• Financial Mathematics

    Financial Mathematics

    Financial Mathematics, or PhiMAC, develops analytical and computational tools for analysis, modeling, and decision making in financial markets.

Financial Mathematics

The goal at PhiMAC, the Financial Mathematics Laboratory, is to develop analytical and computational tools to analyse, model and make decisions in financial markets. Research focuses on a wide range of problems that include asset pricing, credit risk and interest rate modelling. In each of these areas, we pursue theoretical results (such as generalizing the usual Brownian motion assumptions to cases where markets are driven by more general jump processes) and address the related numerical implementation and calibration issues. For example, research in optimal portfolio selection uses convex analysis to study theoretical existence of an optimal choice of asset allocation under general market uncertainty, as well as numerical methods such as Monte Carlo simulations to actually construct such portfolios for given market data.

Master in Financial Mathematics (M-Phimac)

Mathematics & Statistics | McMaster University has 5 registered members
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Assistant Professor
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Actuarial and Financial Mathematics

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Professor and Chair
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Financial mathematics, mathematical physics, information geometry

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Professor
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Financial mathematics, quantum fields

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Associate Professor
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Financial mathematics

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Associate Professor
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Financial Mathematics

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McMaster University - Faculty of Science | Math & Stats