Financial Mathematics
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King's College London Financial Mathematics |
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Introduction
The Financial Mathematics Research Group at King's College London was formed in 2000, and is staffed by Prof W.T. Shaw, Visiting Prof. C. Albanese, Dr A. Macrina, Dr C. Buescu, Dr T. Di Matteo (from Jan. 2009), Dr A. Jack, Dr A. Charafi, Dr P. Emms and post-doctoral fellow Dr K. Park. The group is based in the Department of Mathematics. In the 2008 Research Assessment Exercise, the Applied Mathematics unit containing Financial Mathematics had 65% of its research judged "internationally excellent" or "world leading", the highest figure recorded by any London college, and close to the UK national maximum of 75%. The main activities of the Financial Mathematics Group are briefly described below. More detail can be obtained by following the links on the right hand side of this page.
The MSc in Financial Mathematics at King's College London covers a full range of topics in mainstream mathematical finance and its applications. The curriculum includes, for example, derivatives pricing and hedging, asset price dynamics, risk analysis and extreme events, interest rate and foreign exchange processes, credit and inflation linked products, real options, energy derivatives, stochastic optimisation and control, and investment decision making, as well as other mathematical subjects of relevance to practical financial modelling. The programme is run by the Financial Mathematics Group in the Department of Mathematics at King's College London, and builds on the group's close links with financial institutions in the City and elsewhere throughout the world. It is designed to enhance the students' knowledge and understanding of the subject to the degree that they can competitively enter the pool of potential employees of financial institutions, as well as to provide the required training for students who wish to study for a doctoral degree in the area. The degree runs on a one-year full time or a two-year part time basis. Applications are invited for the full-time and part-time programmes starting in September 2009. More details about the MSc structure, entrance requirements, fees and application procedures can be found in the page MSc in Financial Mathematics.
In the spring of 2008 the financial mathematics group created the Centre for Financial Grid Computing. The Centre explores the use of advanced mathematical software in a grid environment. Apple is helping to create the project's grid computing infrastructure through the Apple Research & Technology Support (ARTS) programme. Wolfram Research is supplying GridMathematica to the project. Equity fundamental and price data is being supplied by Thomson Reuters. Further details are available here.
A PhD degree in financial mathematics, applied probability or another related area of mathematics is an asset that is highly valued by employers in the financial sector. The supervision of candidates for the PhD degree in financial mathematics and applied probability is one of the main activities of the Financial Mathematics Research Group. Applications from prospective PhD students are very welcome, including applications from international students. See also the page Research Activities.
The Financial Mathematics Group at King's College London is committed to a research activity of an outstanding international standard. The research interests of the group cover a big range of the mathematical finance spectrum. The group's research flourishes within the intellectually stimulating environment of the Department of Mathematics and is strengthened by the group's interaction with the other members of the faculty. More details about the research activity of the Financial Mathematics Group and lists of recent publications and preprints can be found in the page Research Activities.
The Financial Mathematics Group organises a series of regular seminars and conferences in mathematical finance and applied probability aiming at (a) supporting and stimulating the research environment within King's, and (b) providing the wider academic community as well as practitioners within financial institutions with access to the most recent advances in the area. The schedule of forthcoming seminars and other events can be found in the page Seminars and Conferences.
Members of the Financial Mathematics Group are available for in-house training in financial institutions on a wide range of specialised topics, and are also willing to undertake consultancy projects in their areas of specialisation. Contact: william.shaw@kcl.ac.uk |
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Financial Mathematics is a flourishing area of modern science.
Since the pioneering days of Black, Scholes and Merton, the
subject has developed rapidly into a substantial body of
knowledge. Its numerous applications have become vital to the day
to day functioning of the world's financial institutions. As a
consequence, a solid command of the principles and techniques of
quantitative finance is essential for a responsible approach to
the trading, asset management, and risk control of complicated
financial positions.