Stochastic analysis & risk modelling

The Stochastic Analysis & Risk Modelling research program explores the areas of: 

  • stochastic modelling of financial processes, including insurance risk processes, especially based on general models such as Levy processes, fractal activity and fractional Brownian motion
  • statistical inference relating to those models, including advanced econometric modelling with stochastic volatility models such as 'generalised autoregressive conditional heteroskedasticity' (GARCH) and 'continuous time GARCH' (COGARCH) models
  • stochastic integration and numerical aspects of partial differential equations
  • option pricing models.

Updated:  20 August 2017/Responsible Officer:  Director/Page Contact:  School Manager