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I am a Risk Quantitative Analyst ("quant") at BP. I work on the model validation team based in London, UK.

Previously, I have been lecturer of financial mathematics at King's College London, a postdoctoral researcher at Centre de Mathématiques Appliquées (CMAP) at École Polytechnique in France, in affiliation to Laboratoire de Finance des Marchés de l'Energie (FiME).

I completed my PhD at the Humboldt University in Berlin, with affiliation to the Berlin Mathematical School and Matheon.

My research motivation is the following: 
  • to establish links between stochastic analysis and real-world problems; this includes stochastic optimal control, and pricing and hedging in incomplete financial markets, and the resolution of partial differential equations in fluid dynamics, mathematical chemistry, and statistical mechanics;
  • to undergo a rigorous mathematical treatment of the above named models using probability theory and stochastic analysis;
  • to develop  novel  numerical algorithms rooted in stochastic analysis for these problems;
  • to provide rigorous mathematics for the behaviour of the algorithms, including explicit error estimates and algorithm optimization, and to continuously strive to improve the status quo performance of these algorithms;
  • to develop usable and reliable software which can be employed to solve large scale problems both at academic and industrial levels.

My main research interest are in:

  • stochastic analysis, particularly the theory of backward stochastic differential equations;
  • computational finance and numerical probability;
  • partial differential equations;
  • non-parametric statistics.