Research, Notes, Slides & Publications
The Actuarial-Financial Mathematics Lab supports undergraduate and postgraduate teaching and research in financial mathematics, stochastic processes, portfolio theory, derivative pricing, actuarial modelling, and computational methods.
The material below includes selected research papers, teaching notes, slides, and related publications connected with the scientific activities of the laboratory.
Slides and Additional Material
Selected slides and supplementary educational resources are available below.
Financial Slides
Slides on Portfolio Construction
Financial Engineering
Slides on Arbitrage
Dynamic Trading Strategies
Forecasting Asset Prices
Books
Selected books related to the scientific and educational activities of the laboratory.
Publications on ResearchGate
The laboratory's publications, preprints, books, slides, code material, and related research output are available on ResearchGate.
Stochastic Differential Equations
For the numerical solution of stochastic differential equations whose exact solutions satisfy qualitative properties such as positivity (as occurs, for example, in models for asset prices), we have proposed the so-called semi-discrete method. For further details, see Monte Carlo Methods and Applications , together with the references therein. For a recent comparison with other numerical methods in a stochastic model arising in biology, see Numerical Algorithms .
For additional information regarding current research directions, publications, and educational material, please contact the laboratory team.