Teaching
Current teaching
Lecture courses
I currently teach the following course:
Probability and Statistics (for 1st year undergraduate students in mathematics) (Autumn)
I also teach part of our summer school module "Applied Statistics and Machine Learning".
I previously also taught:
Applied Probability (for 3rd/4th year undergraduate students and MSc students in mathematics) (Autumn)
M5MS01 Probability for Statistics (MSc in Statistics) (Autumn)
M5MS11 Statistics for Extreme Events (MSc in Statistics) (Spring)
M5MS12 Financial Econometrics (MSc in Statistics) (Spring)
Teaching material and lecture notes for my lectures are available here.
Project supervision
2nd year undergraduate projects
3rd year (M3R) projects
4th year (MSci) projects
MSc theses in the MSc in Statistics
PhD supervision
List of M3R, MSci/M4R, MSc and MRes theses supervised at Imperial
2022-2023
Financial Volatility Forecasting in Exchange Rate Market [MSc]
Modeling and Forecasting Time Series of Network Nodes with Seasonality and Heteroskedasticity [MSc]
Roughness Estimation of Stochastic Volatility: A Generalized Method of Moments Perspective [MSc]
Forecasting Energy Price and Demand: The Power of Heterogeneous Autoregressive Models [MSc]
2020-2021
Evaluating rough volatility models (with InferStat) [MSc]
Using AutoML to Evaluate Financial Time Series Generating Models (with InferStat) [MSc]
Stochastic Volatility of Wind Energy Production in the Nordic Market [MSc]
Tail Risk Management: An Extreme Value Theory Framework with High-Frequency Data [MSci]
Stock price forecasting by combining news effect and time series analysis (with 3C Capital) [MSci]
2019-2021
Realised extremes: Estimating tail risk in financial assets using realised volatility measures [MSc]
Predicting intraday residual demand in the UK [MSc]
Estimating and forecasting the quadratic (co)variation in the foreign exchange market [MSc]
Probabilistic forecasting for residual demand [MSci]
Forecasting volatility of wind and solar power production [MSci]
2018-2019
Extremes in renewable energy systems [MRes]
2017-2018
Modelling wind speed in North Texas (with Edison Energy) [MSci]
Multivariate trawl-latent extreme value modelling using distributional and L´evy vine copulas [MRes]
2016-2017
Modelling high frequency financial data [MSc]
Modelling storm data (with Shell) [MSc]
Time series analysis of wind speed and other exogeneous variables in the north of Texas (with Edison Energy) [MSc]
Analysis of time series modelling for German wind power production and its effect on electricity spot prices [M3R]
2014-2015
Wind energy production: The impact on electricity prices [MSci]
2013-2014
Calculating household electricity demand from limited data (with James Keirstead, Department of Civil and Environmental Engineering, Imperial) [MSc]
Analysing the impact of wind energy production on electricity prices in the European Energy Exchange [MSc]
Option pricing in a stochastic volatility model with jumps [MSci]
2012-2013
Forecasting stochastic volatility [MSci]
Financial time series [M3R]
Former teaching
Aarhus University, Denmark (2007-2011):
Lecture courses:
Financial Market Volatility (MSc level)
Multivariate Time Series Analysis (MSc level)
Project supervision:
2 BSc theses
ca. 25 MSc projects
Successful completion of the Training Programme in University Teaching for Assistant Professors at Aarhus University
University of Oxford, UK (2004-2007):
Teaching assistant and class tutor:
Undergraduate level (Department of Statistics):
Actuarial Science I
Actuarial Science II
Applied Probability
Lévy processes and Finance
Linear Programming
Graduate level (Said Business School, MFE Programme):
Financial Econometrics I
Financial Econometrics II
University of Ulm, Germany (1999-2004):
Teaching assistant and class tutor:
Undergraduate level (Faculty of Mathematics and Economics):
Linear Algebra
Analysis I
Analysis II