+44 1865 615301
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
I am a fourth year DPhil student in the Mathematical and Computational Finance Group. My research interests include numerical methods for hybrid stochastic and local volatility models arising in finance, the pricing of currency options with conditional Monte Carlo and finite differences, and the integrability and convergence of discretization schemes for high-dimensional systems. My project is supervised by Prof. Christoph Reisinger.
2015-2016: Teaching Assistant for Module 2: Black-Scholes Theory (part-time MSc MF course).
2015-2016: Tutor for Monte Carlo Methods (MSc MCF course).
2015-2016: Teaching Assistant for Exotic Derivatives (MSc MCF course).
2014-2015: Tutor and Teaching Assistant for Asset Pricing (MSc MCF course).
2014-2015: Teaching Assistant for Exotic Derivatives (MSc MCF course).
2014-2015: Teaching Assistant for Stochastic Calculus (MSc MCF course).
2013-2014: Teaching Assistant for Mathematical Models of Financial Derivatives (Part B course).
Prizes, Awards, and Scholarships:
2016-2017: EPSRC Doctoral Prize.
2015-2016: G-Research DPhil Prize.
2013-2014: Mathematics, Physics and Life Sciences Divisional Scholarship, Lady Margaret Hall.
Major / Recent Publications:
A. Cozma, C. Reisinger. A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model, Journal of Computational Finance, 20(3), 109–149, 2017.
A. Cozma, C. Reisinger. Exponential integrability properties of Euler discretization schemes for the Cox–Ingersoll–Ross process, Discrete and Continuous Dynamical Systems – Series B, 21(10), 3359–3377, 2016.
The complete list of publications and working papers is available here.