Research Skills for Financial Mathematics (RSFM), 2025-26

Useful to Know

The course lecturer and organiser is David Siska, School of Mathematics, Room 4611.

This is Semester 2 course. The course timetable is here: timetable. 

The course details are here: course details.

The course Learn page is here: course Learn page (you may need to be already logged-in to learn for this to work).

Assessment

The course is 100% assesed through coursework.

You will work in a group of 3 students. You will be expected to produce a short report, a presentation and answer questions about your report and presentation. You will get one mark for this overall.

The report submission deadline will be 10am Monday Week 10, Semester 2.

The presentations will take place Week 10 and Monday and Tuesday of Week 11.

Topic in 2025/26: Reinforcement Learning Applications in Fin. Maths.

This year we'll focus on Reinforcement Learning (RL) applications in Financial Mathematics.

Some Useful Links

• Bai Y. et al. - A Review of Reinforcement Learning in Financial Applications.
• Hambly B. et al. - Recent advances in reinforcement learning in finance.
• David Silver's RL course from 2015, includes link to YouTube lecture recordings.
• Banff Workshop: Advances in Stochastic Control and Reinforcement Learning 2025 - Recorded talks..
• Isaac Newton Institute Programme: Bridging Stochastic Control And Reinforcement Learning: Theories and Applications - Recorded talks.

Tentative Plan for 2024-25

• Week 1: Introduction to course. Fin. Maths research in industry. Academic Fin. Maths. research. Models and data. Peer reviewed journals.
• Week 2, Topic lecture 1: RL as Markov Decision Problem. DPP. Policy and value iteration. Curse of dimensionality.
• Week 3, Topic lecture 2: Q-learning vs. PG methods.
• Week 4, Topic lecture 3. Exploration, exploitation and regret.
• Week 5: External research talk: Yanzhao Yang (Oxford).
• Flexible Learning Week: No course-specific activities.
• Week 6: External research talks: Galen Cao (Edinburgh) and Konark Jain (UCL).
• Week 7: Group work on project.
• Week 8: Group work on project.
• Week 9: Group work on project.
• Week 10: Group report due at 10am on Monday. Group presentations.
• Week 11: Monday and Tuesday group resentations.

That's all this page has to say as of 18th December 2025.