Randomness is inherent to real world problems so faculty research in this area includes the development and application of probabilistic tools to model, predict, and analyze randomness in applications ...

Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest rates ...

Backward Stochastic Differential Equations (BSDEs) constitute a powerful framework where the solution is determined by a terminal condition and then propagated backwards in time. This innovative ...

The Annals of Applied Probability, Vol. 28, No. 1 (February 2018), pp. 1-34 (34 pages) In this paper, we aim to develop the stochastic control theory of branching diffusion processes where both the ...

This course is compulsory on the MSc in Financial Mathematics and MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Econometrics and Mathematical Economics, MSc ...