Teaching and Supervision

Thesis Supervision and (Co-)Advising

PhD

Aitor Muguruza Gonzalez ‘Developments on Rough Volatility’ , PhD Thesis, ongoing, Jointly with Dr A. Jacquier, Imperial College London.

MSc

Mehdi Tomas, ‘Pricing and Calibration of Stochastic Models via Neural Networks’, MSc Thesis, 2018, Imperial College London.

Laurids Gert Nielsen, ‘Machine Learning for Foreign Exchange Rate Forecasting’, MSc Thesis, 2018, Imperial College London.

Nelson Okou, ‘Fractional Brownian Motion an Machine Learning for Variance Prediction’, MSc Thesis, 2018, Imperial College London.

Anne-Marie Bausch ‘Optimal Option Pricing for the SABR Model’, MSc Thesis, Submitted March 2018, Jointly with Martin Larsson, ETH Zürich-Imperial College London (student exchange programme).

Cosimo Zangari ‘Modelling the Normal Implied Volatility Smile’, MSc Thesis, 2017, Jointly with Claude Martini at Zeliade Systems, Unviversity of Florence-Zeliade Systems Paris.

Alistair Hall ‘Delta Hedging in the SABR Model’ , MSc Thesis, 2016, Joint supervision with Dr Antoine Jacquier, Imperial College London.[

Manolis Manoli ‘The SABR Model with β = 0 in Low Interest Rate Environments’,Master Thesis, 2013, Joint supervision with Dr Holger Plank (d-fine), and Prof. J. Muhle-Karbe, ETH Zürich.

Nadine Roduit ‘Portfolio Optimization under Stochastic Volatility’, Master Thesis, 2014, Joint supervision with Prof. J. Muhle-Karbe, ETH Zürich.

BSc

Peter Hinz ‘Modelling Volatility with Fractional Brownian Motion and the RFSV Model’ , BSc Thesis, 2015, Joint supervision with Prof. J. Teichmann, ETH Zürich.

Temmy Bounedjar ‘Finite Element Methods for Stochastic Volatility Models’, BSc Thesis, 2014, Joint supervision with Dr O. Reichmann, and Prof. J. Teichmann, ETH Zürich.NadiY

Simon Lanthaler ‘Delta-Hedging in Markets with Jumps’, BSc Thesis, 2011, Joint supervision with Prof. J. Teichmann, ETH Zürich.

Other

Yi Lin ‘The Binomial Model and Option Pricing’, 2016 Undergraduate Research Opportu- nities Programme (UROP) Project, Imperial College London.

Chong Liu ‘A Simple Proof of the Fundamental Theorem of Local Martingales’, Semester Thesis, 2013, Joint supervision with Prof. J. Teichmann, ETH Zürich.

Teaching (2017-2018)

Introduction to Python and R (Minicourse) Autumn Term 2018, Imperial College

An intoduction to R

An introduction to R can be found on the website: CRAN.R-Projet. Should the link not work, the corresponding PDF can be downloaded from the files on the bottom of this website.

A general R documentation can be found here.

An introduction to Python

A comprehensive introduction to Python can be found here. For a Python documentation, click here: Python Documentation. This is always a good reference point in case you need to look up something.

Among the downloadable documents on this page you will find a number of notebooks demonstrating the most basic operations and tools you will need in the coursework. Some sample notebooks of last year's Statistical Methods course are also uploaded. These contain (among other things) practical examples of data handling and regressions discussed in class.