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Pricing and hedging in non-linear financial market models

Faculty of Engineering and Physical Sciences

About the Project

Contemporary mathematical finance, especially in the aftermath of the financial crisis of 2007-2008, faces important challenges which include better taking into account of various market imperfections, thorough understanding of default risk, studying complex strategic interactions between agents, to name a few. Imperfections in the markets might come, for example, from taxes on profits from risky investments, or from the trading impact of a large investor on the market prices and/or on the default probability. Such imperfections typically lead to non-linearities in the pricing rules, and hence to non-linear financial market models. Addressing the above challenges calls for new developments in stochastic analysis and stochastic control. The aim of the project is to advance our understanding of optimal stopping problems and stopping games with non-linear expectations, of (reflected) backward stochastic differential equations and of optimal switching problems. The project involves theoretical research leading to applications to pricing and hedging of financial derivatives (American options, game options, Bermudan options, ...) and to risk management in financial markets with imperfections. The successful candidate will have a strong scientific background in probability theory and stochastic processes and/or financial mathematics, as evidenced by very good Bachelor and Master degrees in Mathematics/Applied Mathematics or a closely related area and excellent recommendation letters. The successful candidate will be based at the School of Mathematics, University of Leeds and will work under the supervision of Dr. Miryana Grigorova. More information about the supervisor can be found at The University of Leeds is part of the Russell Group of leading UK universities. The School of Mathematics has a large and vibrant group in Probability and Financial Mathematics, with an international reputation for research excellence. For more information about life on and around campus, please refer to the University of Leeds webpages.

Funding Notes

This project is suitable for UK/EU/International self-funded or third-party-funded students.
The project is eligible for China Scholarship Council - University of Leeds Scholarships 2021.
The deadline is Wednesday 6 January 2021.
Please to get in touch as early as possible before the deadline
if you envisage this funding route.

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