies,
  • asset pricing and portfolio management,
  • risk measurement and management (credit risk, Basel Accord, etc),
  • stochastic analysis and stochastic differential equations,
  • real options,
  • numerical methods and Monte-Carlo techniques,
  • pattern recognition and machine learning in financial time series,
  • real estate derivatives,
  • energy derivatives,
  • applications to a variety of FinTech products.
The group has a number of PhD studentships available:  Please contact Professor Jamie Alcock for further information.

Head of QMF Group

Professor Jamie Alcock

Professor Jamie Alcock

Professor of Mathematics and Finance
Deputy-Dean, Jinan-Birmingham Joint Institute

Professor Alcock's research explores the pricing and management of convexity in finance and real estate, with a particular interest in convex dependence structures.

Academic Staff

Dr Monita Baruah

Dr Monita Baruah

Associate Professor
Programme Director of MSc Financial Mathematics, Dubai

Dr Baruah's research interests are on regression and time series analysis for business and health analytics, as well as queueing theory.

Dr Ding Chen

Dr Ding Chen

Associate Professor in Financial Mathematics

Dr Chen's research interests include Asset Pricing, Derivative Pricing, Term-Sturcture Modelling, Volatility Dynamics, and so on.

Dr Henry Chiu

Dr Henry Chiu

Assistant Professor of Mathematical Finance

Henry Chiu is an Assistant Professor of Mathematical Finance. His research interests are Stochastic Analysis and Mathematical Finance.

Personal webpage.

Dr Jingyu Huang

Dr Jingyu Huang

Lecturer

Dr Huang's primary areas of research involve stochastic analysis and stochastic partial differential equations.

Dr Jiahua Jiang

Dr Jiahua Jiang

Assistant Professor

Dr Jiang's research interests are: inverse problems and imaging; model order reduction; uncertainty quantification.

Dr David Leppinen

Dr David Leppinen

Senior Lecturer

Dr Leppinen has extensive experience applying mathematics to examine industrial processes. He is currently studying the dynamics of free surface flows, particularly the compressible and incompressible dynamics of bubbles and droplets.

Dr Hui Li

Dr Hui Li

Reader in Statistics and Econometrics

Dr Li works in environmental and natural resource economics, and applied econometrics.

Professor Jinglai Li

Professor Jinglai Li

Professor

Dr Li has research interests in scientific computing, computational statistics and uncertainty quantification.

Dr Arnaud Lionnet

Dr Arnaud Lionnet

Lecturer

Dr Lionnet's research interests span theoretical and numerical analysis of Backward Stochastic Differential Equations (BSDEs), probabilistic numerical methods for PDEs, and systemic risk in financial networks.

Dr Matthias Sachs

Dr Matthias Sachs

Assistant Professor in Applied Mathematics and Statistics

Dr Sachs's research interests are in numerical analysis of stochastic differential equations; computational statistics, the design and analysis of Markov chain Monte Carlo methods; machine learning methods for molecular systems/dynamics.

Dr Xiaocheng Shang

Dr Xiaocheng Shang

Associate Professor in Mathematical Optimisation and Data Science

Dr Shang's primary research interests lie in the optimal design of numerical methods for stochastic differential equations with a strong emphasis on applications ranging from computational mathematics, statistics, physics, to data science.

Dr Jia Shao

Dr Jia Shao

Assistant Professor

Dr Shao's principal research interests are in the intersection of financial and actuarial mathematics: quantitative analysis of Insurance-Linked Securities (ILS), Extreme Value Theory (EVT) and heavy-tailed distributions, with an emphasis on pricing catastrophe risk (CAT) bonds, nuclear power-linked securities and applications.

Dr Yuzhao Wang

Dr Yuzhao Wang

Associate Professor

Dr Wang's primary research area is mathematical analysis of nonlinear dispersive PDEs, with tools from harmonic analysis, probability theory, and dynamical systems. In particular, he is interested in Strichartz estimates and its applications to dispersive nonlinear PDEs, probabilistic aspects of nonlinear dispersive PDEs, and normal form method applied to nonlinear dispersive PDEs.