Probability and financial mathematics

Probability, stochastic modelling and financial mathematics research at the University of Leeds

Our research focuses on the study and modelling of systems and processes featuring uncertainty and complexity.

These have applications in economics and finance, insurance, big data, machine learning, earth science, energy and physics. The methods and tools we use come from probability theory, stochastic analysis and statistics.

We are engaged in collaborative work with academia and industry across engineering, power system management, investment management, predictive analytics, software development. 

Our research interests

  • Stochastic control, optimal stopping and stochastic games.
  • Forward and backward stochastic differential equations and stochastic partial differential equations.
  • Numerical methods for stochastic control, stochastic differential equations and (stochastic) partial differential equations.
  • Filtering.
  • Queuing theory, including communication systems and networks.
  • Risk theory and Extreme value analysis.

Applications

  • Mathematical finance and economics, including portfolio management, derivative pricing and hedging, and evolutionary finance.
  • Energy markets and scheduling.
  • Physics, including transport-diffusion phenomena and atmospheric dynamics.
  • Actuarial mathematics, including modelling and pricing in insurance.

Conferences and events

All upcoming seminars can be found on our events section. 

The Leeds Winter School on Theory and Practice of Optimal Stopping and Free Boundary Problems will take place in January 2020.

We actively organise conferences and scientific meetings, and have organised a number of prestigious events; some of which include:

For a full list of past events please vist our events directory and specifiy the previous year using the search tool. 

Further information

View all members of our research group and publications.

PhD projects

We have opportunities for prospective postgraduate researchers. Find out more.

Contact us

If you are interested in collaborating with us or joining our research team, please get in touch with a relevent member of staff.