The group undertakes research in quantitative finance and optimization, with emphasis on rigorous mathematical modeling and data-driven decision-making. The group develops stochastic and analytical models for financial markets, including interest rate modeling and commodity price dynamics, with particular focus on commodity derivatives modeling and pricing. Research addresses valuation methodologies under uncertainty, including risk-indifference pricing of financial derivatives and arbitrage-free frameworks grounded in modern financial mathematics.
A major component of the group’s work lies in risk management and portfolio theory, especially mean–variance portfolio selection and its extensions under realistic market constraints. Using tools from convex optimization and operations research, the group studies optimal asset allocation, hedging strategies, and capital efficiency. Complementing the theoretical framework, the group applies advanced data analytics techniques to the analysis of complex structured and unstructured datasets, integrating statistical learning and computational methods to enhance forecasting, pricing accuracy, and risk assessment. Collectively, the group’s activities bridge mathematical theory, computational methods, and practical financial applications.
Department Members in This Field
Faculty
- Prof Chisara Peace Ngozi Ogbogbo Financial Mathematics, Commodity Modeling, Interest Rate Modeling, Mathematical Modeling
- Dr Seth Okyere Sarfo Commodity Derivatives Modeling, Pricing, Risk Management, Data Analytics, Analysis of Complex Structured and Unstructured Data Sets
- Dr Edward Korveh Mean-variance portfolio selection, risk-indifference pricing of financial derivatives
- Dr Thomas Katsekpor Convex Optimization
Graduate Students
- TBA
Publications
- CP Ogbogbo, IU Amadi, LC Nnoka, and T Katsekpor. Assessing asset value changes using a system of stochastic models with constant terms and periodic drift coefficients. International Journal of Mathematical Sciences and Optimization: Theory and Applications, 11(2):93–102, 2025.
- U Amadi, CPN Ogbogbo, I Davies, and T Katsekpor. A stochastic model for the variation of fourier series expansions with time delay arising in financial market price changes. International Journal of Mathematical Sciences and Optimization: Theory and Applications, 10(3):140–153, 2024.