Topics in Mathematical Finance

Lead Research Organisation: University of Warwick
Department Name: Statistics


Brief description of the context of the research including potential impact:
The goal of this thesis is twofold. One part is to understand the possibility of regulatory arbitrage in portfolio optimisation problems with Expected Shortfall constraint. The other part is on behavioural aspects of Mathematical Finance. The first project will prove important for financial regulators who might be unaware of this particular problem of regulatory arbitrage. This will also benefit the wider economy by leading to better regulation and stability of financial markets.

Aims and objectives
Here we just focus on the first part of the research. The goal is to understand the relationship between regulatory arbitrage and the fundamental theorem of asset pricing. Among others, we hope to understand in more detail some important failings of the Expected Shortfall risk measure.

Novelty of research methodology
The PhD project will link different areas of (financial) mathematics in novel ways. Despite being quite theoretical, its implications are very important for real world decisions like the regulations of financial markets.

Alignment to EPSRC strategy
Among others, this research will contribute to developing a fundamental understanding of financial markets and is therefore in line with the Strategic Plan 2015. As outlined above, it might help to regulate financial markets better and to prevent future financial crises.


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Studentship Projects

Project Reference Relationship Related To Start End Student Name
EP/R513374/1 01/10/2018 30/09/2023
2114737 Studentship EP/R513374/1 01/10/2018 31/03/2022 Nazem Khan