The application of mathematical methods to financial problems, including pricing and hedging of derivatives, portfolio optimisation, risk management, and market microstructure. Draws on stochastic calculus, PDE theory, optimisation, and probability.
The application of mathematical methods to financial problems, including pricing and hedging of derivatives, portfolio optimisation, risk management, and market microstructure. Draws on stochastic calculus, PDE theory, optimisation, and probability.