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Stochastic control models for financial applications

  • Full or part time
  • Application Deadline
    Applications accepted all year round
  • Self-Funded PhD Students Only
    Self-Funded PhD Students Only

Project Description

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.

Funding Notes

This project is open to self-funded students and is eligible for funding from the School of Mathematics Scholarships, EPSRC Doctoral Training Partnerships, and Leeds Doctoral Scholarships.

All successful UK/EU and international applicants will be considered for funding, in an open competition across the School of Mathematics. To be considered for this funding, it is recommended to apply no later than 31 March 2019 for funding to start in October 2019. However, earlier applications are welcome, and will be considered on an ongoing basis.

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