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)