Financial Mathematics Group
Department of Actuarial Mathematics and Statistics
Edinburgh EH14 4AS
- tel: (+44) 131 451 3202
- fax: (+44) 131 451 3249
Previous members: Julia Wirch.
Applications for places on the PhD programme in Financial Mathematics
are welcome. (Further
- Jiangchun Bi (interest-rate modelling)
- Nick Forrester (Credit risk and pension plans)
- Xingran Fu (Fair value of insurance liabilities, equilibrium pricing)
- Samuel Garcia (interest-rate modelling)
- Ravindra Maharaj (asset-liability modelling)
- Rutang Thanawalla (energy derivatives)
Pricing and hedging of derivative securities
- Derivative pricing when stock prices are driven by Levy processes.
- Optimal stopping problems and exotic option pricing.
- Pricing of perpetual American options.
- Erlang approximations for American options.
- Utility optimisation in incomplete markets.
- Duality approaches to optimising wealth and consumption problems.
- Modelling of transaction costs.
- Hedging of securities in incomplete financial markets.
- Super-replication prices of derivatives in incomplete financial
- Comparison of risk-minimising and equilibrium approaches to
Stochastic asset models
- Term structure models for derivative pricing and long-term risk
- Multi-asset models for asset-liability management.
- Parameter and model risk.
Quantitative risk management
- Risk measures and capital adequacy
- Methodology for integrated financial risk management
- Econometrics of financial time series
- Credit risk modelling
- Extreme value theory for heavy-tailed risks
- Modelling dependent risks and copulas
Finance and insurance interface
- Pricing and hedging for long-term financial guarantees: e.g.
guaranteed annuity options.
- Pricing and securitization of longevity risk.
- Asset-liability modelling for life insurance.
- Fair valuation of insurance liabilities.
- Asset-liability modelling for defined-contribution and defined-benefit
pension plans; risk analysis; design of optimal control strategies
for assets and contributions.
- Utility optimisation.
The group has an active seminar series with a mixture of internal
and external speakers. This forms part of the larger
David Wilkie and Andrew Cairns have built up a substantial database for UK government bonds with financial support from Institute of Actuaries. This includes prices, amounts in issue, index values and details of each security in issue. The database will be updated on a regular basis.
Alexander McNeil maintains an S library to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools.
Journal articles and preprints
For recent papers please see the individual group members'
- McNeil AJ, Frey R, Embrechts P (2005) Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press.
See official homepage.
- Cairns, A.J.G., (2004) Interest Rate Models: An Introduction,
Princeton University Press.
- Wiese, A., (1998)
Hedging stochastischer Verpflichtungen in zeitstetigen Modellen.
Verlag Versicherungswirtschaft, Karlsruhe.
MSc in Quantitative Risk Management home page
MSc in Financial Maths home page
MSc in Actuarial Science home page
Page maintained by
Andrew Cairns, Department of Actuarial Mathematics and Statistics,
Heriot-Watt University, Edinburgh, EH14 4AS, UK