Overview

The Financial Mathematics Computation Cluster (FMC2) is a collaboration between Industry, University College Dublin, Dublin City University, and NUI Maynooth.

The cluster brings together complementary expertise in financial mathematics, financial economics and computer science to create a multi-disciplinary research programme in asset and risk management, areas that are of critical importance to the present and future development of the international financial services sector in Ireland.

FMC2 is a Science Foundation Ireland funded Strategic Research Cluster (SRC). SRCs help link create partnerships across academia and industry to address crucial research questions, to foster the development of new and existing Irish-based companies, and to grow partnerships with industry that could make an important contribution to Ireland and its economy.

The current research team encompassing six Principal Investigators, five Postdoctoral Researchers, one Research Fellow, one Research Assistant, 11 PhDs and 28 Co-Collaborators, all supported by a Cluster Manager, provide expertise and training with both scientific and economic impact. An overview of the cluster is given in Figure 1, which details the research areas and themes of the cluster and how the constituents of the cluster interact.

Figure 1 – An overview of FMC2

fmc research theme1

Aims and Objectives

The primary aims of the FMC cluster are to;

  • Develop an outstanding research faculty.
  • Develop a deep knowledge of global trends in the financial services industry.
  • Have a comprehensive understanding of the factors that drive the development of the financial services industry worldwide and how these factors are likely to evolve in future years.
  • Create a set of programmes that will provide state-of-the-art knowledge of the core disciplines that underpin the financial services industry.
  • Create a research agenda that serves to advance the frontiers of knowledge in the disciplines which drive superior performance by financial services firms and that apply the strong intellectual capital of the FMC cluster to improve the operational performance by these firms.

There are two, complementary, strands to the research activities of the cluster.

The first concentrates on how we should construct and manage portfolios of assets and covers such important issues as optimal asset allocation, risk management of the resulting investment portfolios, performance measurement of fund managers, algorithmic trading and efficient execution dealing. The cluster will also develop new software tools for these tasks.

The second stream of research focuses on increasing our understanding of risk in financial and other investment markets (including property) and the development of better metrics and software tools to manage this risk. This stream will also examine pension risk in order to develop better methods to manage long term pension investment risk.

fmc_group

Industry and academic partners of FMC² at the launch of the cluster by the Tanaiste Mary Coughlan


Press release 2012

The Financial Mathematics and Computation Cluster (FMC2) is pleased to announce that Science Foundation Ireland (SFI) Review on 3 May 2012, funding has been approved for the period September 2012 through to February 2015. Funding will primarily support the training of PhD and postdoctoral researchers to underpin education in the financial services sector. The cluster has secured funding of €4.2m from both industry and SFI.

The review panel included Professor Juergen Branke (Warwick), Professor Andrew Cairns (Heriot Watt) and Professor Lane Hughston (King’s College London), and was chaired by Professor Stanley Pliska (Stanford). This is a significant outcome for the future development of the FMC2 team.

FMC2, founded in 2009, is an SFI funded Strategic Research Cluster and a collaboration between colleagues at UCD, DCU and NUIM. Principal Investigators include Tony Brabazon (UCD School of Business and former Director), Gregory Connor (NUIM Department of Economics, Finance and Accounting), John Cotter (UCD School of Business and new Director of FMC2), David Edelman (UCD School of Business), Paulo Guasoni (DCU School of Mathematical and Actuarial Sciences) and Michael O’Neill (UCD School of Computer Science). This success is a tribute to the excellent research endeavours of the FMC2 team as a whole. The cluster also involves contributions from researchers in a number of international and domestic institutions including amongst others, Columbia Business School, UCLA and the LSE.

FMC2 aims to continue to develop its cutting-edge research and research capability in financial mathematics, financial computation and financial economics both nationally and at an international level. Since 2009, it has generated a critical mass of doctoral and post-doctoral positions and a considerable range of research outputs including publications, presentations and outreach activities. The review group highlighted the potential economic impact of the cluster and FMC2 is determined to achieve this potential by contributing to Ireland’s economic and social recovery in a meaningful way.

SFI press release 2009

The Tanaiste Mary Coughlan, Minister for Enterprise Trade and Employment, announced the establishment of FMC2 a new Science Foundation Ireland Strategic Research Cluster (SRC) on 14 October 2009.

Led by Professor Anthony Brabazon, FMC2 is a partnership between University College Dublin, Dublin City University and NUI – Maynooth.