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Financial Mathematics Team

SISCM-MSc-Group-2AThe Department of Mathematics at Brunel University has recently launched a new MSc in Financial Mathematics and is in the process of developing a research programme in this area. The research being pursued by members of the Financial Mathematics team covers a variety of important topics in applied probability and stochasticmodelling, with applications to finance, banking, insurance, and fund management, in many cases with applications also in a wider industrial context. Among the topics currently being pursued by members of the team are: nonlinear filtering and signal detection; optimal stopping problems; stochastic differential equations; pricing and risk management of financial derivatives for fixed income, equity, credit, foreign exchange, and commodity markets; valuation of long-term social projects (such as those concerning energy resources and climate change); the relation between risk and return when asset prices can jump; and empirical studies on market inefficiency.

Above picture: Financial Mathematics team at Brunel University London
Left to right: Dr Date, Professor Hughston, Professor Brody, Dr Boguslavskaya, Dr Meier.

Professor Dorje C Brody 

Programme Director for the MSc in Financial Mathematics. He holds a Chair in Mathematics in the Department of Mathematics at Brunel University, and is Deputy Head of Department. Dorje Brody was born in Hong Kong, and later lived in Japan for a number of years, where he obtained a BSc degree in physics at the University of Niigata. He received his MSc and PhD degrees in Theoretical Physics from Imperial College London. His research covers a broad range of topics in applied mathematics, ranging from quantum gravity to mathematical finance. He has published more than a hundred scientific papers in various areas of applied mathematics and the theory of finance, obtaining well over three thousand citations. Professor Brody has been a speaker at numerous industry conferences and professional training courses for financial practitioners. He is a Fellow of Institute of Physics, a lifetime fellow of the Cambridge Philosophical Society, and a member of the London Mathematical Society. Professor Brody is a member of the Advisory Panel for Journal of Physics, and acts as an Associate Editor for International Journal of Theoretical and Applied Finance.

Professor Lane Hughston

Received his doctorate from the University of Oxford, where he was a Rhodes Scholar and studied under the supervision of Professor R. Penrose. He has had more than a decade of industry experience based at Merrill Lynch and Robert Fleming Securities. His wide-ranging research interests include number of different aspects of mathematical finance and its applications in a banking context. He also works in various areas of mathematical physics, including general relativity, quantum theory, and statistical mechanics. He is a member of the American Finance Association, the Bachelier Finance Society, the London Mathematical Society, the European Mathematical Society, the American Mathematical Society, the Institute of Mathematics and its Applications, the American Physical Society, and the International Society for General Relativity and Gravitation. Professor Hughston is Editor-in-Chief of International Journal of Theoretical and Applied Finance, and acts as an Associate Editor for Mathematical Finance and Quantitative Finance.

Dr Paresh Date

Senior Lecturer and Director of Research in the Department of Mathematics  at Brunel University. He completed his doctoral studies in systems and control theory at the University of Cambridge, funded by a Nehru Fellowship from the Commonwealth Trust. His research interests include parameter estimation and forecasting for financial time series, stochastic optimal control with applications in finance, and financial portfolio optimization problems. He is currently investigating the use of particle filters as a means for improving accuracy in the pricing and hedging of derivatives. Dr Date is a Fellow of the Institute of Mathematics and its Applications, and an Associate Editor of the IMA Journal of Management Mathematics.

Dr Elena Boguslavskaya

Holds a prestigious Daphne Jackson Trust Fellowship in the Department of Mathematics at Brunel University. She was born in Moscow, and received her MSc from the Moscow State University. Her PhD is from the University of Amsterdam, where she studied under the supervision of Professor F. Klaassen and Professor A. Shiryaev. Dr Boguslavskaya’s research interests are in probability and mathematical finance. She is currently working on a new integral transform for pricing American and European style options.

Dr David Meier

Lecturer in Mathematics in the Department of Mathematics at Brunel University. He was born in Switzerland and obtained an MSc in Theoretical Physics from ETH Zurich, for which he was awarded the Willi Studer prize. He completed his PhD in Applied Mathematics at Imperial College London under the supervision of Professor D. Holm. Dr Meier's research areas include geometric mechanics, control theory, quantum mechanics, and various aspects of financial mathematics. He is currently investigating individual investor behaviour from the viewpoint of information-based asset pricing theory.