The Department of Mathematical Sciences encourages cross-disciplinary teamwork merging theoretical concepts, computational methods, and high performance computation, with the aim of providing national and international leadership in mathematical finance from different perspectives.
Our academic staff are internationally recognised for their high-quality research outputs in a number of areas of modern mathematics. Interactions among department staff create an environment in which members benefit from expertise across the disciplines of economics, statistics, applied mathematics and scientific computing. Research activities of the Department include the study of:
- Chaotic intermittency maps
- Long-memory time series
- Gaussian Markov random fields
- Multiple time series
- Prediction theory
- Stable processes
- Model selection
- Brownian motions
- Discrete element modelling
- Financial derivatives pricing.