+44 1865 615351
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Mathematical Finance, (Martingale) Optimal Transport, (Robust) Statistics, Numerical Methods
I am a third-year DPhil student in the Mathematical and Computational Finance Group. My research is focused on the robust approach to Mathematical Finance, which does not start with an a priori model but rather with the information available in the markets. My project is supervised by Prof. Jan Obloj.
2017-2018: Tutor for Statistics, Advanced Financial Data Analysis
2016-2017: Teaching Assistant for B8.2 Continuous Martingales and Stochastic Calculus, Advanced Financial Data Analysis, Econometrics of Volatility
Prizes, awards, and scholarships:
since 2018: PhD Scholarship from the German National Academic Foundation (Studienstiftung)
June 2018: Winner of the 5th Financial Mathematics Team Challenge, University of Cape Town
Major / recent publications:
S. Cohen, M. Tegner and J.Wiesel. Bounding quantiles of Wasserstein distance between true and empirical measure. Available at arXiv:1907.02006.
J. Wiesel. Continuity of the martingale optimal transport problem on the real line. Available at arXiv:1905.04574.
L. Carassus, J. Obloj and J. Wiesel. The robust superreplication problem: a dynamic approach. Available at arXiv:1812.11201.
J. Obloj and J. Wiesel. Statistical estimation of superhedging prices. Available at arXiv:1807.04211.
J. Obloj and J. Wiesel. A unified framework to modelling financial markets in discrete time. Available at arXiv:1808.06430.