MCFG is one of the longest-established research groups in the field in the world. Research in the subject began in the late 1980s, driven by Jeff Dewynne, Sam Howison and Paul Wilmott. The group has grown over the intervening two decades to become one of the largest and leading groups in the world. Currently the group has 12 faculty members, a part-time professor, 5 research fellows and postdocs, and around 15-20 DPhil students. It is a particular strength of the group that all of its faculty members are internationally recognised experts in core mathematical fields (such as stochastic analysis, stochastic control, numerical methods, partial differential equations, mathematical modelling, and operations research) relevant to finance, and this broad knowledge base is used to investigate a wide spectrum of problems in Mathematical Finance. For details please visit our research pages.
From 2001 to 2016, MCFG ran the Nomura Centre for Mathematical Finance with support from Nomura International plc. This had the aim of promoting research in mathematics and finance with a special emphasis on approaches that combine practical relevance with mathematical interest. The Centre also hosted an annual Nomura Lecture which has been given by some of the best minds in the area, including Nobel Laureates Robert Merton, Daniel Kahneman, and Harry Markowitz.
In recent years, the group has engaged in new and emerging research areas such as behavioural finance, robust finance, financial stability and financial big data. Through a generous donation by Financial Data Technologies Ltd (FDT), the Oxford-Nie Financial Big Data Laboratory was opened in October 2014. It is the first research laboratory in this area at a major university and provides a platform for research collaboration between academics, practitioners and regulators.
The achievements of MCFG are also reflected by various recognitions and distinctions the members have received from the mathematical finance community. Members have been or are on the editorial boards of top-tier scholarly journals such as Mathematical Finance, Quantitative Finance, Applied Mathematical Finance, Operations Research, Mathematics of Operations Research and SIAM's journals on Control and Optimization, on Scientific Computing, and on Financial Mathematics. They have been frequently invited to give keynote/plenary speeches at conferences around the globe. For example, Xunyu Zhou, Terry Lyons and Mike Giles were invited to give 45-minute lectures at the International Congress of Mathematicians (ICM) in 2010, 2014 and 2018 respectively, Xunyu Zhou was a plenary speaker at The 7th World Congress of the Bachelier Finance Society in 2012, and Mike Giles was a plenary speaker at the 2016 SIAM Conference on Uncertainty Quantification. Doyne Farmer is the keynote speaker at the 2017 Central Bank Summit. Three younger members of the group, Jan Obloj, Sam Cohen, and Johannes Ruf have been selected as the Bruti-Liberati Fellow and/or invited to give the Bruti-Liberati Lecture. Mike Giles was named Risk magazine Quant of the Year 2007, and was given the INFORMS Best Simulation Publication award in 2011.
MCFG offers a number of graduate study opportunities. It runs both full-time and part-time MSc programmes and every year a number of students are admitted to the DPhil (PhD) programme.