Graduate Students

PhD Students Past and Present

Wen Su, PhD Thesis, ongoing (2023-) Sponsored by JP Morgan Chase
Internships: JP Morgan Chase

Jonathan Plenk, PhD Thesis, ongoing (2023-)
Internships: Citadel

Adam Jones, PhD Thesis, ongoing (2022-) Sponsored by JP Morgan Chase
Internships: JP Morgan Chase

Yannick Limmer, PhD Thesis, Oxford University (2022-2025)
Internships: Bank of NY Mellon, DWR
First Job: DWR

Andrew Alden, PhD Thesis, jointly with Prof. Carmine Ventre, King's College London (2021-) & Oxford Man Institute (2022-2025)
Internships: Man Group
First Job: Man Group

Owen Futter, PhD Thesis, Sponsored by Atlantic House Group
King's College London (2021) and jointly with Prof. Johannes Muhle-Karbe (2022-2025)
Internships: Atlantic House Group, Jump Trading
First Job: Jump Trading

Zacharia Issa , PhD Thesis, King's College London (2020-2023)
Internships: Quantitative Analyst at Kaiju, Bank of New York Mellon
First Job: Bank of New York Mellon, Citadel

Aitor Muguruza Gonzalez ‘Developments on Rough Volatility’, PhD Thesis , jointly with Dr A. Jacquier,
Imperial College London (2016-2020)
First Job: Quantitative Analyst at Natixis
Now: Global Head of Quantitative Modelling at Kaiju.

Member of PhD Examination Committees for:

Felix PRENZEL: Statistcal Modelling and Simulation of Limit Order Markets.
Doctoral thesis at Oxford University partially completed at JP Morgan Chase, 2023.

Faycal DRISSI: Models of Market Liquidity, Applications to Traditional Markets and Automated Market Makers.
These de Doctorat, Universite' Paris 1 Pantheon-Sorbonne, 2023.

Bouazza SAADEDDINE: Learning From Simulated Data in Finance: XVAs, Risk Measures and Calibration.
Thèse de doctorat de l'université Paris-Saclay, 2022.

Michael ALLOUCHE: Contributions to Generative Modeling and Dictionary Learning: Theory and Application.
These de doctorat de l’Institut Polytechnique de Paris, preparee a l’Ecole Polytechnique 2022.

Sheng WANG: Neural-SDE market models
Doctoral thesis at Oxford University, 2022.

Mehdi TOMAS:
These de doctorat de l’Institut Polytechnique de Paris, preparee a l’Ecole Polytechnique 2022.

MSc Supervision:

Linda Mazinova: MSc Thesis 2023, Oxford University.

Jonathan Plenk: MSc Thesis 2023, Technical University of Munich.
First job: (before graduation) Visiting Researcher at Oxford Man Institute (OMI) and at the Oxford Mathematical Institute

Felix Fuchs: MSc Thesis 2023, Technical University of Munich.
First job: (before graduation) Assenagon, First job after graduation: Munich Re.

Anton Hancaryk: Analysing the relation of expected signatures to laws of stochastic processes, (MSc Thesis), 2022, Technical University of Munich.

Cedric Huberty: Deep Hedging and Market Generation (MSc Thesis), 2022, Technical University of Munich.

Josip Bencic: The Signature Transform and Applications (MSc Thesis), 2022 , Technical University of Munich.
First job after graduation: Quantitative Analyst at Citadel, London.

Zan Zuric ‘Aspects of Portfolio optimisation in Rough Volatility models ’, MSc Thesis, ongoing, Jointly with Josef Teichmann, 2019, ETH Zürich student exchange programme.
First job after graduation: PhD Studies at Imperial College London and ATI with Antoine Jacquier and Lukasz Szpruch.

Mehdi Tomas, ‘Pricing and Calibration of Stochastic Models via Neural Networks’, MSc Thesis, 2018, Imperial College London (placement at FX options at HSBC during thesis).
First job after graduation: PhD Studies at Ecole Polytechnnique Paris with Mathieu Rosenbaum and Michael Benzaquen.

Laurids Gert Nielsen, ‘Machine Learning for Foreign Exchange Rate Forecasting’, MSc Thesis, 2018, Imperial College London (jointly with Thorsten Schoeneborn at Deutsche Bank)
After graduation: Quantitative Analyst at Deutsche Bank.

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).

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.