• 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. 

• Rough volatility's steampunk vision of future finance 2021

• 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.

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.

50 Years of Black&Scholes: Golden Jubilee for an Iconic Formula Nature magazine, May-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.

ArXiv preprint arXiv:2305.16274, May 2023.

Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach, with M. Lemercier, C. Liu, T. Lyons, C. Salvi arXiv preprint arXiv:2304.01479, 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,
C Salvi, M Lemercier, C Liu, B Horvath, T Damoulas, T Lyons, Advances in Neural Information Processing Systems 34, 16635-16647, Dec 2021.

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.