phd mathematical finance oxford

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Academic members are drawn from University of Oxford departments, including Engineering, Economics, the Mathematical Institute, Statistics, the Saïd Business School, and Computer Science. Associate Membership status provides academics with an opportunity to work alongside OMI’s students, Faculty, and commercial researchers.

The Institute’s student members are graduate students studying for DPhils (PhDs) at affiliated University of Oxford departments. Students work within the Institute’s purpose built, state-of-the-art offices and have the opportunity to attend the Institute’s in-house seminars and workshops. This opportunity is also extended to the Institute’s Associate Student Members, enabling them to connect with leading researchers across a broad spectrum of relevant disciplines and therefore better position themselves to contribute to quantitative finance.

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Director, Professor Álvaro Cartea

Álvaro Cartea is Professor of Mathematical Finance in the Mathematical Institute, University of Oxford. Álvaro’s interests lie at the intersection of financial economics, mathematics, and data science. His research spans across several fields, including algorithmic and high-frequency trading, market microstructure, mathematical finance, asset pricing, commodities markets, and financial regulation. Álvaro is the editor-in-chief of Applied Mathematical Finance .

Papers by Álvaro

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Oxford Faculty -- OMI Members

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Andrew Alden

DPhil Student, King's College London

DPhil student, Mathematical Institute

Alvaro Arroyo Nuñez

DPhil Student at the Department of Engineering Science

Jan-Peter Calliess

Senior Research Fellow, Department of Engineering Science

 Sergio Calvo Ordoñez 

Álvaro Cartea

Director of the Oxford-Man Institute, Professor in Mathematical Finance, University of Oxford

Patrick Chang

Samuel Cohen

Associate Professor in Mathematical Finance at the Mathematical Institute, University of Oxford

Mihai Cucuringu

Associate Professor, Department of Statistics, OMI Faculty Member, University of Oxford

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University of oxford: mathematical and computational finance.

Full-Time, 10 months started Sep 2024

**The information provided on this page was correct at the time of publication (November 2023). For complete and up-to-date information about this course, please visit the relevant University of Oxford course page via www.graduate.ox.ac.uk/ucas.**

The course provides you with a strong mathematical background with the skills necessary to apply your expertise to the solution of problems. You will develop skills to formulate mathematical problems that are based on the needs of the financial industry. You will carry out relevant mathematical and financial analysis, develop and implement appropriate tools to present and interpret model results.

The course lays the foundation for further research in academia or for a career as a quantitative analyst in a financial or other institution.

You will take four introductory courses in the first week. The introductory courses cover partial differential equations, probability and statistics, financial markets and instruments, and Python.

The first term focuses on compulsory core material, offering 64 hours of lectures and 24 hours of classes, plus one compulsory computing course offering 16 hours of lectures.

**Core courses**

- Stochastic Calculus (16 lectures, and 4 classes of 1.5 hours each)

- Financial Derivatives (16 lectures, and 4 classes of 1.5 hours each)

- Numerical Methods (16 lectures, and 4 classes of 1.5 hours each)

- Statistics and Financial Data Analysis (16 lectures, and 4 classes of 1.5 hours each)

**Computing course**

- Financial computing with C++ I (16 hours of lectures, plus 4 classes of 2 hours each over weeks 1-9)

The second term will be a combination of core material, offering 48 hours of lectures (18 hours of classes) and 48 hours of electives (students will choose four electives).

- Deep Learning (16 lectures, and 4 classes of 1.5 hours each)

- Quantitative Risk Management (8 lectures, and 2 classes of 1.5 hours each)

- Stochastic Control (8 lectures, and 2 classes of 1.5 hours each)

- Fixed Income (16 lectures, and 4 classes of 1.5 hours each)

**Elective courses**

- Advanced Volatility Modelling (8 lectures, and 2 classes of 1.5 hours each)

- Advanced Monte Carlo Methods (8 lectures, and 2 classes of 1.5 hours each)

- Advanced Numerical Methods (8 lectures, and 2 classes of 1.5 hours each)

- Asset Pricing (8 lectures, and 2 classes of 1.5 hours each)

- Market Microstructure and Algorithmic Trading (8 lectures, and 2 classes of 1.5 hours each)

- Decentralised Finance (8 lectures and 2 classes of 1.5 hours each)

- Financial computing with C++ II (24 hours of lectures and classes)

The third term is mainly dedicated to a dissertation project which is to be written on a topic chosen in consultation with your supervisor. This may be prepared in conjunction with an industry internship.

Full-Time, 10 months started Oct 2023

**The information provided on this page was correct at the time of publication (October/November 2022). For complete and up-to-date information about this course, please visit the relevant University of Oxford course page via www.graduate.ox.ac.uk/ucas.**

**This course is taking part in a continuing pilot programme to improve the selection procedure for graduate applications, in order to ensure that all candidates are evaluated fairly. For this course, the socio-economic data you provide in the application form will be used to contextualise the shortlisting and decision-making processes where it has been provided.**

Computing course

- Stochastic Volatility (8 lectures, and 2 classes of 1.5 hours each)

Advanced Numerical Methods (8 lectures, and 2 classes of 1.5 hours each) - Asset Pricing (8 lectures, and 2 classes of 1.5 hours each)

- Optimisation (8 lectures, and 2 classes of 1.5 hours each)

Financial computing with C++ II (24 hours of lectures and classes) The third term is mainly dedicated to a dissertation project which is to be written on a topic chosen in consultation with your supervisor. This may be prepared in conjunction with an industry internship.

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MSc in Mathematical and Computational Finance

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PhD Fellowships

The Jacobs Levy Equity Management Dissertation Fellowship in Quantitative Finance is awarded to doctoral candidates in the dissertation stage in the area of quantitative financial research that is consistent with the mission of the Jacobs Levy Center.

2023-2024 Fellow

Sergey sarkisyan.

Education University of Pennsylvania, PhD candidate in Finance, 2019-Present University of Pennsylvania, Master of Arts in Finance, 2021 Lomonosov Moscow State University, Bachelor of Arts in Economics, 2019

Research Working paper Instant Payment Systems and Competition for Deposits Working paper Local Power, Global Reach: The Influence of Deposit Market Power on International Banking

Awards 2023 Financial Intermediation Research Society PhD Travel Grant 2023 European Finance Association PhD Travel Grant 2023 Northern Finance Association PhD Travel Grant 2022 Jacobs Levy Center Research Grant

Anna-Theresa Helmke

Education University of Pennsylvania, PhD candidate in Finance, 2018-Present University of Oxford, Master of Science in Financial Economics, 2017 Maastricht University, Bachelor of Science in Economics, 2015

Research Working paper “Are ETFs better than Mutual Funds?” (supported by Jacobs Levy Center research grant ) Working paper “ETFs versus Mutual Funds: Implications for Asset Price Fragility”

Experience International Monetary Fund, Research Fellow, 2022 European Central Bank, Research Fellow, 2019 McKinsey & Co, Consultant, 2017-2018

Awards 2019 Miller, Anderson and Sherrerd Fellowship for top score in the PhD preliminary exam 2017 Vice Chancellor Scholarship, University of Oxford 2017 Dean’s List, University of Oxford 2016-2017 Graduate Scholarship DAAD (German Academic Exchange Service) Honors Certificate, Maastricht University

James Paron

Education University of Pennsylvania, PhD candidate in Finance, 2019–Present University of Pennsylvania, Bachelor of Science in Economics, summa cum laude, with minors in Mathematics and History, 2019

Research Working paper Heterogeneous-Agent Asset Pricing: Timing and Pricing Idiosyncratic Risks Working paper Sovereign Default and the Decline in Interest Rates with Max Miller and Jessica Wachter Working paper Who Hedges Interest-rate Risk? Implications for Wealth Inequality  with Sylvain Catherine, Max Miller, and Natasha Sarin Work in progress “Firm dynamics and asset prices: Trends in valuation, concentration, and innovation” Work in progress “Asset pricing with and without growth” with Jules van Binsbergen Work in progress, “A context-based model of recall and decisions,” with Madison Paron and Michael Kahana

Awards 2022 Irwin Friend Prize for Best Paper

2021-2022 Fellows

Education University of Pennsylvania, PhD candidate in Finance, 2017-Present Emory University, Bachelor of Business Administration in Finance, 2013

Research Relaxing household liquidity constraints through social security with Sylvain Catherine and Natasha Sarin ( Journal of Public Economics , 2020) Mutual Funds: Skill and Performance with Jonathan Berk and Jules van Binsbergen ( Journal of Portfolio Management , 2020) Working paper Democratization, Inequality, and Risk Premia Working paper Foreign Influence in US Politics with Marco Grotteria and S.Lakshmi Naaraayanan (supported by Jacobs Levy Center research grant for project “The Insider Value of Political Connections”) Working paper Social Security and Trends in Wealth Inequality with Sylvain Catherine and Natasha Sarin Working paper Sovereign default and the decline in interest rates with James Paron and Jessica Wachter Working paper Who Hedges Interest-rate Risk? Implications for Wealth Inequality with Sylvain Catherine, James Paron, and Natasha Sarin

Awards 2021 Western Finance Association PhD Candidate Award For Outstanding Research 2021 Society for Financial Studies Cavalcade Best Paper in Asset Pricing

Felix Nockher

Education University of Pennsylvania, PhD candidate in Finance, 2018-Present University of Lausanne, Master of Science in Finance, 2016 University of Mannheim, Bachelor of Science Business Administration, 2014

Research Working paper “Dynamic Strategic Corporate Finance” with Joao Gomes and Ulrich Doraszelski Working paper Pricing public information: The role of trade with Bradford (Lynch) Levy (supported by Jacobs Levy Center research grant for project “Market Efficiency in the 21st Century: Pricing Assets, Fast and Slow”)

Experience Rothschild & Co, Investment Banking Analyst, 2017-2018; Summer Investment Banking Analyst, 2016 Macquarie Capital, Off-Cycle Investment Banking Analyst, 2016 KPMG Corporate Finance, Summer Investment Banking Analyst, 2015 Ebner Stolz, Intern, 2013

Awards 2016 Prix de la Fondation Vaudoise pour la Formation Bancaire (Best Master’s Thesis Award) 2015 KPMG HighQ Scholarship

2020-2021 Fellows

Maria gelrud.

Education University of Pennsylvania, PhD candidate in Finance, 2017-Present New Economic School and Higher School of Economics, Bachelor of Arts in Economics, 2017 Harvard College, Visiting Student, 2016

Research Interested in climate finance and asset pricing Working paper Discounting Climate Change Mitigating Projects: A Production-Based Model with Disasters

Experience Moscow Exchange, Intern, 2016 McKinsey & Company, Research Assistant, 2015

Awards The George James Doctoral Fellowship, 2017

Education University of Pennsylvania, PhD candidate in Finance, 2017-present University of Toronto, Bachelor of Science, Economics and Statistics, 2017

Research Interested in asset pricing and financial econometrics Working paper Is The United States A Lucky Survivor: A Hierarchical Bayesian Approach with Jules van Binsbergen and Jessica Wachter

Awards University of Toronto Excellence Award, 2017 First Place in Waterfront Quantathon, 2016

Education University of Pennsylvania, PhD candidate in Finance, 2017-Present Amherst College, Bachelor of Arts in Economics and Mathematics, 2015

Research Interested in empirical asset pricing Working paper  ‘Superstitious’ Investors  with Jessica Wachter Working paper  Underreaction, Overreaction, and Dynamic Autocorrelation of Stock Returns

Experience Research Associate, Arrowstreet Capital, 2015-2017

Awards Miller, Anderson & Sherrerd Fellowship, 2018

ALEJANDRO LOPEZ-LIRA

Education University of Pennsylvania, PhD candidate in Finance, 2015-present Instituto Tecnologico Autonomo de Mexico (ITAM), Master of Arts in Economic Theory, 2015 ITAM, Bachelor of Arts in Economics and Financial Management, 2014

Research Interested in asset pricing, machine learning, banking, macro finance, and financial frictions Working paper  Risk Factors That Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns Working paper  Demand-Driven Risk and the Cross-Section of Expected Returns Knowledge@Wharton  interview

Alexander Belyakov

Education University of Pennsylvania, 2015-present PhD candidate in Finance

New Economic School and Higher School of Economics, 2011-2015 Bachelor of Arts in Economics

Research Paper “Leverage and Financing in Distress” received Best Corporate Finance Paper award at 2017 Australasian Finance and Banking Conference

Experience Intern, Runa Capital, 2015 Intern, S&P Dow Jones Indices, 2013-2014

Education University of Pennsylvania, 2014-present Ph.D. candidate in Finance

The Ohio State University, 2012-2014 M.S. in Statistics

Shanghai University of Finance and Economics, 2008-2012 B.S. in Statistics

Research Interests Investments, Institutional Investors, Asset Pricing

Publications “Absolving Beta of Volatility’s Effects,” Journal of Financial Economics (forthcoming), with Robert Stambaugh and Yu Yuan

Ram Yamarthy

Education New York University, Stern School of Business B.S. in Economics, B.A. in Mathematics, 2011 (magna cum laude)

Research Interests Macro-Finance (Asset Pricing, Dynamic Corporate Finance), Policy-Related Questions, Applied Time Series Econometrics

Experience Board of Governors of the Federal Reserve System, Summer 2014

Honors and Awards American Finance Association Doctoral Travel Grant, 2015 University of Pennsylvania Dean’s Fellowship for Distinguished Merit, 2011-2015 Best Paper, Journal of Undergraduate Research in Finance 2011

Education Open University of Israel, Tel Aviv, Israel, M.B.A., 2007; B.A. Computer Science, 2004

Experience Research Assistant, Bar Ilan University, Ramat-Gan, Israel, 2008-2010 Instructor, Open University of Israel, Tel Aviv, Israel, 2008-2010 Software Developer, Israel Defense Forces, 2004-2008

Awards Miller, Anderson & Sherrerd Graduate Fellowship in Finance, University of Pennsylvania, Wharton School, 2011-2012 University of Pennsylvania Dean’s Fellowship for Distinguished Merit, 2010-2014 Presidential Scholarship for Excellent Annual Achievements in M.B.A studies, Open University of Israel, 2007-2008 Certificate of Appreciation for Personal Contribution to the Winning Project of Israel’s Security Award, IDF Intelligence Corps, 2006

Yasser Boualam

Education Carnegie Mellon University, Tepper School of Business, M.S., Computational Finance, 2009 Grenoble Institute of Technology, ENSIMAG, France, Diplome d’lingenieur (B.S., M.S.), Applied Mathematics and Computer Science, 2008

Research Interests Macro-finance, financial fragility, financial institutions and sovereign debt

Teaching Fellowships FNCE 962 – Macroeconomics and the Global Economic Environment (MBA), Professor Ravi Bansal, (Spring 2012) FNCE 924 – Intertemporal Macro Finance (PhD), Professor Pricila Maziero (Spring 2011), Professor Mathieu Taschereau-Dumouchel (Spring 2012) FNCE 393/893 – Global Monetary and Financial Institutions: Theory and Practice (UGD/MBA), Professor Zvi Eckstein, Fall 2011

Experience AXA Investment Managers, Financial Engineering, Paris Deutsche Bank, Derivative Strategy and Index Trading, London Society General, CIB, Equity Derivatives Structuring, New York

Awards Irwin Friend Doctoral Fellowship in Finance, 2012 American Finance Association Doctoral Student Travel Grant, 2011 University of Pennsylvania Dean’s Fellowship for Distinguished Merit, 2009-2013 The Spirit of MSCF Award, Tepper School of Business, 2008 MSCF Merit Scholarship, Tepper School of Business, 2007-2008

Alexei Chekhlov

Adjunct Professor, Mathematics Department, Columbia University .

e-mail: [email protected]

Courses Taught:

GR5360: Mathematical Methods in Financial Price Analysis .

This is a course which can be also called "Applied Econophysics", it has a large emphasis on working with high-frequency financial data . Each of the HomeWorks and the Final Project have a heavy weight in the Final Grade and require a student to make his own inferences about a financial time series.

GR5280: Capital Markets and Investments .

This is a course based on the well-known book "Investments" by Bodie, Kane, Markus . We focus on financial markets and classical finance results related to efficient markets.

MS in Mathematics & Physics, Moscow Institute of Physics & Technology , 1990;

MA in Applied & Computational Mathematics, Princeton University , 1993;

PhD in Applied & Computational Mathematics, Princeton University , 1995.

Google Scholar Citations : 1,178, h-index 11.  

Professional Experience:

Systematic Alpha Management, LLC

Head of Research and Partner

A New York-based CTA firm managing several short-term systematic managed futures investment programs. The fund managed by Systematic Alpha was noted for its top absolute and risk-adjusted performance. In both 2009 and 2012 it has won HFMWeek US Performance awards in the Managed Futures (CTA) category. It has also received the CTA Intelligence US Performance awards in 2014 and 2016 as best short-term trader.

Princeton University

Research Associate

Research in theory of fluid turbulence. Discovery of the simplest nonlinear random model to produce the exact Kolmogorov energy spectrum solution. Explanation of intermittency effects and their relationship to algebraically-fat-tailed distribution functions. Discovery of the anisotropic universal energy spectrum.

Selected Publications:

• Alexei Chekhlov, Stanislav Uryasev, Michael Zabarankin, Drawdown Measure in Portfolio Optimization , International Journal of Theoretical and Applied Finance, Vol. 8, No. 1, 2005;
• Alexei Chekhlov, Stanislav Uryasev, Michael Zabarankin, Portfolio Optimization with Drawdown Constraints , University of Florida Research Report #2000-5, April 2000;
• Alexei Chekhlov, Stanislav Uryasev, Michael Zabarankin, Portfolio Optimization with Drawdown Constraints , in book: Supply Chain and Finance, by Panos M. Pardalos, Athanasios Migdalas, George Baourakis, World Scientific, 2004
• Alexei Chekhlov, Stanislav Uryasev, Michael Zabarankin, Portfolio Optimization with Drawdown Constraints , in book: Asset and Liability Management Tools, A Handbook for Best Practice, Edited by Bernd Scherer, Risk Books, 2003.
• Alexei Chekhlov, Over- and Under-Reaction in Liquid Markets , The Hedgefund Journal, January 2010;
• Alexei Chekhlov, Victor Yakhot, Algebraic Tails of Probability Density Functions in the Random-Force-Driven Burgers Turbulence , Physical Review Letters, Vol. 77, No. 15, 1996.
• Alexei Chekhlov, Victor Yakhot, Kolmogorov Turbulence in a Random-Force-Driven Burgers Equation , Physical Review E, Vol. 51, No. 4, 1995;
• Alexei Chekhlov, Victor Yakhot, Kolmogorov Turbulence in a Randon-force-driven Burgers Equation: Anomalous Scaling and Probability Density Functions , Physical Review E, Vol. 52, No. 5, 1995;
• Alexei Chekhlov, Steven A. Orszag, Semion Sukoriansky, Boris Galperin, Ilya Staroselsky , The Effect of Small-Scale Forcing on Large-Scale Structures n Two-Dimensional Flows , Physica D, Vol. 98, December 1996.
• Semion Sukoriansky, Boris Galperin, Alexei Chekhlov, Large Scale Drag Representation in Simulations of Two-Dimensional Turbulence , Physics of Fluids, Vol. 11, 1999.
• Alexei Chekhlov, Steven A. Orszag, Semion Sukoriansky, Boris Galperin, Ilya Staroselsky , Direct Numerical Simulation Tests of Eddy Viscosity in Two Dimensions , Physics of Fluids, Vol. 6, 1994.
• Nail Inogamov, Alexei Chekhlov, Multiplicity and Uniqueness in the Theory of the Rayleight-Taylor Instability: Possible Steady-State Solutions and Solution Choices , Dklady Akad Nauk USSR , Vol. 328, 1993;
• Nail Inogamov, Alexei Chekhlov, Role of Short-Wave Perturbations in a Periodic Structure Associated with the Rayleigh-Taylor Instability , Vol. 17, 1991.
• Alexei Chekhlov, Studies of forced-dissipative turbulence in model hydrodynamics , Princeton University, 1995.