Welcome to the Mathematical and Computational Finance Group (MCFG) OLD homepage
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The MCFG is one of the largest financial mathematics research and teaching groups in the UK. Financial maths is an extremely diverse discipline, encompassing fields from stochastic analysis and probability theory to partial differential equations, statistics, numerical analysis and computational methods. It was initiated at the start of the last century by the work of Bachelier, but the study of financial maths only really began to take off following the seminal option pricing theory of Black, Scholes and Merton in the 1970s. It now represents one of the fastest growing areas of applied maths and is increasingly integral to the daily functioning of the financial markets, with applications from asset pricing to risk management.
Part of Oxford University's Mathematical Institute, the MCFG is closely affiliated with OCIAM, the Oxford Centre for Industrial and Applied Mathematics, enabling cross-fertilisation of ideas and techniques. The depth of the group is reflected in the broad nature of its research activities which currently include pricing exotic and American options, interest rate models, foreign exchange processes, real options, credit and convertibles, optimal hedging in incomplete markets, transaction costs, sparse grid and multigrid methods for high-dimensional PDEs, energy pricing and market microstructure models. Further details regarding specific research interests are on the individual websites of group members. We are also closely lined with the Oxford Man Institute now.
The MCFG's approach is practically oriented and we foster extensive links with industry, exemplified by the inauguration of the Nomura Centre for Mathematical Finance (NCMF) in May 2001. In addition, through the Oxford Financial Research Centre (OFRC) the MCFG maintains strong ties with all other groups, institutes and departments within Oxford University with an interest in financial research, including the Statistics, Physics and Economics departments, the Computing Laboratory and the Said Business School.
