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PhD in Mathematics - Mathematical Finance and Stochastic Analysis

University of York

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Course options

  • Qualification

    PhD/DPhil - Doctor of Philosophy

  • Location

    University of York

  • Study mode

    Full time

  • Start date

    27-SEP-21

  • Duration

    Variable - to suit the learner

Course summary

Our research interests span a broad range of topics in continuous and discrete time.

In mathematical finance our areas of research activity include:

  • arbitrage and option pricing in markets with friction and incomplete markets
  • entropy and financial value of information
  • optimal investment strategies in markets, with prices depending on the volume of trading
  • robust arbitrage and model-independent pricing
  • discrete time models and their continuous time limits in the presence of market imperfections
  • numerical methods for pricing financial derivatives.

In stochastic analysis our research focuses on:

  • infinite dimensional stochastic analysis, including stochastic differential equations on infinite dimensional manifolds
  • stochastic partial differential equations (especially stochastic Navier-Stokes and Euler equations arising in the context of turbulence phenomena)
  • stochastic analysis on Riemannian and Finslerian manifolds
  • rough paths and their applications to modelling probabilistic phenomena and numerical analysis (for example non-linear filtering)
  • Feynman path integrals and more broad applications to mathematical physics, biology and finance.

Tuition fees

Students living in United States
(international fees)

£ 17,750per year

Tuition fees shown are for indicative purposes and may vary. Please check with the institution for most up to date details.

University information

University of York

  • University League Table

    18th

  • Campus address

    University of York, Heslington, York, York, YO10 5DD, England

Inspiring teaching delivered by leading academics, integrated with award-winning employability programmes, equips students for the international labour market.
A diverse campus community of students from over 150 countries that offers a lifelong global alumni network.
Specialist international student support includes orientation, immigration advice, Language Skills Centres, and International Pathway College programmes.

Subject rankings

  • Subject ranking

    28th out of 72 2

  • Entry standards

    / Max 236
    149 62%

    28th

    2
  • Graduate prospects

    / Max 100
    82 82%

    26th

    12
  • Student satisfaction

    / Max 5
    4.07 81%

    29th

    13

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