Teaching
University of Verona
Lecturer
Mathematics - PhD in Economics and Finance (Oct '23)
Constrained Optimization: the Weierstrass Theorem. Constrained optimization with equality constraints, Lagrange theorem. Lagrangian function and optimality conditions. Constrained optimization with inequality constraints, Kuhn-Tucker theorem. Convex problems.
University of Oxford
Class Tutor (third-year undergraduates and Masters students)
Mathematical Models of Financial Derivatives (B8.3) (Jan '23, Jan '22), Financial Derivatives (MSc) (Oct '22)
Arbitrage and the law of one price, Binomial model for European and American options, continuous-time martingales, Itô's formula and SDEs, Black-Scholes analysis, Feynman-Kac and risk neutral pricing, free-boundary problem for American options, simple exotic options (barriers, lookbacks and Asians), implied volatility.
Advanced Numerical Methods (MSc) (Jan '22)
American options (obstacle problems), PDEs for multi-factor models, calibration of volatility models to quoted market prices.
Probability, Measure and Martingales (B8.1) (Oct '21)
Basic measure theory, Radon-Nikodym Theorem, L^p convergence, Uniform Integrability, Conditional Expectation, Filtrations and stopping times, Martingales in discrete-time, Optimal stopping theorem, Maximal inequalities, Upcrossing lemmas.
College Tutorials (Magdalen College)
Introductory Calculus (Prelims) (Oct '22)
General linear homogeneous ODEs, integrating factor, first and second order linear ODEs with constant coefficients, partial derivatives, multivariable chain rule, parametric representation of curves, line integrals, Jacobians, gradient vector, directional derivative, Taylor's Theorem, classification of Critical points, Lagrange multipliers.
Multivariable Calculus (Prelims) (Jan '23)
Volume integrals: Jacobians for cylindrical and spherical polars. Flux integrals including solid angle. Work integrals and conservative fields. Divergence and curl. Divergence theorem, Green's first and second theorems. Stokes's theorem. Gauss' Flux Theorem.
Teaching Assistant
Complex Analysis: Conformal Maps and Geometry (C4.8) (Oct '22)
Advanced Monte Carlo Methods (MSc) (Jan '21)
Numerical Methods (MSc) (Oct '20), Advanced Numerical Methods (MSc) (Jan '21)