Financial Mathematics Group

Members of the group


Previous members: Julia Wirch.

Research Associates

Research students

Applications for places on the PhD programme in Financial Mathematics are welcome. (Further information.)

Research in financial mathematics

Pricing and hedging of derivative securities

Stochastic asset models

Quantitative risk management

Finance and insurance interface



The group has an active seminar series with a mixture of internal and external speakers. This forms part of the larger departmental seminar programme.

Software and Data Resources

Bonds Database

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.

       Gilts Database


Alexander McNeil maintains an S library to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools.


Selected publications and preprints

Journal articles and preprints

For recent papers please see the individual group members' web pages.

Books, PhD's


  • 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
    e-mail: A.