Financial and Actuarial Mathematics


The statistical processes underlying modern finance generate challenges to both commercial and academic communities. We seek to provide insight into these processes, accompanied by the development of innovative techniques and computational tools.


Current research interests include:

  • Optimal stopping of Levy processes,
  • Option pricing, credit risk models,
  • Portfolio optimization,
  • Measures of risk and deviation, advance data analysis,
  • Statistical methodologies and applications in actuarial science,
  • Financial applications of optimal stochastic controls,
  • Anticipating the critical transitions on markets.


Current members

Some recent publications

  1. B Grechuk, M Zabarankin, Risk averse decision making under catastrophic risk, European Journal of Operational Research, 239 (1) (2014), 166–176.
  2. B Grechuk, M Zabarankin, Inverse portfolio problem with mean-deviation model, European Journal of Operational Research 234 (2) (2014), 481-490.
  3. M De Innocentis, S Levendorskiĭ, Pricing discrete barrier options and credit default swaps under Lévy processes, Quantitative Finance, 1-29 (2013).
  4. X. Ma, S. Utev, Modelling the share prices as a hidden random walk on the lamplighter group, in Mathematical and Statistical Methods for Actuarial Sciences and Finance, C. Perna, M. Sibillo (Eds), Springer, Milan, 2012, pp. 263-270.
  5. S Boyarchenko, S LevendorskiĬ, Valuation of continuously monitored double barrier options and related securities, Mathematical Finance 22 (3), 419-444 (2012).
  6. S Boyarchenko, S LevendorskiĬ,Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs, SIAM J Control and Optimization , 49:5 (2011), 2062-2082.
  7. S Boyarchenko, S LevendorskiĬ, American Options in Regime-Switching Models, SIAM J Control and Optimization  48 (2009), pp.1353-1375
  8. O. Kudrayvtsev, S. Levendorskiĭ, Fast and accurate pricing of barrier options under Lévy processes,  Finance and Stochastics, 13:4 (2009), pp.531-562
  9. A.N. Gorban, E.V. Smirnova, T.A. Tyukina, Correlations, risk and crisis: From physiology to finance, Physica A, Vol. 389, Issue 16, 2010, 3193-3217. Number 9 in the Top Hottest Articles in the Journal, April to June 2010
  10. B. Grechuk, A. Molyboha, M. Zabarankin,Cooperative Games with General Deviation Measures, Mathematical Finance, 23 (2), 339–365 (2013),
  11. B. Grechuk, A. Molyboha, M. Zabarankin, Mean-Deviation Analysis in the Theory of Choice. Risk Analysis 32 (8), 1277-1292, (2012)
  12. B. Grechuk, M. Zabarankin, Schur Convex Functionals: Fatou Property and Representation, Mathematical Finance 22 (2), 411-418 (2012).
  13. G. Deligiannidis, H. Le and S. Utev, Optimal stopping for processes with independent increments, and applications, J. Appl. Probab.  46 (4) (2009), 1130-1145.

PhD students (current and some recently completed)

Alexander Kushpel Dominic Cortis
Juxi Li Marco de Innocentis
Jiayao Xie

Grants

NSF grant #DMS-0631628, "Firm dynamics with exogenous and endogenous regime shifts", Oct 2006-Oct 2008, PI S. Boyarchenko
PhD studentship grant, funded by Institute and Faculty of Actuaries and College of Science and Engineering of the University of Leicester, 2012

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Contact details

Department of Mathematics
University of Leicester
University Road
Leicester LE1 7RH
United Kingdom

Tel.: +44 (0)116 252 3917
Fax: +44 (0)116 252 3915

Campus Based Courses

Undergraduate: mathsug@le.ac.uk
Postgraduate Taught: mathspg@le.ac.uk

Postgraduate Research: pgrmaths@le.ac.uk

Distance Learning Course  

Actuarial Science:

dlstudy@le.ac.uk  

 

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