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Mathematical Institute Oxford University, Oxford Man Institute,
The Alan Turing Institute, DataSig Group.
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Contact
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Address
Mathematical Institute, University of Oxford
Andrew Wiles Building, Radcliffe Observatory Quarter
Woodstock Road, OX2 6GG Oxford
Affiliations:
Mathematical Institute Oxford University,
Oxford Man Institute,
The Alan Turing Institute, Finance and Economics, Machine Learning in Finance Group
DataSig Research Group
Member of Society for Industrial and Applied Mathematics.
Alumna of Deutscher Akademischer Austausch Dienst, Studienstiftung des Deutschen Volkes, HANIEL Stiftung.
News and Outreach:
News and Outreach:
I am pleased to announce that I have been awarded the LMS Emmy Noether Fellowship in Mathematics (2024-25)
It was a pleasure to contribute to Nature magazine on the occasion of the 50th anniversary of the Black & Scholes Formula. A free access link to the short article can be found here: 50 Years of Black&Scholes: Golden Jubilee for an Iconic Formula, Nature, May-June 2023
Book review: Mathematical Modeling and Computation in Finance by Cornelis W. Oosterlee and Lech A. Grzelak.
with A. Gnoatto, Quantitative Finance ,Volume 22, 2022 - Issue 11 2022.Contribution to the FaIR Advances Report 2021, August, 2020
Risk.net Podcast: Blanka Horvath and Gordon Lee on market generator models, March 2020
Honoured to receive the Quant Rising Star Award of Risk magazine at the Risk Awards, November 2019.
Shortlisted for the Research Paper of the Year at the RiskMinds Awards Decemper 2019.
K-Net Article: ``Building a Deep Neural Network", May 2019.
An interview for Fintech Capital Markets: Interview: using deep neural networks for derivatives pricing problems written by Anna Reitmann, April 2019.
Talks:
Talks:
Upcoming:
Directions in Rough Analysis (Invited talk), Mathematisches Forschungsinstitut, Oberwolfach, 3-8/11/2024
Stochastics in Mathematical Finance and Physics Conference, (Plenary Talk), Ham- mamet, 21-25/10/2024
20th Quantitative Finance Conference, (Invited Talk), Cannes, France 25-27/09/2024
Recent:
MathFinance Conference, (Invited Talk), Burg Reichenstein, 19-20/09/2024
JP Morgan, Quantitative Research Seminar, London, 12/06/2024
AI and Advanced Quant Analytics Conference (Invited talk), WBS, Live & Online from Schonfeld, London (Invited Talk), 23/5/2024
Canadian Imperial Bank of Commerce, Internal Research Seminar (Invited talk), Online, 22/5/2024
Women in Quantitative Finance 2024 (Invited talk), WBS, London, 2024
2024 Conference on Modern Topics in Stochastic Analysis and Applications, in Honour of Terry Lyons’ 70th Birthday (Invited talk), London, 22/4/2024
5th Spring Colloquium on Probability and Finance (Invited talk), Padova, 19/4/2024
International Conference on Computational Finance ICCF24 organised in CWI, Amsterdam (Plenary talk), Amsterdam, 2-5/4/2024
Oxford University - ETH Zu ̈rich Annual Workshop, Zurich, 2/4/2024
2023
Mini course at OxML Machine Learning Summer School by AI for Global goals 8-12 July 2023, Oxford.
SIAM Conference on Financial Mathematics and Engineering (FM23) 6 - 9th June 2023, Philadelphia
Workshop on Model-free Mathematical Finance 25th May 2023, Imperial College London
Thalesians Seminar Hosted by G-Research 24th May 2023, G-Research, Whittington House, London
The 2nd Quantitative Finance Conference Spring Edition 17-19th May 2023, Canary Wharf, London
Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models
with R. Saqur, A. Kratsios, Florian Krach, Y. Limmer, J. Tian, J. Willes, F. Rudzicz, May 2024
Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models
with R. Saqur, A. Kratsios, Florian Krach, Y. Limmer, J. Tian, J. Willes, F. Rudzicz, May 2024Reality Only Happens Once: Single-Path Generalization Bounds for Transformers with Y. Limmer, A. Kratsios, X. Yang, R. Saqur, May 2024
Deep Kalman Filters Can Filter with A. Kratsios, Y. Limmer, and X. Yang, October 2023.
Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals with O. Futter, and M. Wiese, August 2023.
A Hybrid Quantum Wasserstein GAN with Applications to Option Pricing with F. D. Fuchs, July 2023.
Non-parametric Online Market Regime Detection and Regime Clustering for Multidimensional and Path-Dependent Data Structures with Z. Issa, June 2023.
Robust Hedging GANs with Y. Limmer, June 2023.
Harnessing Quantitative Finance by Data-Centric Methods with A. Muguruza Gonzalez, and M. S. Pakkanen, in Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices, Edited: A. Capponi, C.-A. Lehalle, Cambridge University Press, May 2023.
Non-adversarial training of Neural SDEs with signature kernel scores with Z. Issa, M. Lemercier, C. Salvi, May 2023.
Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach, with M. Lemercier, C. Liu, T. Lyons, C. Salvi, April 2023.
Model-Agnostic Pricing of Exotic Derivatives Using Signatures
with A. Alden, C. Ventre, G. Lee: Proceedings of the Third ACM International Conference on AI in Finance, 96-104, Nov 2022.Higher order kernel mean embeddings to capture filtrations of stochastic processes,
with C. Salvi, M. Lemercier, C. Liu, T. Damoulas, and T. Lyons, Advances in Neural Information Processing Systems 34, 16635-16647, Dec 2021.Clustering Market Regimes Using the Wasserstein Distance, with Z. Issa and A. Muguruza, October 2021.
Hedging under Rough Volatility, with M. Fukasawa and P. Tankov, May 2021: Book chapter in "Rough Volatility", 2023.
Sailing in rough waters: examining volatility of fMRI noise, with J.Leppanen, H. Stone, D. J. Lythgoe and S. Williams.
Journal of Magnetic Resonance Imaging, Volume 78, Pages 69-79, May 2021.Deep Hedging under Rough Volatility, with J. Teichmann and Zan Zuric, February 2021.
A data-driven market simulator for small data environments, with H. Buehler, T. Lyons, I Perez Arribas and B. Wood, June 2020.
For earlier publications, please visit: Publications
A new generation of stochastic volatility models: Article on a related presentation at Global Derivatives in Barcelona, May 2017.
Research activities and articles in Rough Volatility Network: here.
Short CV
Short CV
London Mathematical Society's Emmy Noether Fellow in Mathematics (2024-25)
Associate Professor in Mathematical and Computational Finance, University of Oxford (September 2022)
Maternity Leave September-March 2023
Tenure-track Assistant Professor in Mathematical Finance, Technical University of Munich (April 2021)
Maternity Leave June-October 2020
Lecturer, then Senior Lecturer in Financial Mathematics King's College London (September 2018)
Postdoc funded by the Swiss National Science Foundation, Between 3/2016 and 09/2017 research project SNSF project 165248
PhD in Financial Mathematics at ETH Zürich with Josef Teichmann and Johannes Muhle-Karbe (September 2015)
Diploma in Mathematics (Differential Geometry and Low Dimensional Topology) from the University of Bonn with Ursula Hamenstädt. (February 2011)
MSc in Economics from the University of Hong Kong
(November 2008)Undergraduate studies at the University of Bonn in Mathematics and Economics.
Graduate of Deutsche Schule Budapest.
Professional Experience
Professional Experience
ML Consultant, UBS (2022)
Quantennium LTD (since 2019)
Quantitative Consultant for Merian Global Investors (London, September-June 2019)
Thalesians (London, since January 2019)
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)
Events:
Events:
Frontiers in Quantitative Finance Seminar co-organised with Rama Cont and the Oxford Mathematical and Computational Finance Group and sponsored by CitiGroup and Mosaic SmartData
Machine Learning in Quantitative Finance Conference at the Oxford Man Institute, June 21-22, Worcester College, Oxford.
Workshop Organised: Next Generation Models of Financial Data, at Raitenhaslach, September 2021.
Research Project: SyBenDaFin with the Munich Data Science Institute in collaboration with The Alan Turing Institute
Workshops Organised: on Market Generators: Generative Models for Financial Markets and Applications
Seminar Series: Breakfast briefings in Machine Learning in Finance at The Alan Turing Institute
Practitioners' Lectures: Hot topics from the industry
Workshops Organised: Perspectives from Academia and Industry: Synergies in Financial Research
For full details please visit: Events
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Teaching, Supervision, and Examining:
Teaching, Supervision, and Examining:
A selection of possible thesis topics and ongoing theses completed under my supervision, as well as a list of completed theses: here
My most recent teaching activities (2017-2023) can be found here.
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Current and Recent Collaborators
Current and Recent Collaborators
Hans Buehler, Owen Futter, Zacharia Issa, Antoine Jacquier, Alexei Kondratyev, Maud Lemercier, Chong Liu, Terry Lyons, Aitor Muguruza, Imanol Perez-Arribas, Cris Salvi, Thorsten Schmidt, Christian Schwarz, Mehdi Tomas, Colin Turfus, Ben Wood, Carmine Ventre, Josef Teichmann, Peter Tankov, Yannick Limmer, Andrew Alden, Gordon Lee, Adam Jones, Jonathan Plenk, Zan Zuric
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