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Financial Mathematics and Operational Research Group

The Financial Mathematics and Operational Research (FOR) group develops and applies advanced mathematical, probabilistic and optimisation approaches to problems in Financial Mathematics (FM) and Operational Research (OR).

Within FM, such problems include developing computationally efficient methods for pricing financial derivatives and theoretical investigation into probabilistic interpretation of certain important financial models. OR activities are driven by a range of applications, which typically include simulation or optimisation in modelling and solving a complex decision making problem. Contributions of the OR subgroup include modelling various financial portfolio optimisation problems under novel risk/return paradigms as integer or mixed integer programming problems, and development of metaheuristic solution methods for solving such problems. Recently, the group has been involved in modelling and solving preventative maintenance scheduling for cogeneration facilities and in supply side optimisation of power networks under renewable energy sources. Alumni of the research group work in several major financial institutions, including Blackrock, EY, RiskCare and Credit Suisse.

Specific research expertise

  • Financial modelling; in particular, forecasting of spreads in commodity futures prices using latent state based models/ MCMC filters (P. DateJ.W. Lim)
  • Applications of machine learning in financial models. (P. DateE. Boguslavskaya)
  • Optimisation problems in power system transmission networks (P. DateC. Lucas)
  • Modelling paradigms and stochastic optimisation applied to (financial) decision making under uncertainty and risk (P. DateD. RomanC. Lucas)
  • Meta heuristics for solving large combinatorial problems. (C. Lucas)
  • Preventative maintenance modelling in the face of uncertainty (P. DateC. Lucas)
  • Stochastic optimal control, with applications in finance (D. RomanC. Lucas)
  • Efficient simulation of Levy processes (E. BoguslavskayaJ.W. Lim)

For more detailed descriptions of research and list of individual publications, please follow the links to the web pages of individual group members. 

Major external collaborators

  • Dr Shovan Bhaumik, Indian Institute of Technology, Patna, India
  • Dr Mohammad Hesamzadeh , KTH Stockholm, Sweden
  • Professor Khaled Alhamad, PAAET, Kuwait

Externally funded projects

  • Dr Date: Industry-sponsored PhD studentship for research on the use of news analytics on volatility prediction (2014-2018).
  • Dr Boguslavaskaya: Daphne Jackson Fellowship funded by the EPSRC, for research on new analytical methods for option pricing (2014-2016).
  • Dr Date: EPSRC overseas travel grant to fund collaborative research with Dr Bhaumik at IIT Patna, India (2013).
  • Dr Lucas: Funding from Roma Tre University for research on mathematical modelling and computing for quantitative finance problems (2013).
  • Dr Date: UKIERI/British Council grant for collaborative research with Dr Bhaumik at IIT Patna, India (2012).