Stochastic control models for financial applications

This project is devoted to the study of stochastic control problems arising from financial applications. In particular we are interested in the theoretical study of optimal strategies in one of the following classes of problems:

(i) pricing/hedging of American options on multi-dimensional assets,

(ii) irreversible (partially reversible) investment problems with applications to real options and energy systems,

(iii) zero-sum and nonzero-sum games of control and stopping. Models with partial and asymmetric information may also be considered. The Financial Mathematics group in Leeds has strong expertise in stochastic control and stochastic analysis. As a PhD student in our group you will have the opportunity to interact with several other young researchers in this area and you will benefit from frequent scientific visits of leading international academics in the field.