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Asset Pricing and Real-Time Risk Management
This research programme focuses on the development of asset pricing models and risk management in quantitative finance with particular attention to the practical details and implementation. The aim is to construct mathematically-robust models applicable in a near-real-time framework. One of the projects is on the development of dynamic initial margin models and margin valuation adjustments.
2 Researchers
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extResource/image/01/CAGAR51Dept of Mathematics
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extResource/image/01/AMACR82Dept of Mathematics
1 External Collaborators
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Dr Marc HenrardOpenGamma Ldt - United Kingdom
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Status:
Active
