Professional Activities
Book Reviews for Quantitative Finance
Book reviews (co-)authored:
Synthetic Data for Deep Learning Quantitative Finance 22 (3), 423-425
Mathematical Modeling and Computation in Finance with A Gnoatto, Quantitative Finance 22 (11), 1971-1972
Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading Quantitative Finance 21 (9), 1435-1436
Mathematics of the Bond Market: A Lévy Processes Approach, with Z Grbac, Quantitative Finance 21 (8), 1263-1265
Book Review Editorship (Taylor and Francis)
Refereeing Activities
Applied Mathematical Finance
Decisions in Economics and Finance
ESAIM: Control, Optimisation and Calculus of Variations
Finance and Stochastics
IISE Transactions
Journal of Mathematical Analysis and Applications
Mathematical Finance
Quantitative Finance
Stochastic Processes and their Applications
SIAM Journal on Financial Mathematics
CRC Press/Taylor & Francis Group
Springer
Professional Experience
JP Morgan Chase (London, Apr-Sept 2018)
Zeliade Systems (Paris, Sept 2017)
AXA (Cologne, Nov 2010- Feb 2011)
LC International LTD (Hong Kong, May-Aug 2008)
Involvement in Organisation of Conferences and Workshops
The International Workshop on Applied Probability (IWAP 2018) is a four-day workshop to be held between the 18th and 21st June, 2018 in Budapest (Hungary). IWAP is a biennial series of conferences launched in 2002 with the aim of fostering the exchange of ideas between different areas of applied probability. The 2018 Conference in Budapest will provide opportunities for presentations on a wide range of theoretical and applied topics, with a significant representation of topics devoted to Mathematica Finance in invited talks and contributed sessions. Further to this there will be several poster sessions for young researchers. Presenters will be invited to submit for journal publication in a special issue of Methodology and Computing in Applied Probability. For details, please visit the conference website 9th International Workshop on Applied Probability. For further queries please contact b.horvath@imperial.ac.uk.
The SIAM MMF 2017, SIAM - LMS Conference on Mathematical Modeling in Finance takes place at Imperial College London, 31 Aug- 2 Sept 2017. As a satellite meeting of the workshop we host the mini-symposium New challenges in rough volatility modelling on 31 August, 2017. Details, schedules and further information can be found here.
Rough Volatility Meeting, Imperial College London, 7-8 October 2016 (co-organised together with Peter Friz, Jim Gatheral, Antoine Jacquier and Mathieu Rosenbaum) was one of the first meetings, which was exclusively focussed on gathering the latest developments in Rough Volatility research.
