Effective financial solutions rely critically on novel algorithms and mathematical models behind decision making and planning procedures. In addition to offering a world-class group of researchers within Actuarial Science from the Statistics and Actuarial Science department, our faculty features renowned talents within Combinatorics and Optimization and Computer Science, who have longstanding partnerships with key financial institutions worldwide.
Tom
Coleman
from
the
Department
of
Combinatorics
and
Optimization
is
the
director
of
Waterloo
Institute
on
Insurance,
Securities
and
Quantitative
Finance
(WatRISQ).
His
research
focuses
on
the
development
of
computing
methodologies
for
compute-intensive
problems
that
arise
in
applications
such
as
finance
and
risk
management,
with
expertise
in
areas
such
as
global
optimization,
cluster
computing
for
optimization
and
risk
minimization.
In the Cheriton School of Computer Science, computational finance is explored within the Scientific Computing Group.
- Yuying Li is interested in continuous optimization problems for computational finance including optimal portfolio execution strategies, execution costs in financial markets and hedging variable annuities.
- Peter Forsyth is currently focused on the problem of algorithmic trade execution, requiring a balance between minimizing pricing impact and minimizing timing risk, introducing techniques from the solution of partial differential investment. He has considerable expertise in hedging: managing risk to optimize investment.
- George Labahn is exploring fast, stable methods for solving financial option problems.
- Justin Wan (Canada Research Chair in Scientific Computing) has explored robust numerical evaluation of European and American options and a Monte Carlo approach to pricing options.
Within the Department of Statistics and Actuarial Science, there are immeasurable opportunities for research in the topic area of finance, combining the talents of a large group of experts in many areas with in-depth knowledge of statistical methods. Researchers from this department with a focus in finance are:
- Carole Bernard (University Research Chair) who works on optimal insurance and reinsurance demand, portfolio choice, risk management and option theory;
- Adam Kolkiewicz who studies valuation and hedging problems in incomplete markets as well as numerical methods in in finance;
- Don McLeish, the author of a well-known book entitled Monte Carlo Methods and Finance (Wiley, 2005) who does research in that area;
- David Saunders who works on credit risk management and stochastic optimization methods in finance; and
- Tony Wirjanto (University Research Chair) who develops econometric and statistical methodology for financial applications.
This department is also home to a world-renowned group of researchers in actuarial science and risk management:
- Jun Cai, whose work is at the interface between insurance risk and finance risk;
- Mary Hardy who studies solvency and risk management for life insurance and pension plans;
- David Landriault (Canada Research Chair in Risk Theory) who works on ruin theory and general risk models in actuarial science;
- Christiane Lemieux who studies quasi-Monte Carlo methods and risk theory;
- Johnny Li (Fairfax Chair in Risk Management) who focuses on measuring the uncertainty involved in estimating future mortality and its impact on financial risk management;
- Ken Seng Tan (University Research Chair) who studies innovative approaches to risk management and optimal reinsurance, including long-term insurance contracts;
- Ruodu Wang who develops quantitative methods for risk management;
- Chengguo Weng whose research focuses on optimal reinsurance design, copula modeling and tail risk; and
- Gord Willmot (Munich Re Chair in Insurance) who studies aggregate claims models and ruin theory.