Stochastic control models for financial applications


Contact Dr Tiziano De Angelis to discuss this project further informally.

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.


Entry requirements

Applications are invited from candidates with or expecting a minimum of a UK upper second class honours degree (2:1), and/or a Master's degree in a relevant subject such as (but not limited to) mathematics or statistics.

How to apply

Formal applications for research degree study should be made online through the university's website. Please state clearly in the research information section that the PhD you wish to be considered for is the ‘Stochastic control models for financial applications’ as well as Dr Tiziano De Angelis as your proposed supervisor.

If English is not your first language, you must provide evidence that you meet the University’s minimum English Language requirements.

We welcome scholarship applications from all suitably-qualified candidates, but UK black and minority ethnic (BME) researchers are currently under-represented in our Postgraduate Research community, and we would therefore particularly encourage applications from UK BME candidates.  All scholarships will be awarded on the basis of merit.