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Currently I am Lecturer at King's College London in the Financial Mathematics group of the Department of Mathematics (Web page at King's College), a Visiting Researcher at the Alan Turing Institute (Web page at the Turing Institute) and Honorary Lecturer in the Department of Mathematics at Imperial College London (Web page at Imperial College). My research interests are in the area of Stochastic Analysis and Mathematical Finance. They include

  • Numerical methods as well as machine learning techniques for option pricing, forcasting and simulation.

  • Smile asymptotics for local- and stochastic volatility models (rough volatility models and SABR-type models in particular).

  • Laplace methods on Wiener space and heat kernel expansions.

News and Outreach:

Recent Preprints:

Rough volatility's steampunk vision of future finance

Contribution to the FaIR Advances Report 2021, August, 2020

On maternity leave: June-October 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.

See also: Publications

Deep Hedging under Rough Volatility, with J. Teichmann and Zan Zuric, February 2021.

Generating financial markets with signatures, with H. Buehler, T. Lyons, I Perez Arribas and B. Wood, July 2020.

A data-driven market simulator for small data environments, with H. Buehler, T. Lyons, I Perez Arribas and B. Wood, June 2020.

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.

Data Anonymisation, Outlier Detection and Fighting Over tting with Restricted Boltzmann Machines with A. Kondratyev and C. Schwarz, January 2020.

On Deep Calibration of (Rough) Stochastic Volatility Models with C. Bayer, A. Muguruza, B. Stemper and M. Tomas, August 2019.

Short CV:

Between 03/2016 and 09/2017 I was PI of the research project SNSF project 165248. The research focussed on model risk and implied volatility surface dynamics with a particular emphasis on `Rough Volatility Models'. The research was funded by the Swiss National Science Foundation and was carried out at Imperial College London in collaboration with TU Berlin, and the Weierstrass Institute for Applied Analysis and Stochastics.

Professional Experience

  • 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)





A new generation of stochastic volatility models (published in KNect365 Finance) on a related presentation at Global Derivatives in Barcelona, May 2017. The corresponding Linked in article can be found here.

Events and activities in the Rough Volatility Network can be found here.


Recent Activities:

We are honoured to announce the series

4) Workshops on Market Generators: Generative Models for Financial Markets and Applications

3) Breakfast briefings in Machine Learning in Finance at The Alan Turing Institute

2) Practitioners' Lectures: Hot topics from the industry

1) Perspectives from Academia and Industry:

Synergies in Financial Research

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A selection of thesis topics, a list of completed and ongoing theses, and most my most recent teaching activities (2017-2018) can be found here.


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