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CAFE: Centre for Advanced Financial Engineering


The centre aims to advance financial engineering by identifying and addressing challenges with significant impact on theory and practice, with potential to re-shape the financial industry.

Research themes include:

Acceleration of financial modelling, agent-based market models, algorithmic trading systems, energy-efficient financial data centres and clouds, financial econometrics, portfolio optimisation, risk management, robust optimisation, security-aware financial systems and services, simulation-based pricing, statistical machine learning, stochastic programming.

Some current and recent projects include: