Our work spans several connected areas of applied mathematics and quantitative finance. The common thread is the rigorous analysis of mathematical models: their structure, their numerical treatment, and their use on real problems in finance and stochastic systems. Choose a desk below to browse its work.
Our five research desks
Market Microstructure & Trading
How orders, executions and trading rules shape what a trader actually earns.
Derivatives & Volatility
Options, volatility and rates: pricing, hedging and the free boundary.
Optimal Control & Decision
What to do under uncertainty: optimal control and HJB, mean-field games, agent-based models, irreversible decisions, betting, lotteries and insurance.
Stochastic Analysis
How random processes behave — Itô calculus, diffusions, local time, Fokker–Planck — in theory and in application.
Applied Mathematics
Mathematics in the wild — floods, fires, cellars, patterns and maps — and everything else worth solving.