Information about the members of the Computational Mathematical Finance MSc programme team.
Dr Sotirios Sabanis
Research: Sotirios is interested in applications of probability theory (mainly) to Mathematical Finance. Particular applications include stochastic volatility models, equivalent martingale measures and incomplete markets.
Prof Istvan Gyongy
Dr Lukasz Szpruch
Research: Lukasz is working on Multilevel Monte Carlo Methods, Forward and Backward Stochastic Differential Equations and Numerical methods for non-linear systems.
Dr David Siska
Dr Goncalo dos Reis
Research: Goncalo works on credit risk problems and how banks can better compute quantities require by the regulators. He works on optimal asset allocation through utility optimization, numerical methods for stochastic differential equatiosn and applications in physics.