Financial market models lie at the intersection of applied probability, economics and mathematical finance, providing robust frameworks to describe asset price dynamics and risk management. Central to ...

Approximations to sums of stationary and ergodic sequences by martingales are investigated. Necessary and sufficient conditions for such sums to be asymptotically normal conditionally given the past ...

It is shown that a method recently developed by Bolthausen permits an extension (up to a logarithmic factor) of an estimate of the rate of convergence in the martingale central limit theorem due to ...

This course is available on the MSc in Quantitative Methods for Risk Management. This course is available with permission as an outside option to students on other programmes where regulations permit.