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Oxford appoints new Director of Oxford-Man Institute of Quantitative Finance

5 July 2011

The University of Oxford has appointed Terry Lyons, Wallis Professor of Mathematics and a founding member of the Oxford-Man Institute of Quantitative Finance (OMI), to become its new Director. The OMI is home to one of the world’s leading academic teams conducting research into quantitative finance. It brings together a wide range of disciplinary strengths, deepening our understanding of markets and financial systems, novel methods for assessing and limiting risk, and expertise on the algorithms and technology required to do such analysis. OMI researchers have carried out work on market volatility, hedge fund liquidity, credit default and systemic risk, and are pioneers in computational techniques and new mathematics to optimise portfolios.

The OMI is a truly interdisciplinary institute, drawing on researchers from social sciences, mathematics, statistics and the computational sciences to create an improved understanding of financial risk and financial markets.

This is a unique collaboration between the University and Man Group plc (‘Man’), a world-leading alternative investment management business, in which researchers from the University and Man are co-located in the same purpose-designed building. The University and Man have their own separate research laboratories and share communal spaces, in which researchers engaged in academic thinking can mix with practitioners working at the forefront in commercial application. This environment fosters the diversity of approaches and innovative thinking required to address the contemporary issues in quantitative finance.

The collaboration has flourished since its launch in 2007 with many major meetings and regular visits from world-leading experts. The best graduate students from around the world are able to pursue their studies in the institute.

Professor Lyons is a Fellow of the Royal Society and one of the UK’s leading mathematicians, having made a number of contributions to stochastic analysis, the part of mathematics that develops tools that can be used to understand and model interactions between systems that have a high degree of oscillatory behaviour.

He said: ‘The strength and breadth of excellence in the Oxford-Man Institute of Quantitative Finance and the co-location with such a cutting-edge industrial partner and core funder provide unique and exciting opportunities. At OMI we see some of the best people in the world contributing their research to understanding financial risk.‘

The Oxford-Man Institute of Quantitative Finance is strongly interdisciplinary and underpinned by the pooled expertise and excellence drawn from disciplines across the University. The OMI is an endeavour bringing together leading mathematicians, computer scientists, statisticians, lawyers, economists and econometricians as well as senior figures from government, together with a large group of early stage researchers. Under the leadership of my predecessor, Neil Shephard, we have built up tremendous academic excellence and I am excited to move this forward and develop the focus of our wider contributions.’

Peter Clarke, chief executive of Man, said: ‘We welcome Professor Lyons to the Institute and fully support his vision to bring together the best minds from a range of fields at one of the world’s leading research institutions in quantitative finance. Our relationship with Oxford has helped us to develop several key innovations including improvements in volatility modelling and electronic trading execution and I look forward to this relationship enjoying further success under Professor Lyons’ leadership.

’The Oxford-Man Institute receives substantial core funding from Man Group, plc, which has also permanently endowed the Man Professor of Quantitative Finance.

Professor Lyons will be the second director of OMI, following the founding director Professor Neil Shephard FBA.

For a photograph of Professor Terry Lyons or to arrange an interview, please contact the University of Oxford Press Office on +44 (0)1865 280534 or email press.office@admin.ox.ac.uk

Notes for editors

  • The Oxford-Man Institute of Quantitative Finance is an interdisciplinary initiative across the University, involving researchers from the Departments of Economics, Engineering Science, and Statistics, as well as the Mathematical Institute, the Computing Laboratory, the Law Faculty and the Said Business School. See: http://www.oxford-man.ox.ac.uk
  • Professor Terry Lyons, the Wallis Professor of Mathematics at the University of Oxford, has considerable experience in managing co-operative academic projects on international and national scales. His research on ‘rough paths’, in particular, has founded a new field, stimulating an enormous amount of work, allowing breakthroughs in many areas such as numerical analysis. He has a deep understanding of the role of risk in financial markets where he is known for his work on managing uncertainty in volatility, and for developing cubature methods as new tools allowing more efficient numerical modelling. Outside this work, he has a strong track record in promoting better opportunities for new researchers and those in work to progress their scientific understanding and develop wider opportunities. He is the Director of the Wales Institute of Mathematical and Computational Sciences. He came to Oxford in 2000 having previously been professor of mathematics at Imperial College London, and before that he was the Colin MacLaurin Professor at the University of Edinburgh. See: http://sag.maths.ox.ac.uk/tlyons/
    About Man
    Man is a world-leading alternative investment management business. It has expertise in a wide range of liquid investment styles including managed futures, equity, credit and convertibles, emerging markets, global macro and multi-manager, combined with powerful product structuring, distribution and client service capabilities. At 31 March 2011, Man managed $69.1 billion.The original business was founded in 1783. Today, Man Group plc is listed on the London Stock Exchange and is a member of the FTSE 100 Index with a market capitalisation of approximately £4.5 billion.
    Man is a member of the Dow Jones Sustainability World Index and the FTSE4Good Index. Man also supports many awards, charities and initiatives around the world, including sponsorship of the Man Booker literary prizes. Further information can be found at http://www.mangroupplc.com