I am interested in probability, statistics and their application in finance and economics.

I mostly work on the following topics:

• Options pricing with stochastic (rough) and local volatility models: pricing and implied volatility asymptotics, behaviour of the implied skew, scaling properties

• Stochastic optimal control problems in financial and energy markets, using numerical stochastic analysis and machine learning techniques

• Threshold diffusion processes and regime-switching models: estimation, financial applications

• Hypoelliptic diffusion processes: density and tube estimates, asymptotics, Malliavin calculus, Hörmander conditions, application to computational methods and pricing