Research

Research interests:

I do research in the area of financial derivatives, option pricing and quantitative finance. My recent research dives into the following directions: 

(1) option pricing

(2) applications of stochastic processes in finance (e.g. Hawkes process), 

(3) volatility derivatives and volatility linked exchange traded products, 

(4) high-frequency data, and 

(5) financial modeling of volatility and jumps

I am also interested in other areas of finance where my expertise and skills can have a positive impact on. 

I am happy to discuss potential research collaborations with all researchers/research students. Feel free to drop me an email if you are interested in collaborating with me on implementable research ideas relevant to my research interests or related to my previous research.