DPhil Candidate in Applied Mathematics
+44 1865 615301
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
I am a final 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.
I hold an MSc in financial engineering from the university of Paris-Evry and a master of engineering from the ENSIIE “Grande Ecole”. After my graduation, I worked 3.5 years as a model validation quantitative analyst at Murex (Paris).
My research interest is the application of stochastic analysis and numerical methods to quantitative finance. More specifically, I concentrate on the definition and calibration of mathematical models in order to price accurately exotic derivatives.
MSc MCF: Lecturer: Calibration Method for Derivatives Pricing
MSc MCF Part-Time : Lecturer: Python for Financial Derivatives Pricing
Prizes, Awards, and Scholarships:
G-Research PhD prize 2017
ICCF 2015 Best graduate paper
Member of the Oxford-Man Institute of Quantitative Finance
BNP Paribas London Sholarship
Major / Recent Publications:
A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection, Quantitative Finance 2016 issue 6
Calibration of a Four-Factor Hybrid Local-Stochastic Volatility Model with a New Control Variate Particle Method, Preprint
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets, Preprint