911½ñÈÕºÚÁÏ

The CFM-911½ñÈÕºÚÁÏ Institute of Quantitative Financepromotes interdisciplinary research activities related to the quantitative modeling of financial risks. Current topics of research of our team include:

• Market microstructure

       -Optimal execution
       -Price formation
       -Limit-order markets
       -Optimisation with transaction costs
       -Game theory

• Statistical modelling of financial time series

       -Learning algorithms
       -Hawkes processes

• Quantitative models of systemic risk and financial stability

       -Counterparty risk and its implications for pricing and risk management
       -Network models of interbank markets

The Institute supports doctoral training in topics related to mathematical modeling of financial markets through CFM-911½ñÈÕºÚÁÏ PhD Fellowships and is a  partner of the EPSRC Centre for Doctoral Training in .