The work of the Institute of Quantitative Finance is organised into the following research groups:
Within the broad spectrum of computational finance, Monte Carlo methods offer the greatest flexibility in solving financial derivatives pricing and risk management problems. We are interested in the portfolio optimisation and computational issues in statistical arbitrage trading. Furthermore, we conduct research in high-performance computing for pricing financial derivatives and risk quantification.
Financial derivatives and risk management
The research group aims to explore the evaluation of derivatives under uncertainty, and extend the methodological domain of financial risk management in the context of derivatives. Two ongoing projects are closely related to volatility risk and down-side risk.
Energy and commodity markets
In line with the changing structure of energy markets in China we study the stochastic and econometric modelling of energy prices and consumption. While econometric models provide us a wide range of forecasting tools, continuous time models enable us to derive analytical pricing formulas for various energy derivatives. Similar modelling techniques are also available for modelling commodity prices, which is another line of research within the research group.