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NEW

Athena SWAN Bronze Award

Supporter of LMS Good Practice Award

Mathematical Finance Group

AREAS OF RESEARCH ACTIVITY

  • Arbitrage and option pricing in markets with friction and incomplete markets
  • Entropy and financial value of information
  • Optimal investment strategies in markets with prices depending on the volume of trading
  • Discrete time models and their continuous time limits in the presence of market imperfections
  • Non-standard analysis methods in mathematical finance
  • Probability theory and applications to mathematical finance
  • Robust arbitrage and model-independent pricing
  • Stochastic differential equations

 

BOOKS AUTHORED




M.Capinski&T.Zastawniak
Mathematics for Finance. An Introduction to Financial Engineering

R.J.Elliott&P.E.Kopp
Mathematics of Financial Markets

Z.Brzezniak & T.Zastawniak
Basic Stochastic Processes






M.Capinski &T.Zastawniak
Probability Through Problems

M.Capinski & P.E.Kopp
Measure, Integral and Probability

 


 

 

Edited 5 Jan 2010 - 13:30 by cac7

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