Alok Gupta

alokgupta@cantab.net

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I am currently an External Lecturer for the Part-time MSc in Mathematical Finance and was previously an Academic Visitor of the Mathematical and Computational Finance Group (MCFG) at the University of Oxford.

Prior to this I held a Junior Research Fellowship at Wadham College linked with the Nomura Postdoctorate in the Nomura Centre for Mathematical Finance (NCMF) and was an Associate Member of the Oxford-Man Institute. I also completed a 6 month Post-Doctorate Scholarship as part of the PhD-Plus scheme piloted by the UK Engineering and Physical Sciences Research Council (EPSRC).

In 2010 I completed a DPhil in Mathematical Finance at Oxford University. The research was funded by a CASE Award made jointly between the EPSRC and Nomura Bank. I was supervised throughout by Dr Christoph Reisinger and was a Senior Scholar at Hertford College. My DPhil was examined by Prof Sam Howison and Prof Nick Bingham.

My research focused on a Bayesian approach to calibrating financial models; in particular I looked at recovering the local volatility surface. I worked in a general non-parametric framework and used Bayesian priors for the surface in order to regularise and smooth the solution. This lead to a distribution of surfaces and thus gave a distribution of prices/hedges for non-vanilla options, and hence also some measure of the uncertainty in the prices and risk. I proved some general consistency properties for the Bayesian estimators and derived new model uncertainty measures. In addition I was able to utilise the full information of the posterior distribution of calibrated parameters to construct optimal Bayesian hedging strategies.


Papers:
Presentations:
Posters:
Teaching (Oxford):
  • 2012-2014, External Lecturer, MSc Market Microstructure
  • 2011, Lecturer, MSc Introduction To Statistics
  • 2007-2009, MSc Numerical Methods 2: Monte Carlo Methods
  • 2007-2009, MSc Numerical Methods 1: Finite Difference Methods
  • 2007-2009, Diploma Preliminary Methods In Mathematical Finance
  • 2007, BA Mathematical Models Of Financial Derivatives
Refereeing:
  • 2012, Applied Mathematical Finance (AMF)
Conferences & Workshops Attended:
  • 2010, Imperial College (UK): Stochastics, Control and Finance Workshop
  • 2008, Johannes Kepler University (Austria): RICAM Special Semester on Stochastics with Emphasis on Finance
  • 2008, Durham University (UK): Communication Skills + More GRAD School
  • 2007, University of Rouen (France): ECMI Modelling & Simulation Week
  • 2007, Cambridge University (UK): Construction and Properties of Bayesian Nonparametric Regression Models
Personal details:
  • Education:
    • 2006-2010, Oxford University: DPhil Mathematical Finance
    • 2005-2006, Imperial College, London: MSc Mathematics & Finance
    • 2002-2005, Cambridge University: BA Mathematics
  • Work:
    • 2014, Airbnb (San Francisco): Data Science Manager
    • 2012, Deutsche Bank (New York): FX High Frequency Algo Trader
    • 2011, BNP Paribas: FX Algo Quant
    • 2011, FTSE: Senior Research Quant
    • 2010, Oxford University: Junior Research Fellow
    • 2008, Nomura: Quantitative Analysis Internship
    • 2006, BNP Paribas: Quantitative Analysis Internship
    • 2005, Audit Commission: Health Auditing Internship
    • 2004, Deloitte: Actuarial & Insurance Internship
    • 2000-2003, HSBC: Summer Work Placements

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Full CV: Available on request

This page was last modified by Alok Gupta
Thursday, 2-Nov-2012 22:39:19 BST
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