Centre for Financial Research

Founded in 1996 the Centre for Financial Research (CFR) is based in the Statistical Laboratory at the Centre for Mathematical Sciences of the University of Cambridge. It is a centre of academic excellence with interests in mathematical and computational finance (including derivatives, risk management, trading systems, real options, foreign exchange, stock and commodity markets, fund management and hedge funds). In 2008 it amalgamated with the Centre for Research in Quantitative Finance (CRQF) and moved from the Judge Business School to the Centre for Mathematical Sciences.

Research

The Centre's research is primarily in the formulation, analysis and estimation of advanced models of financial markets, and the interests of its members include econometrics, option pricing, computational finance, market microstructure modelling, information effects and other forms of interaction, and dynamic asset liability management modelling for pension, insurance and endowment funds and individual households.

Principals

The Centre is currently directed by Professor Chris Rogers and was founded by Professor Michael Dempster and Dr Elena Medova.

History

As well as receiving research grants from the University, the UK government and research councils and the EU, the Centre has had numerous research students sponsored by leading financial institutions who undertook joint projects with the industry. The Centre's PhD and postdoctoral graduates have all been placed in leading universities and firms including Bank of America, Barclays, BNP Paribas, CIBC, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, JP Morgan Chase, Lehman Brothers, Morgan Stanley, Nomura, State Street and UBS. It has taken part in several international consortia including a current collaboration with Fraunhofer ITWM in Kaiserslautern, Germany. The Centre has also played an instrumental role in the cross-faculty development of financial research at Cambridge, including the launch of the (first) inter-departmental MPhil in Finance, the Cambridge Endowment for Research in Finance and Cambridge Finance itself.