## Lecturers

**Dr Siddharth Arora**

**Affiliate Researcher, Mathematical Institute, University of Oxford**

**Interest(s): Time Series Forecasting**

Siddharth is an early career fellow at Somerville College. He previously completed his DPhil (PhD) at University of Oxford. His research interests include time series analysis, probabilistic forecasting, signal processing, machine learning, and synchronization in complex systems.

**Dr Jamil Baz**

**Managing Director, PIMCO**

**Interest(s): Interest Rate Products and Markets**

Jamil Baz is a Managing Director with PIMCO, where he is responsible for client analytics. Prior to this, Jamil was the Senior Managing Director and the Chief Investment Strategist of the Man Group, and then the Managing Director in the Proprietary Trading Group of Goldman Sachs, the Chief Investment Strategist of Deutsche Bank and a Managing Director with Lehman Brothers. Jamil holds degrees from the Ecole des Hautes Etudes Commerciales ("Diplôme"), the London School of Economics (MSc), the Massachusetts Institute of Technology (SM) and Harvard University (AM, PhD). He has taught Financial Economics at Georgetown University and Harvard University.

**Dr Alvaro Cartea**

**Academic Faculty, Mathematical Institute, University of Oxford**

**Interest(s): High Frequency and Algorithmic Trading, Asset Pricing, Energy Markets**

Álvaro Cartea is a Lecturer in Mathematical Finance in the Department of Mathematics, University of Oxford and an academic member of the Oxford-Man Institute. Before coming to Oxford Álvaro was a Reader in Mathematical Finance at University College London, Associate Professor of Finance at Universidad Carlos III, Madrid-Spain, and Lecturer (with tenure) in the School of Economics, Mathematics and Statistics at Birkbeck-University of London. He was previously JP Morgan Lecturer in Financial Mathematics, Exeter College, University of Oxford. Álvaro obtained his Doctorate from the University of Oxford in 2003.

**Professor Sam Cohen**

**Academic Faculty, Mathematical and Computational Finance Group, Mathematical Institute, University of Oxford**

**Interest(s): ****Stochastic analysis**

Sam Cohen is an Associate Professor in the Mathematical Institute at Oxford, and an associate member of the Oxford-Man Institute, a member of the Oxford-Nie Financial Big Data Lab and a College Lecturer at New College. His main research interests are in the areas of stochastic analysis and mathematical finance. In particular, Backward Stochastic Differential Equations (BSDEs), which arise in various areas in stochastic control and mathematical finance. He is interested in problems associated with decision making in the presence of risk and uncertainty. His PhD was at the University of Adelaide.

**Dr John Crosby**

**Managing Director, Grizzly Bear Capital and Professor of Finance at Glasgow University, Adam Smith Business School**

**Interest(s): Jump Diffusion, Equity Exotics**

John gained a first class honours degree in Mathematics at Girton College, Cambridge University before going on to gain an M.Sc. in Electrical Engineering at University College, Oxford University. He is best known for being an fx options trader and for developing options pricing models for a number of leading investment banks. He has published a number of papers in the areas of commodities and option pricing. He is interested in most areas of finance including the Carry Trade, international risk sharing and hedge fund performance. John is a Managing Director at Grizzly Bear Capital and also a visiting Professor of Finance at Glasgow University Adam Smith Business School.

**Dr Alexander Denev**

**Head of Quantitative Research, Markit**

**Interest(s): Bayesian Risk Management, Graphic Modelling**

Alexander Denev is currently Head of Quantitative Research at Markit. Prior to that he was a Senior Team Leader in the Royal Bank of Scotland, where his responsibilities included development of the stress testing methodology, structuring derivatives solutions for big institutional clients and working on tail hedging research. He holds a MSc in Mathematical Finance from University of Oxford and a MSc in Physics from University of Rome. He wrote several papers on topics ranging from stress testing and scenario analysis to asset allocation. He co-authored the book "Portfolio Management under Stress" with Riccardo Rebonato and authored the book "Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling". He is regular speaker at quant conferences and global fora.

**Professor Jeff Dewynne**

**Academic Faculty, Mathematical and Computational Finance Group, Mathematical Institute, University of Oxford**

**Interest(s): Varity of Core Topics, including Financial Modelling and Numerical Analysis**

Jeff Dewynne is Course Director of the MSc in Mathematical Finance, and a senior fellow in the School of Finance and Economics at the University of Technology Sydney. Previously, he was the founding course director of the Diploma and MSc and a lecturer in mathematics at the University of Oxford. He is also the co-director of the Oxford Centre for Computational Finance, the co-founding Editor-in-Chief of Applied Mathematical Finance and has co-authored two books on mathematical finance.

**Professor Mike Giles**

**Academic Faculty, Mathematical and Computational Finance Group, Mathematical Institute, University of Oxford**

**Interest(s): Advanced Numerical Analysis**

Mike Giles is a professor of scientific computing at the University of Oxford, and a tutorial fellow in mathematics at St Hugh's College. After many years of developing new algorithms in computational fluid dynamics with applications to aircraft engine design, he has recently moved into computational finance working on both Monte Carlo and finite difference methods. He and Paul Glasserman of Columbia Business School were named Quants of the Year 2007 by Risk magazine for their research on the use of adjoint techniques for efficient Monte Carlo estimation of Greeks.

**Dr Martin Gould**

**Postdoctoral Research Fellow, Imperial College London**

**Interest(s): Limit Order Books**

Martin is a postdoctoral research fellow at Imperial College London. His main research interests include limit order books (LOBs), stochastic modelling, market microstructure, and the impact of electronic trading in financial markets. He previously completed his DPhil (PhD) in mathematics at the University of Oxford and Part III of the mathematical Tripos at the University of Cambridge.

**Professor Ben Hambly**

**Interest(s): Stochastic Approaches to Finance**

Ben Hambly is a lecturer in mathematical finance at the University of Oxford. His interests include probabilistic approaches to finance, stochastic volatility, credit risk modelling, energy pricing and higher-dimensional American style options.

**Professor Raphael Hauser**

**Academic Faculty, Mathematical and Computational Finance Group and Numerical Mathematics Group, Mathematical Institute, University of Oxford**

**Interest(s): Optimisation and Portfolio Theory**

Raphael Hauser studied mathematics and theoretical physics at ETH Zurich, from where he graduated in 1993, having written a master thesis in the representation theory of C*-algebras. He spent the next two years teaching as an assistant at ETH and as a lecturer at the Fachhochschule of Lucerne, specialising in the area of applied probability. In 1995 he joined the PhD programme in Operations Research at Cornell University in Ithaca (NY), where he wrote a thesis in the area of interior-point methods for conic optimisation. In 1999 Raphael took up a position as a postdoctoral research associate at the Department of Applied Mathematics and Theoretical Physics of the University of Cambridge, and in October 2001 he joined the faculty of the Numerical Analysis Group of the Oxford University Computing Laboratory where he is currently a reader. His research areas are optimisation and applied probability. Raphael is also a Tutorial Fellow of Pembroke College Oxford.

**Professor Sam Howison**

**Interest(s): Variety of topics, including Stochastic Volatility and Energy Derivatives**

Sam Howison is a lecturer in mathematics at the University of Oxford. He is the Director of the Oxford Centre for Industrial and Applied Mathematics and the Nomura Centre for Quantitative Finance. He is a co-author of Option Pricing and The Mathematics of Financial Derivatives and a member of the editorial boards of a number of prestigious mathematical journals. His research interests include market models, stochastic volatility, jump diffusion, transaction costs, energy derivatives and exotic derivatives.

**Dr Chris Hunter**

**Quantitative Analyst, Fixed Income Research and Strategies Team, BNP Paribas Bank**

**Interest(s): Interest Rates and Hybrid Products**

Chris Hunter is a fixed income Portfolio Manager at the hedge fund Bluecrest, which he joined in 2013. Prior to that he spent 12 years as a a trader and quantitative analyst at BNP Paribas Bank, focussing on interest rate exotics and hybrid derivatives. He has been a visiting lecturer at the Courant Institute at New York University and in the Mathematics department at Kings College, London. Chris obtained a PhD in general relativity from the University of Cambridge, where he worked under the supervision of Professor Stephen Hawking FRS.

**Dr Daniel Jones**

**Partner, Quadrature Capital LLP**

**Interest(s): Behavioural Finance**

Daniel is a partner at Quadrature Capital LLP, a purely systematic quantitative hedge fund. He is also a Visiting Research Fellow at the Mathematical Institute and continues to be actively involved in research, as well as lecturing and supervising MSc students. Daniel holds an MA in Mathematics from Cambridge and a DPhil in Mathematics from Oxford.

**Professor Michael Monoyios**

**Interest(s): Core Finance Topics, Incomplete Markets and Utility Methods**

Michael Monoyios is a University Lecturer in Financial Mathematics in the Mathematical Institute. His PhD was in Theoretical Particle Physics at Imperial College, followed by a postdoctoral work as a Royal Society Research fellow at the Niels Bohr Insitute, Copenhagen. Michael then worked as a trader of interest rate derivative securities for two years, with Security Pacific Hoare Govett in the City of London. He returned to academia via Financial Mathematics. His research interests are in optimal hedging in incomplete markets, problems involving transaction costs, parameter and model uncertainty, and information-based models of insider trading.

**Dr Mads Nielsen**

**Quantitative Strategist, Schroder Investment Management**

**Interest(s): ****Derivatives pricing, markets, asset allocation, systematic/dynamic trading strategies**

Mads Nielsen is a Quantitative Strategist at Schroders where he works on systematic trading strategies, asset allocation and other quantitative models in the fixed income and macro area. Prior to Schroders he was at GLG Partners where he worked on quantitative models for a global macro hedge fund. Before that he was at the global macro hedge fund Brevan Howard where he first worked on quantitative models and derivative pricing (including SVM calibration) and later on fixed income and FX relative value trading. He began his finance career at Nordea Markets in Copenhagen in 1999 after having spent a couple of years in oil exploration at AP Moller/Maersk. His PhD from 1997 is in theoretical condensed matter physics from the Niels Bohr Institute at the University of Copenhagen and he has also studied at University of California, Berkeley.

**Professor Jan Obloj**

**Interest(s): ****Probability Theory**

Jan Obloj is a University Research Lecturer at the Mathematical Institute and a member of the Oxford-Man Institute of Quantitative Finance. Before coming to Oxford he was a Marie Curie Post-Doctoral Fellow at Imperial College London. He holds a Ph.D. degree in mathematics from University Paris IV and Warsaw University. His general interest are in Mathematical Finance and its interplay with Probability Theory and he looks at a number of different problems where tools from martingale theory and stochastic analysis can be applied. Recent areas of focus include: robust pricing and hedging of exotic derivatives via Skorokhod embedding problem, market completion using options, volatility derivatives and extrapolation of implied volatility surface, portfolio optimisation under pathwise constraints and hedge-funds managers incentive schemes.

**Professor Christoph Reisinger**

**Course Director for part-time MSc in Mathematical Finance and Academic Faculty, Mathematical and Computational Finance Group, Mathematical Institute, University of Oxford**

**Interest(s): Core Finance Topics, including Numerical Methods and Calibration**

Christoph Reisinger holds a PhD in applied mathematics from the Interdisciplinary Centre for Scientific Computing in Heidelberg. His research interests include the numerical analysis of financial derivatives and their calibration, with an emphasis on high-dimensional and path-dependent products.

**Dr Johannes Ruf**

**Senior Lecturer, Department of Mathematics, UCL**

**Interest(s): Buy-side trading strategies, pricing of derivatives, stochastic calculus, green finance, econometrics/statistics **

Johannes Ruf is a Senior Lecturer at the Department of Mathematics of the University College London and an Associate Member at the Oxford-Man Institute of Quantitative Finance. His primary research interests involve the modelling of dynamic systems that arise in finance and economics.

**Jochen Theis**

**Head, Market Risk Models, Standard Chartered Bank**

**Interest(s): Model Risk, Pricing and Risk Models, Stochastic Analysis**

Jochen is Head, Market Risk Models for Standard Chartered Bank, based in Singapore. He is in charge of the functions responsible for market risk modelling, for independent validation of valuation and counterparty credit risk models, and for valuation model governance. He previously worked in various quantitative roles at MarkIt, Merrill Lynch, Citigroup, Royal Bank of Scotland and Dresdner Kleinwort Benson. After obtaining a Diploma in Mathematics at Mainz, Germany, he studied for a PhD at Cambridge but started working in the City of London before finishing his thesis.

**Dr Antony Ware**

**Director of Mathematical and Computational Finance Laboratory, University of Calgary**

**Interest(s): Natural Gas Markets**

Dr. Ware received his DPhil in 1991 from Oxford University and since then has held academic positions in Oxford, Durham and Calgary. His research interests are in numerical analysis, computational finance and the mathematical modelling of energy markets. He is Director of the Mathematical and Computational Finance Laboratory at the University of Calgary, which works closely with trading and risk management groups of various energy companies, including BP, Suncor, Nexen, TransAlta, Enmax and Direct Energy, and he serves on the board for the Calgary chapter of GARP.

## Teaching Assistants/Tutors

## Andrei Cozma

**Postgraduate Student, Mathematical and Computational Finance Group, Mathematical Institute, University of Oxford**

**Interest(s): ****Numerical Methods**

Andrei is a third year DPhil student in Mathematics, working under the supervision of Prof. Christoph Reisinger. His research interests include numerical methods for stochastic PDEs arising in finance, the pricing of equity and currency options with conditional Monte Carlo and finite differences, and the convergence of discretization schemes for high-dimensional systems.

## Victor Fedyashov

**Postgraduate Student, Mathematical and Computational Finance Group, Mathematical Institute, University of Oxford**

**Interest(s): ****Interface between probabilistic ergodic theory and the theory of BSDEs**

Victor is a third year DPhil student in Mathematical Finance, working under the supervision of Prof. Samuel Cohen. His research interests at the moment lie primarily on the interface between probabilistic ergodic theory and the theory of BSDEs.

**Matthieu Mariapragassam**

**Postgraduate Student, Mathematical and Computational Finance Group, Mathematical Institute, University of Oxford**

**Interest(s): Stochastic Analysis and Numerical Methods**

Matthieu is a second year DPhil student in Mathematical and Computational Finance at the Oxford Mathematical Institute. The project is supervised by Prof. Christoph Reisinger, Prof. Ben Hambly and Prof. Marek Musiela. He holds an MSc in Financial Engineering from the University of Paris-Evry and a Master of Engineering from the ENSIIE “Grande Ecole”. After my graduation, he worked 3.5 years as a Model Validation Quantitative Analyst at Murex (Paris). His research interest is the application of Stochastic Analysis and Numerical Methods to Quantitative Finance. More specifically, concentrating on the definition and calibration of mathematical models in order to price accurately exotic derivatives.

**Goncalo Simoes**

**Interest(s): Mathematical optimization**

Goncalo is a DPhil student in the Mathematical and Computational Finance Group, under supervision of Prof. Raphael Hauser (lead supervisor), Prof. Christoph Reisinger and Prof. Ben Hambly. He received his undergraduate degree in mathematics from Instituto Superior Técnico, and obtained a Distinction in the MSc in Mathematical and Computational Finance. His research is in mathematical optimization and its application to financial markets, but he is also interested in numerous other topics, in particular those related to Mathematical Finance. Goncalo is currently working on minimizing regret in portfolio optimization under multiperiod model uncertainty.