London Mathematical Finance Group
London Mathematical Finance Group 

London Graduate School in Financial Mathematics

The London Graduate School in Mathematical Finance provides a programme of advanced courses in mathematical finance, primarily but not exclusively for first-year PhD students in the various groups. The programme started in October 2006 and continues for its eleventh year in October 2016.

Courses start in October 2016 and take place throughout the academic year.

A further activity of the School is the organisation of an annual PhD Day at LSE, in which students have the opportunity to present their work.

Please note that the programme is only available to PhD students, post-docs and staff in the constituent groups. It is not available to MSc students or to research students in other subjects.

Courses offered in 2016-2017

Please note that this information is subject to further confirmation, and some changes to the 2016-17 course programme may occur.

Courses offered in Oct-Dec 2016:

MF23 Advanced Probability Theory

MF24 Markov Processes: Characterization and Convergence

MF21 A Unified Approach to Quadrature Pricing in Equity Derivatives Models: Theory and Practice

MF14 Quadratic Hedging and its Applications

Courses offered in Jan-Mar 2017:

MF20 A Statistical Perspective on Data Analytics and Machine Learning Techniques for Insurance and Risk Management

MF26 Local Martingales and the Martingale Properties

MF13 Levy Processes and Applications in Finance

MF17 Nonlinear Valuation under Credit Gap Risk, Initial and Variation Margins and Funding Costs

MF12 Incomplete Markets

Courses offered in Apr-Jun 2017:

MF3 Time Changes in Asset Price and Volatility Modelling

In general, each course will be given at the lecturer's home college. A mixture of long and short courses is offered. The duration of long courses is typically 20-30 hours across eight to ten weeks. The duration of short courses is 8-15 hours across four or five weeks (not necessarily consecutive).

These courses do not provide credit towards a degree or diploma.

To get registered and To be on the mailing list for course announcements, follow the instructions on the Registration page.

Welcome reception at Imperial College

Imperial College hosts the 2016-17 opening ceremony and welcome reception, which will take place on 13 October 2016, starting at 3pm. All are welcome to attend and there is no need to register.

  • 3.00pm to 4.30pm: Opening speech and introduction to the 2016-17 course programme.
  • 4.30pm to 6pm: Coffee and Networking.
  • 6pm to 7pm: Seminar talk by Loriana Pellizzon (Goethe Univ.).

The 3.00pm speech will take place in the council room at 170 Queen’s gate (please note: 170, not the usual 180). The main access point is at 170 Queen's Gate, just north of the Queen’s gate entrance of the Natural Science Museum and south of 180 Queen’s Gate/ Huxley Building (Dept. of Mathematics).

The nearest underground stations are South Kensington and Gloucester Road. From South Kensington station either follow the subway sign-posted to the museums or walk north up Exhibition Road. From Gloucester Road station walk north up Gloucester Road and turn right at Queen's Gate Terrace.

Annual PhD Day

In addition to the courses and seminars, the London Graduate School of Mathematical Finance organises an annual event for PhD students, which provides the opportunity to the most advanced PhD students to present their work in front of other students and academics, and to help prepare them for larger seminars and international conferences.

This event will is not restricted to research students of the member institutions and PhD students from other universities and colleges are welcome to take part, either as speakers or as members of the audience.

The date of the next LGS PhD Day will take place on Tuesday 7th March 2017 in the Vera Anstey Room at LSE.Please address any questions about this to Penny Montague at

Administration Contact

Udomsak Rakwongwan (King's College London)


Programme for LGS PhD Day 7th March 2017
LGS PhD Presentation Day Programme 7 Mar[...]
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London Mathematical Finance Group: 2016-17