RiskLab IISc

We develop computational and mathematical methods at the intersection of quantitative finance, machine learning, and risk management. Our work spans Monte Carlo methods for derivatives pricing and hedging, counterparty credit risk and XVA, portfolio optimisation in high-dimensional settings, and point-process models of high-frequency order flow. A growing thread applies these tools to social-good problems in low- and middle-income countries. The group organises the annual RTQF symposium (Recent Trends in Quantitative Finance) at IISc, bringing together academics and practitioners at the frontier of quantitative methods.