Dr Alok Gupta

I worked in the Mathematical and Computational Finance Group which is part of the Mathematical Institute at the University of Oxford. I completed my BA degree in Mathematics at the University of Cambridge and my MSc in Mathematics & Finance at Imperial College, London. I recently completed my PhD research in Mathematical Finance. The PhD was funded by a CASE Award made jointly between the UK Engineering and Physical Sciences Research Council and Nomura Bank. My PhD supervisor was Dr Christoph Reisinger and I was a Senior Scholar at Hertford College.

I completed a 6 month Post-Doctorate Scholarship as part of the PhD-Plus scheme piloted by the UK Engineering and Physical Sciences Research Council (EPSRC). I then held a Nomura Postdoctorate at the Mathematical Instutute at the University of Oxford in conjuction with a Junior Research Fellowship at Wadham College. I am now an Academic Visitor in Mathematical Finance at Oxford University.

In my research I consider a Bayesian approach to calibrating non-parametric financial models. This enables computation of a distribution of prices for financial derivatives and hence some measure of the model uncertainty in the prices and risk. In addition I have developed analytic consistency properties for Bayesian estimators and designed optimal Bayesian hedging strategies.

Further details regarding my research interests and other academic matters can be found at my homepage.