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Associate Professor, University of Oxford
Contact
Contact
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Address
Address
Mathematical Institute, University of Oxford
Andrew Wiles Building, Radcliffe Observatory Quarter
Woodstock Road, OX2 6GG Oxford
Mathematical Institute Oxford University,
Oxford Man Institute,
DataSig Research Group
Member of Society for Industrial and Applied Mathematics.
Alumna of DAAD, Deutscher Akademischer Austausch Dienst, Studienstiftung des Deutschen Volkes, HANIEL Stiftung.
NEW: Signature Methods in Finance, with
C. Bayer, G. Reis and H. Oberhauser (2025).
Open access book, available to dowload here
NEW: Signature Methods in Finance, with
C. Bayer, G. Reis and H. Oberhauser (2025).
Open access book, available to dowload here
SANOS--Smooth strictly Arbitrage-free Non-parametric Option Surfaces with H Buehler, A Kratsios, Y Limmer, R Saqur
Introducing SPEC: A Semi-Parametric Equity-Credit Model for CDS Spread Estimation (Sept 2025) with M Arnsdorf, S Schismenos, W Su
Ambiguity-Averse Deep Hedging with Feature Clustering (August 2025) with A Jones,C Reisinger, B Wood, L Bai, A Akkari
Kernel Learning for Mean-Variance Trading Strategies (July 2025) with Owen Futter, NM Cirone
Generative Models in Finance: Market Generators, a Paradigm Shift in Financial Modeling (June 2025) with J Plenk, M Vuletić, R Saqur
Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling (June 2025) with H Buehler, Y Limmer, T Schmidt
Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models (May 2024) with R. Saqur, A. Kratsios, Florian Krach, Y. Limmer, J. Tian, J. Willes, F. Rudzicz
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
For full details please visit: Past Events
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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)
Tenure-track Assistant Professor in Mathematical Finance, Technical University of Munich (April 2021)
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
Diploma in Mathematics (Differential Geometry and Low Dimensional Topology) from the University of Bonn with Ursula Hamenstädt.
MSc in Economics from the University of Hong Kong
Undergraduate studies at the University of Bonn in Mathematics and Economics.
Graduate of Deutsche Schule Budapest.
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Research activities and articles in Rough Volatility Network: here.
Thesis and Research Supervision:
Thesis and Research Supervision:
Current Research Team
Current Research Team
Research Fellow: Raeid Saqur
PhD Students: Adam C. Jones
Jonathan Plenk
Wen Su
Past Members / PhD Students
Past Members / PhD Students
Yannick Limmer (2021-2025)
Let’s Say We Are Not Sure: Model Uncertainty in Finance from a Machine Learning Perspective
(First job: DWR)Andrew Alden (2021-2025) Path Signature-Based Machine Learning Methods Applied to Quantitative Finance
(First job: Man AHL)Owen Futter (2021-2025 ) Path-Dependent Trading Strategies: Applications of Rough Path Theory & Machine Learning
(First job: Atlantic House, Jump Trading)Zacharia Issa (2020-2024) Pathwise and Non-Parametric Methods Applied to Financial Markets Thesis
(First job: BNYM, Citadel)Aitor Muguruza (2017-2020) Rough Volatility: pushing the boundaries of quantitative modelling past the Markovian era. Thesis
(First job: Natixis, Kaiju Capital Management)
A selection of possible thesis topics and ongoing theses under my supervision (PhD and MSc), as well as a list of completed theses: here
Some of my recent teaching activities can be found here.
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Collaborators
Collaborators
Hans Buehler, Anastasis Kratsios, 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, Masaaki Fukasawa, Milena Vuletic, Yannick Limmer, Andrew Alden, Gordon Lee, Adam Jones, Jonathan Plenk, Zan Zuric
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