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MSc in Mathematics and Finance

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Offering excellent training in modern applied mathematics to study problems ranging from climate modelling to the dynamics of opinion formation in societies.

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Mathematical Finance Section

The Maths Finance section is devoted to research on mathematical modeling and computational methods in finance. It is recognised as one of the world's leading research groups in this field.

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Scholarships in Quantitative Finance

There are few scholarships available for applicants in the MSc Mathematics and Finance

Imperial College London - Department of Mathematics

Johannes muhle-karbe, current position and curriculum vitae:.

• I am the Head of the Mathematical Finance Section in the Department of Mathematics at Imperial College London , and the Director of the CFM-Imperial Institute of Quantitative Finance .
• Previously, I held faculty positions at Carnegie Mellon University , the University of Michigan , and ETH Zürich .
• I serve as an associate editor for the Annals of Applied Probability , Applied Mathematical Finance , Frontiers of Mathematical Finance , the International Journal of Theoretical and Applied Finance as well as Mathematics and Financial Economics .
• Curriculum Vitae [ pdf ]
• Citation List from Google Scholar

Current and Past PostDocs and PhD Students:

• David Itkin , Chapman Fellow. Imperial College London , From August 2022. From August 2024: tenure-track assistant professor at London School of Economics .
• Henry Chiu , EPSRC Fellow (project EP/W007215/1). Imperial College London , October 2022-September 2023. Now tenure-track assistant professor at the University of Birmingham .
• Emma Hubert , CFM Fellow. Imperial College London , October 2020-August 2021. Now tenure-track assistant professor at Princeton University .
• Andreas Sojmark , Chapman Fellow. Imperial College London , October 2019-September 2021. Now tenure-track assistant professor at London School of Economics .
• Sebastian Herrmann , Byrne Research Assistant Professor. University of Michigan , September 2016-August 2019. Lecturer in Mathematical Finance at University of Manchester 2019-2022. Now quantitative researcher at Susquehanna International Group (SIG) .
• Martin Herdegen , Postdoctoral Fellow (SNF project 150101 ). ETH Zürich , September 2014-August 2016. Now Reader (Associate Professor) at the University of Warwick .
• Sturmius Tuschmann , PhD student (with Eyal Neuman ), CDT Random Systems. Imperial College London , from October 2023.
• Mateo Rodriguez Polo , PhD student (with Dylan Possamaï ). ETH Zurich , from October 2023.
• Connor Tracy, PhD student (EPSRC Case Conversion Fellowship in collaboration with BNP Paribas ). Imperial College London , from October 2021.
• Joseph Mulligan , PhD student (with Antoine Jacquier , CDT Random Systems in collaboration with Qube Research & Technologies ). Imperial College London , from October 2021.
• Owen Futter , PhD student (with Blanka Horvath , CDT Mathematics of Random Systems , in collaboration with Catley Lakeman Securities ). Imperial College London , from October 2021.
• Jean Herskovits , PhD student (in collaboration with Nomura ). Imperial College London , from October 2020.
• Benjamin Weber , (with Martin Larsson ), Principal-Agent Problems for Market Making. Carnegie Mellon University , defended in November 2023.
• Zexin Wang , Optimal Trading with Frictions . Imperial College London ( Schrödinger-Roth fellow ), defended in April 2023. Now quantitative analyst at Squarepoint Capital .
• Xiaofei (Fei) Shi , Equilibrium Asset Pricing with Transaction Costs. Carnegie Mellon University , defended in May 2020. Now tenure-track assistant professor at the University of Toronto .
• Thomas Caye , "> Trading with Small Nonlinear Price Impact: Optimal Execution and Rebalancing of Active Investments . ETH Zürich , defended in May 2017. Postdoc (SNF project 175133 ) with Paolo Guasoni at Dublin City University . Now quantitative analyst at Susquehanna International Group (SIG) .
• Ren Liu , Portfolio Selection with Frictions . ETH Zürich , defended in December 2015. Now risk control specialist at Migros Bank.
• Blanka Horvath (with Josef Teichmann ), Robust Methods for the SABR Model and Related Processes: Analysis, Asymptotics and Numerics . ETH Zürich , defended in October 2015. Postdoc (SNF project 165248 ) with Antoine Jacquier at Imperial College London . Now associate professor at University of Oxford .

Teaching at Imperial:

• Spring 2024: MATH70127 Quantitative Trading and Price Impact.
• Spring 2023: MATH97235 Portfolio Management; MATH70127 Algorithmic and High-Frequency Trading (with Kevin Webster ) .
• Spring 2022: MATH97235 Portfolio Management .
• Spring 2021: MATH97235 Portfolio Management .
• Spring 2020: MATH97235 Portfolio Management; MATH97230 Market Microstructure . .

Mathematical Finance at Imperial:

• ETH - Hong Kong - Imperial Workshop on "Mathematical Finance" , June 17-20, 2024. Co-organized with Ofelia Bonesini , Lukas Gonon , David Itkin , Eyal Neuman , and Yufei Zhang . Supported by the Cecilia Tanner Funding Scheme .
• Workshop on "Market Microstructure" , April 9, 2024.
• The CFM-Imperial Workshop on "Market Microstructure" , December 11-12, 2023. Co-organized with Hanna Assayag , Jean-Philippe Bouchaud , Alexander Barzykin , and Eyal Neumann . Hosted by HSBC Global Markets .
• Workshop on "New Trends in Machine Learning for Finance" , March 30, 2023. Co-organized with Lukas Gonon . Supported by the Cecilia Tanner Funding Scheme .
• Workshop on "Stochastic Portfolio Theory" , March 15, 2023. Co-organized with David Itkin .
• Workshop on "Machine Learning for Optimal Control" , July 13, 2022. Co-organized with Panos Parpas . Supported by the Quantitative Sciences Research Institute .
• Conference on "New Trends in Stochastic Control" , July 11-12, 2022. Co-organized with Christoph Czichowsky and Roxana Dumitrescu . Supported by the London Mathematical Society .
• The CFM-Imperial Workshop on "Market Microstructure" , December 12-13, 2019. Co-organized with Jean-Philippe Bouchaud , Charles-Albert Lehalle , and Eyal Neumann . Hosted by HSBC Global Markets .
• CFM-Imperial Quantitative Finance Seminar
• Finance and Stochastics Seminar
• Hedging of Fixing Exposure , with Roel Oomen and Benjamin Weber . Preprint, 2024. [ SSRN ]
• Trading with Concave Price Impact and Impact Decay - Theory and Evidence , with Natascha Hey , Iacopo Mastromatteo and Kevin Webster . Preprint, 2023. [ SSRN ]
• Optimal Contracts for Delegated Order Execution , with Martin Larsson and Benjamin Weber . Preprint, 2023. [ SSRN ]
• Tackling Nonlinear Price Impact with Linear Strategies , with Xavier Brokmann , David Itkin and Peter Schmidt . Preprint, 2023. [ SSRN ]
• Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs , with James Sefton and Xiaofei Shi . Preprint, 2023. [ SSRN ]
• Pre-Hedging , with Roel Oomen . Preprint, 2023. [ SSRN ]

Publications:

• The Cost of Misspecifying Price Impact , with Jean-Philippe Bouchaud , Natascha Hey , Iacopo Mastromatteo and Kevin Webster . Risk , to appear. [ SSRN ]
• Stochastic Liquidity as a Proxy for Nonlinear Price Impact , with Zexin Wang and Kevin Webster . Operations Research , to appear. [ SSRN ]
• Closed-Loop Nash Competition for Liquidity , with Alessandro Micheli and Eyal Neuman . Mathematical Finance , Vol. 33 (2023), No. 4, pp. 1082-1118. [ Article | arXiv | SSRN ]
• A Leland Model for Delta Hedging in Central Risk Books , with Zexin Wang and Kevin Webster . Mathematical Finance , Vol. 33 (2023), No. 3, pp. 504-547. [ Article | SSRN ]
• Liquidity Provision with Adverse Selection and Inventory Costs , with Martin Herdegen and Florian Stebegg . Mathematics of Operations Research , Vol. 48 (2023), No. 3, pp. 1286-1315. [ Article | SSRN ]
• An Equilibrium Model for the Cross-Section of Liquidity Premia , with Xiaofei Shi and Chen Yang . Mathematics of Operations Research , Vol. 48 (2023), No. 3, pp. 1423-1453. [ Article | arXiv | SSRN ]
• Simple Bounds for Transaction Costs , with Bruno Bouchard . Stochastic Processes and their Applications , Vol. 146 (April 2022), pp. 98-113. [ Article | arXiv ]
• Liquidity in Competitive Dealer Markets , with Peter Bank and Ibrahim Ekren . Mathematical Finance , Vol. 31 (2021), No. 3, pp. 827-856. [ Article | arXiv | SSRN ]
• Asset Pricing with General Transaction Costs: Theory and Numerics , with Lukas Gonon and Xiaofei Shi . Mathematical Finance , Vol. 31 (2021), No. 2, pp. 595-648. [ Article | arXiv | SSRN ]
• Equilibrium Asset Pricing with Transaction Costs , with Dylan Possamaï and Martin Herdegen . Finance and Stochastics , Vol. 25 (2021), No. 2, pp. 231-275. [ Article | arXiv | SSRN ]
• Asset Pricing with Heterogenous Beliefs and Illiquidity , with Marcel Nutz and Xiaowei Tan . Mathematical Finance , Vol. 30 (2020), No. 4, pp. 1392-1421. [ Article | arXiv | SSRN ]
• Lifetime Investment and Consumption With Recursive Preferences and Small Transaction Costs , with Yaroslav Melnyk and Frank Seifried . Mathematical Finance , Vol. 30 (2020), No. 3, pp. 1135-1167. [ Article | SSRN ]
• Inventory Management for High-Frequency Trading with Imperfect Competition , with Sebastian Herrmann , Dapeng Shang , and Chen Yang . SIAM Journal on Financial Mathematics , Vol. 11 (2020), No. 1, pp. 1-26. [ Article | arXiv | SSRN ]
• Liquidation in Target Zone Models , with Christoph Belak and Kevin Ou . Market Microstructure and Liquidity , Vol. 4 (2020), No. 03, pp. 1950010. [ Article | arXiv | SSRN ]
• Trading with Small Nonlinear Price Impact , with with Thomas Cayé and Martin Herdegen . The Annals of Applied Probability , Vol. 30 (2020), No. 2, pp. 706-746. [ Article | SSRN ]
• Scaling Limits of Processes with Fast Nonlinear Mean Reversion , with with Thomas Cayé and Martin Herdegen . Stochastic Processes and their Applications , Vol. 130 (2020), No. 4, pp. 1994-2031 [ Article | arXiv ]
• Portfolio Choice with Small Temporary and Transient Price Impact , with Ibrahim Ekren . Mathematical Finance , Vol. 29 (2019), No. 4, pp. 1066-1115. [ Article | arXiv | SSRN ]
• Sensitivity of Optimal Consumption Streams , with Martin Herdegen . Stochastic Processes and their Applications , Vol. 129 (2019), No. 6, pp. 1964-1992. [ Article | SSRN ]
• Who Should Sell Stocks? , with Paolo Guasoni and Ren Liu . Mathematical Finance , Vol. 29 (2019), No. 2, pp. 448-482. [ Article | SSRN | Video ]
• Switching Cost Models as Hypothesis Tests , with Samuel N. Cohen , Timo Henckel , Gordon D. Menzies , and Daniel J. Zizzo . Economics Letters , Vol. 175 (2019), No. 2, pp. 32-35. [ Article | arXiv ]
• Equilibrium Returns with Transaction Costs , with Bruno Bouchard , Masaaki Fukasawa , and Martin Herdegen . Finance and Stochastics , Vol. 22 (2018), No. 3, pp. 569-601. [ Article | SSRN ]
• Information and Inventories in High-Frequency Trading , with Kevin Webster . Market Microstructure and Liquidity , Vol. 3 (2018), No. 2, pp. 1750010. [ Article | SSRN ]
• A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing , with Marcel Nutz . Finance and Stochastics , Vol. 22 (2018), No. 2, pp. 281-295. [ Article | arXiv | SSRN ]
• Stability of Radner Equilibria with Respect to Small Frictions , with Martin Herdegen . Finance and Stochastics , Vol. 22 (2018), No. 2, pp. 443-502. [ Article | SSRN ]
• Optimal Rebalancing Frequencies for Multidimensional Portfolios , with Ibrahim Ekren and Ren Liu . Mathematics and Financial Economics , Vol. 12 (2018), No. 2, pp. 165-191. [ Article | arXiv | SSRN ]
• Rebalancing with Linear and Quadratic Costs , with Ren Liu and Marko Weber . SIAM Journal on Control and Optimization , Vol. 55 (2017), No. 6, pp. 3533-3563. [ Article | arXiv | SSRN ]
• A Primer on Portfolio Choice with Small Transaction Costs , with Max Reppen and H. Mete Soner . Annual Review of Financial Economics , Vol. 9 (2017), pp. 301-331. [ Article | arXiv | SSRN ]
• Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging , with Sebastian Herrmann . Finance and Stochastics , Vol. 21 (2017), No. 4, pp. 873-930. [ Article | SSRN ]
• The General Structure of Optimal Investment and Consumption with Small Transaction Costs , with Jan Kallsen . Mathematical Finance , Vol. 27 (2017), No. 3, pp. 659-703. [ Article | arXiv | SSRN ]
• Trading with Small Price Impact , with Ludovic Moreau and H. Mete Soner . Mathematical Finance , Vol. 27 (2017), No. 2, pp. 350-400. [ Article | arXiv | SSRN | Video ]
• Hedging with Small Uncertainty Aversion , with Sebastian Herrmann and Frank Seifried . Finance and Stochastics , Vol. 21 (2017), No.1, pp. 1-64. [ Article | SSRN ]
• Robust Portfolios and Weak Incentives in Long Run Investments , with Paolo Guasoni and Hao Xing . Mathematical Finance , Vol. 27 (2017), No.1, pp. 3-37. [ Article | arXiv | SSRN ]
• Liquidation with Self-Exciting Price Impact , with Thomas Cayé . Mathematics and Financial Economics , Vol. 10 (2016), No.1, pp. 15-28. [ Article | SSRN ]
• Long Horizons, High Risk Aversion, and Endogeneous Spreads , with Paolo Guasoni . Mathematical Finance , Vol. 25 (2015), No. 4, pp. 724-753. [ Article | arXiv | SSRN ]
• Option Pricing and Hedging with Small Transaction Costs , with Jan Kallsen . Mathematical Finance , Vol. 25 (2015), No. 4, pp. 702-723. [ Article | arXiv | SSRN ]
• Optimal Liquidity Provision , with Christoph Kühn . Stochastic Processes and their Applications , Vol. 125 (2015), No. 7, pp. 2493-2515. [ Article | arXiv | SSRN ]
• Asymptotics for Fixed Transaction Costs , with Albert Altarovici and H. Mete Soner . Finance and Stochastics , Vol. 19 (2015), No. 2, pp. 363-414. [ Article | arXiv | SSRN ]
• Transaction Costs, Shadow Prices, and Duality in Discrete Time , with Christoph Czichowsky and Walter Schachermayer . SIAM Journal on Financial Mathematics , Vol. 5 (2014), No. 1, pp. 258-277. [ Article | arXiv ]
• Asymptotic Power Utility-Based Pricing and Hedging , with Jan Kallsen and Richard Vierthauer. Mathematics and Financial Economics , Vol. 8 (2014), No. 1, pp. 1-28. [ Article | arXiv ]
• Transaction Costs, Trading Volume, and the Liquidity Premium , with Stefan Gerhold , Paolo Guasoni , and Walter Schachermayer . Finance and Stochastics , Vol. 18 (2014), No. 1, pp. 1-37. [ Article | arXiv | SSRN ]
• On the Existence of Shadow Prices , with Giuseppe Benedetti, Luciano Campi , and Jan Kallsen . Finance and Stochastics , Vol. 17 (2013), No. 4, pp. 801-818. [ Article | arXiv ]
• Portfolio Choice with Transaction Costs: a User's Guide , with Paolo Guasoni . In V. Henderson and R. Sircar, editors, Paris-Princeton Lectures on Mathematical Finance 2013 , Springer, 2013. [ Article | arXiv | SSRN ]
• On the Performance of Delta Hedging Strategies in Exponential Lévy Models , with Stephan Denkl, Martina Goy, Jan Kallsen , and Arnd Pauwels. Quantitative Finance , Vol. 13 (2013), No. 8, pp. 1173-1184. [ Article | arXiv ]
• Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints , with Ren Liu . SIAM Journal on Financial Mathematics , Vol. 4 (2013), No. 1, pp. 203-227. [ Article | arXiv ]
• The Dual Optimizer for the Growth-Optimal Portfolio under Transaction Costs , with Stefan Gerhold and Walter Schachermayer . Finance and Stochastics , Vol. 17 (2013), No. 2, pp. 325-354. [ Article | arXiv ]
• Asymptotic and Exact Pricing of Options on Variance , with Martin Keller-Ressel . Finance and Stochastics , Vol. 17 (2013), No. 1, pp. 107-133. [ Article | arXiv ]
• Asymptotics and Duality for the Davis and Norman Problem , with Stefan Gerhold and Walter Schachermayer . Stochastics (Special Issue: The Mark H.A. Davis Festschrift: Stochastics, Control and Finance), Vol. 84 (2012), No. 5-6, pp. 625-641. [ Article | arXiv ]
• Utility Maximization, Risk Aversion, and Stochastic Dominance , with Mathias Beiglböck and Johannes Temme. Mathematics and Financial Economics , Vol. 6 (2012), No. 1, pp. 1-13. [ Article | arXiv ]
• Option Pricing in Multivariate Stochastic Volatility Models of OU Type , with Oliver Pfaffel and Robert Stelzer . SIAM Journal on Financial Mathematics , Vol. 3 (2012), pp. 66-94. [ Article | arXiv | pdf ]
• Small-Time Asymptotics of Option Prices and First Absolute Moments , with Marcel Nutz . Journal of Applied Probability , Vol. 48 (2011), No. 4, pp. 1003-1020. [ Article | arXiv ]
• Pricing Options on Variance in Affine Stochastic Volatility Models , with Jan Kallsen and Moritz Voss . Mathematical Finance , Vol. 21 (2011), No. 3, pp. 627-641. [ Article | pdf ]
• Method of Moment Estimation for Time-Changed Lévy Models , with Jan Kallsen . Statistics and Decisions , Vol. 28 (2011), No. 2, pp. 169-194. [ Article | pdf ]
• Existence of Shadow Prices in Finite Probability Spaces , with Jan Kallsen . Mathematical Methods of Operations Research , Vol. 73 (2011), No. 2, pp. 251-262. [ Article | arXiv ]
• A Characterization of the Martingale Property of Exponentially Affine Processes , with Eberhard Mayerhofer and Alexander Smirnov. Stochastic Processes and their Applications , Vol. 121 (2011), No. 3, pp. 568-582. [ Article | arXiv ]
• Utility Maximization in Models with Conditionally Independent Increments , with Jan Kallsen . The Annals of Applied Probability , Vol. 20 (2010), No. 6, pp. 2162-2177. [ Article | pdf ]
• Discrete-Time Variance-Optimal Hedging in Affine Stochastic Volatility Models , with Jan Kallsen , Natalia Shenkman , and Richard Vierthauer. In R. Kiesel, M. Scherer and R. Zagst, editors, Alternative Investments and Strategies , World Scientific, Singapore, 2010, pp. 375-394. [ pdf ]
• On using Shadow Prices in Portfolio Optimization with Transaction Costs , with Jan Kallsen . The Annals of Applied Probability , Vol. 20 (2010), No. 4, pp. 1341-1358. [ Article | pdf ]
• Utility Maximization in Affine Stochastic Volatility Models , with Jan Kallsen . International Journal of Theoretical and Applied Finance , Vol. 13 (2010), No.3, pp. 459-477. [ Article | pdf ]
• Exponentially Affine Martingales, Affine Measure Changes and Exponential Moments of Affine Processes , with Jan Kallsen . Stochastic Processes and their Applications , Vol. 120 (2010), No. 2, pp. 163-181. [ Article | pdf ]

Old Working Papers:

• High-Resilience Limits of Block-Shaped Order Books , with Jan Kallsen . Preprint, 2014. [ arXiv | SSRN ]
• Portfolio Choice with Stochastic Investment Opportunities: a User's Guide , with Ren Liu . Preprint, 2013. [ arXiv ]
• On Utility-Based Investment, Pricing and Hedging in Incomplete Markets . Ph.D. Thesis, TU München, 2009. Directed by Jan Kallsen . [ pdf ] Förderpreis of the Fachgruppe Stochastik of the German Mathematical Society, 2010. (Inaugural) Nicola Bruti Liberati Prize of the Bachelier Finance Society, 2012.
• Portfoliooptimierung in Modellen mit stochastischer Volatilität . Diploma Thesis, TU München, 2006. Directed by Jan Kallsen . Hauptpreis, student conference of the German Mathematical Society in 2007.

Last modification: April 18, 2024 ( Johannes Muhle-Karbe )

Harry Zheng

Professor of mathematics.

Email: [email protected] Mail: Department of Mathematics, Imperial College, London SW7 2BZ, UK Tel: +44(0) 20 7594 8539

Control and optimization, mathematical finance. Recent refereed journal papers:

• H.J. Jang, Z.Q. Xu, H. Zheng (2024), Optimal Investment, Heterogeneous Consumption and Best Time for Retirement, Operations Research 72, 832-847. ( ssrn )
• A. Tse, H. Zheng (2023), Portfolio Selection, Periodic Evaluations and Risk Taking, Operations Research 71, 2078-2091. ( ssrn )
• EJC Dela Vega, H. Zheng (2023), Duality Method for Multidimensional Nonsmooth Constrained Linear Convex Stochastic Control, J Optimization, Theory Applications 199, 80-111. ( pdf )
• J.L. Luo, H. Zheng (2023), Deep Neural Network Solution for Finite State Mean Field Game with Error Estimation, Dynamic Games Applications 13, 859-896. ( pdf )
• A.S.L. Tse, H. Zheng (2023), Speculative Trading, Prospect Theory and Transaction Costs, Finance Stochastics 27, 49-96.( arXiv )

Past papers: list .

Optimization , Economics , SSRN , arXiv .

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Imperial college london: mathematics and finance.

Prepare for a wide range of careers in quantitative finance on this varied Master's course.

This course will deepen your understanding of major aspects of mathematical finance. You'll explore latest industry practice and research, with regular insights from leading practitioners.

The varied programme covers key mathematical foundations, finance principles and tools, and implementation and data analysis.

You'll receive training in a range of mathematical, statistical and programming tools required to pursue or advance a career within financial services.

You'll also apply your knowledge from the course on a research project. This will be carried out internally or on a placement with a bank, hedge fund or similar financial institution.

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Mathematics PhD

Imperial college london, different course options.

• Key information

Course Summary

Tuition fees, entry requirements, similar courses at different universities, key information data source : idp connect, qualification type.

PhD/DPhil - Doctor of Philosophy

Subject areas

Mathematics (General)

Course type

A research degree is a very individual experience, more so than an undergraduate degree. While the overarching structure will be identical or similar across the university, individual research projects, research interactions and assessment interactions will differ. This environment can provide a rich learning experience for student cohorts discussing their experiences.

A research degree has an exciting scope for collaborations and working as a team and as such, learning or enhancing your communication and people management skills. It is highly creative and can be more unpredictable than an undergraduate degree. A research degree is not simply about collecting results or data but also querying these and discussing them with others. Learning is continuous and poor experimental results can form part of research learning and success. Unlike a typical classroom experience of an undergraduate degree, a research degree will empower you to drive your own learning experience and expand your knowledge in a variety of ways.

The research interests of members of the Section span a wide range of topics, including: algebra and algebraic combinatorics, analysis and probability, stochastic analysis, geometry, number theory and algebraic geometry.

UK fees Course fees for UK students

For this course (per year)

International fees Course fees for EU and international students

Students should hold or achieve a Master's degree in addition to a Bachelor's degree at UK Upper Second Class Honours Level.

PGCE Mathematics (QTS)

Middlesex university, msc in mathematics, university of hull, phd mathematics, mphil/phd in mathematics, manchester metropolitan university, master's by research in mathematics.

The London Mathematical Finance Group is a consortium of researchers of Birkbeck College, Bayes Business School, Imperial College, King's College, LSE, Queen Mary and UCL. This group organises the London Mathematical Finance Seminar Series and the London Graduate School in Mathematical Finance which provides a programme of advanced courses in mathematical finance, primarily but not exclusively for first-year PhD students in the various member institutions.

Birkbeck University of London:   The Applied Mathematics and Finance Research Group

Bayes Business School:   Finance

Imperial College London:   Mathematical Finance

King's College London:   Financial Mathematics

London School of Economics: Financial Mathematics ,  Probability in Finance and Insurance

Queen Mary: Mathematical Finance

University College London:   Financial Risk, Insurance, Econometrics and Stochastic Finance

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• Mathematical and Computational Finance @ Oxford
• Study with us

DPhil (PhD) studies in Mathematical Finance @ Oxford

The Mathematical and Computational Finance Group (MCFG) at Oxford is one of the largest and most dynamic research environments in mathematical finance in the world.

We combine core mathematical expertise with interdisciplinary approach. We foster lively interactions between researchers coming from different backgrounds and a truly impressive seminar programme, all this within one of the world's top universities, singular through its tradition and unique environment.

If you are passionate about mathematics and research and want to pursue a DPhil in Financial Mathematics, Oxford simply offers one of the best and most exciting places to do it!

 Research Topic and Supervisor Allocation

We welcome students with their own particular ideas of research topic as well as students with a broad interest in the field of Mathematical Finance. You have an opportunity to tell us about your research passions, and indicate potential supervisors, in your application form. This will be followed up during the interview.

In light of this, if you are offered a place, an appropriate supervisor will be proposed prior to your arrival in Oxford. However, there can be some flexibility over this once you arrive.  Keeping with the Oxford tradition, we offer our students independence and respect as early researchers, and always aim to match students with the most appropriate supervisors.

Outstanding students with a strong background in analysis, probability and data science are welcome to apply for our DPhil program. Each year we receive a large number of excellent applications. The selection process is extremely competitive and we can only admit a handful of candidates each year.

In order to apply for DPhil studies in Mathematical & Computational Finance, please indicate your interest in Mathematical and Computational Finance on your application form. Selected applicants will be invited for an interview -- either in person or by video call.

For general information on DPhil please consult our  Doctor of Philosophy (DPhil) admissions pages .

For the CDT Mathematics of Random Systems please consult our  the CDT website .

Or please contact  @email .

Funding for DPhil students is available from a variety of sources. Please note that some funding opportunities have deadlines: it is advised to apply before the deadline in order to maximise your chances of receiving funding.

Funding is also available through the  Centre for Doctoral Training in Mathematics of Random Systems . To apply for this program please How to Apply .

Email:  @email Phone:  +44 (0)1865 615234

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DPhil Graduates