To find out more about the research interests of group members shown below, please visit their personal website from the links below.
Prof Damiano Brigo
Damiano's research in stochastic analysis started with the differential geometric approach to statistics and its use in stochastic dynamical systems, and stochastic filtering in particular, where he co-originated the Projection Filter approach to filtering in the nineties. Research is still active on approximate finite dimensional filters that are obtained by projecting the infinite dimensional stochastic PDE of the filtering problem onto a finite dimensional manifold of probability densities according to a variety of metrics and manifolds. Analytical and numerical studies of the obtained approximations are considered.
Damiano's main interests are in mathematical finance and in particular concern derivatives valuation and hedging, funding costs and BSDEs, counterparty risk pricing and collateral modelling, and the new holistic and non-linear modelling approach emerging from the above points. Further interests include stochastic models for commodities and inflation, dependence dynamics, characterization of self-chaining arrival times, optimal execution and algorithmic trading, liquidity risk measurement and risk measurement in general.
Dr Thomas Cass
Thomas' research comprises both classical areas of Stochastic Analysis such as Malliavin Calculus and newly-emerging disciplines such as Rough Path Theory. He is also interested in the ways in which these mathematical insights can spur developments in numerical simulation in Mathematical Finance. More specifically, some of his interests include:
Prof Rama Cont
Rama's research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks: discontinuities in market behavior, extreme risks, endogenous risk and systemic risk.
Prof Dan Crisan
Dan’s research lies in the area of the theoretical analysis of stochastic dynamical systems and their numerical approximations grouped into four classes:
Stochastic partial differential equations, in particular the Zakai and the Kushner Stratonovitch equation. These stochastic PDEs govern the evolution of the solution of the continuous time stochastic filtering problem.
Partially observed Markov chains. These dynamical systems are related to the discrete time filtering problem. My results cover necessary and sufficient for the convergence of particle approximation to the solution of the filtering problem, optimal algorithms and the stability of the partially observed Markov chains.
Stochastic differential equations, in particular equations perturbed by degenerate noise and their applications to option pricing.
Forward-backward stochastic differential equations and their applications to nonlinear option pricing.
General research interests: Nonlinear Filtering, FBSDEs, Mathematical Finance, Particle Approximations, Malliavin Calculus, Stochastic Partial Differential EquationsVisit Prof Crisan's webpage
Dr Axel Gandy
- Statistics in Finance/Business
Dr Blanka Hovarth
Blanka is a Postdoctoral Fellow in the Department of Mathematics at Imperial College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.
Dr Antoine Jacquier
Antoine's research mainly focuses on the study of the asymptotic behaviour of stochastic processes.
He has in particular tackled the following issues:
General research interests: Large deviations, Implied vo latility, Asymptotic methods, Laplace methods on Wiener space, Mathematical Finance
Dr Nikolas Kantas
Nikolas's research interests are concerned with using simulation based methods for inference and optimisation problems.
Dr Aleksandar Mijatovic
Probability and Stochastic processes: martingale theory, SDEs and p rocesses with jumps.
Inference, calibration and simulation for continuous-time stochastic processes.
Dr Mikko Pakkanen
Mikko's research involves applied probability and stochastic processes, with applications to statistical methods and mathematical finance. In particular, he is interested in:
Mathematical Finance: market microstructure, modelling of limit order books, stochastic volatility models, transaction costs.
Probability: ambit stochastics, central and non-central limit theorems, discretisation of stochastic processes, random fields, support theorems.
Statistics: realised volatility, statistical inference for stochastic processes and random fields.
Dr Greg Pavliotis
Greg's research lies in the areas of stochastic processes and statistical mechanics. Currently he is working on the following problems:
• statistical inference for diffusion processes -Parametric and non-parametric maximum likelihood estimation for multiscale diffusions, Markov Chain Monte Carlo for nonreversible diffusions,
Dr Martijn Pistorius
Martijn's research is concerned with theoretical analysis of random processes, and their numerical realisations. Specific directions are as follows:
• Fluctuation theory; the study of pathwise extrema of a stochastic process. In particular, characterisation of first-passage times. These arise in various applications, for example the valuation of barrier options.
General research interests: Fluctuation theory, math ematical fin ance, Monte Carlo simulation, stochastic optimal control.
Dr Almut Veraart
Almut's research interests are in statistical methods for stochastic processes, with particular focus on:
• Inference for semimartingales, in particular asymptotic theory based on high frequency data.
General research interests: Statistica l meth ods for stochastic processes, financial econometrics, applied probability, mathematical finance.
Dr Nicholas Westray
|Qurat-Ul-Ain Azim||Dr Greg Pavliotis|
|Sergey Badikov||Prof Mark Davis / Dr Antoine Jacquier|
|Richard Bell||Dr Martijn Pistorius|
|Géraldine Bouveret||Dr Jean-Francois Chassagneux|
|Andrea Granelli||Dr Almut Veraart / Prof Dan Crisan|
|Wang Han||Prof Dan Crisan|
|Spyridon Kollias-Liapis||Prof Dan Crisan|
|Sebastian Krumscheid||Dr Greg Pavliotis|
|Kai Li||Prof Dan Crisan|
|Nengli Lim||Dr Tom Cass|
|Hao Liu||Dr Antoine Jacquier|
|Eamon McMurray||Prof Dan Crisan|
|Ivo Mihaylov||Dr Jean-Francois Chassagneux / Dr Antoine Jacquier|
|Francesco Mina||Dr Aleksandar Mijatovic|
|Nicola Pede||Prof Damiano Brigo|
|Patrick Roome||Dr Antoine Jacquier|
|Eric Schaanning||Prof Rama Cont|
|Fangwei Shi||MRes Student|
|Jonnnes Stolte||Dr Martijn Pistorius|
|Sean Violante||Prof Dan Crisan|
|Xun Yang||Dr Martijn Pistorius|
Check back here for infromation about visitors working with the Stochastic Analysis Group at Imperial College
Former Members of Stochastic Analysis Group
|Salvador Ortiz-Latorre||University of Oslo|
|Dr Michela Ottobre|
|Dr Yuxin Yang|