Nanjing-Oxford Mathematical Finance Training Programme 2020

We look forward to welcoming you to the Mathematical Institute, University of Oxford for the Nanjing-Oxford Mathematical Finance Training Programme. 

Programme Dates

Sunday 12 July - Thursday 16 July 2020

Student Instructions

Joining instructions will be made available closer to the time. The joining instructions explain everything you need to know while you are in Oxford so please make sure you read them carefully.


July 2020 Timetable

Meet the lecturers

Lecturer Biography Course Materials

Professor Alvaro Cartea

I am a lecturer in Mathematical Finance in the Department of Mathematics, University of Oxford and an academic member of the Oxford-Man Institute. My research interests are:

  • High-Frequency and Algorithmic Trading
  • Mathematical Finance
  • Financial Economics
  • Asset Pricing
  • Energy Markets

Professor Sam Cohen

I am an Associate Professor in the Mathematical and Computational Finance Group. My main research interests are in the areas of stochastic analysis and mathematical finance. In particular, I work with Backward Stochastic Differential Equations (BSDEs), which arise in various areas in stochastic control and mathematical finance. I am interested in problems associated with decision making in the presence of risk and uncertainty. SC_Materials

Professor Mike Giles

I am a professor of scientific computing at the University of Oxford, and a tutorial fellow in mathematics at St Hugh's College. After many years of developing new algorithms in computational fluid dynamics with applications to aircraft engine design, I have recently moved into computational finance working on both Monte Carlo and finite difference methods. With Paul Glasserman of Columbia Business School I was named Quants of the Year 2007 by Risk magazine for our research on the use of adjoint techniques for efficient Monte Carlo estimation of Greeks. MG_Materials

Professor Ben Hambly

I am a professor of mathematics and a member of both the Mathematical and Computational Finance group and the Stochastic Analysis group in the Mathematical Institute as well as a Fellow of St Anne's College. My research interests range from diffusion in random and fractal media, through rough paths to the pricing of derivatives and the development of models for credit and energy markets. More recently I have been interested in stochastic partial differential equations and their use in systemic and credit risk and in the modelling of limit order books. BH_Materials

Professor Hanqing Jin

I am an Associate Professor at the Mathematical Institute and a member of the Oxford-Man Institute of Quantitative Finance.

My general interest is in Mathematical Finance, applied stochastic analysis and optimization. My work focuses on the study on portfolio selection (by stochastic control and martingale method) and optimal stopping in financial market. Recently I also worked on behavioural finance and time consistency in portfolio selection models.

HJ_Materials 1

HJ_Materials 2

Professor Michael Monoyios

I am an Associate Professor in Mathematical Finance and a Fellow of Lady Margaret Hall.

My research has focussed on applications of stochastic control to optimal investment, consumption and and hedging in incomplete markets. I have worked on problems involving transaction costs, basis risk, and partial and inside information. Other interests include pathwise hedging, stochastic portfolio theory, and asymptotic methods.


Professor Jan Obloj

I am a Professor of Mathematics and a member of the Mathematical and Computational Finance Group at the Mathematical Institute, Fellow of St John's College and a member of the Oxford-Man Institute of Quantitative Finance.

I have a general interest in Mathematical Finance and its interplay with Probability Theory and I look at a number of different problems where tools from martingale theory and stochastic analysis can be applied. My main focus is on the robust approach to Mathematical Finance, which does not start with an a priori model but rather with the information available in the markets. These problems are intimitely linked with martingale optimal transport problem and Skorokhod embeddings.


Professor Christoph Reisinger

I am a Professor of Applied Mathematics and Tutorial Fellow in Mathematics at St Catherine's College. I am Co-Editor-in-Chief of Applied Mathematical Finance, and serve on the editorial board of The Journal of Computational Finance and the International Journal of Computer Mathematics. I have a doctorate from the University of Heidelberg in scientific computing and a degree from Linz in applied mathematics. My research interests are:

  • Numerical analysis:
  • high-dimensional PDEs
  • non-linear PDEs (in particular, of HJB-type)
  • variational inequalities
  • multilevel and multi-index Monte Carlo
  • SPDEs (in particular, of Zakai-type)
  • SDEs (especially non-Lipschitz)
  • Mathematical and computational finance:
  • derivative valuation and counterparty credit risk
  • model calibration (FX, equity, credit)
  • investment and incomplete markets

Dr Ning Wang

I work as Senior Research Fellow in Data Science at the Oxford-NIE financial Big Data Lab, Mathematical Institute, University of Oxford. I also work as Research Associate at the Oxford Internet Institute.

My research is driven by a deep interest in analysing a wide range of social and economic problems by exploiting data science approaches. My research interests lie in machine/deep learning in finance, social media and mobile trading platform, online sentiment analysis and financial market, trading behaviors and performance evaluation. I am also interested in the broad areas of behavioral finance, social computing, data mining, and social networks analysis.


















Please contact us for feedback and comments about this page.Last update on 02 Apr 2022 - 22:26.