Tanaka Fellow in Applied Mathematics, Pembroke College Oxford
+44 1865 615308
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research Interests:
I am a member of the Numerical Analysis and Computational Finance Groups at the Mathematical Institute of the University of Oxford, and a Tutorial Fellow in Applied Mathematics at Pembroke College Oxford. Before joining Oxford as a University Lecturer, I was a postdoc at the University of Cambridge. I received my PhD in Operations Research from Cornell University in 2000. My first degree was in maths; after studying at EPFL Lausanne for the first two years, I transferred to ETH Zurich where I received a Dipl.Math ETH.
My research interests focus on convex optimization and convex analysis. On the theory side I'm interested in complexity theory and the probabilistic analysis of algorithms, as well as in condition numbers and the design of algorithms. I also work on the theory of optimal alignments of random sequences. A large deviations approach allows to reduce many of the salient questions to convex analysis. On the applications side, I'm interested in the use of optimization models in mathematical finance, in particular in robust portfolio optimization and risk management.
Further Details:
Former Postdocs:
 Martin Lotz. Research Fellow on the DFG Grant ``Geometric Methods in the Probabilistic Analysis of Condition Numbers''. June 2008  Sep 2009.
 Coralia Cartis. Postdoctoral research associate on EPSRC funded project ``Stiffness in Optimisation''.
Current and former DPhil Students:
 Goncalo Simoes Matos (cosupervised with Christoph Reisinger and Ben Hambly). September 2013  present.
 Miha Troha, Numerical Analysis Group, Mathematical Institute, Oxford. September 2012  present. ``Optimization in Electricity Grids''.
 Sheng Fang, Numerical Analysis Group, Mathematical Institute, Oxford. October 2010  present. ``Large Scale Singular Value Decompositions".
 Sergey Shahverdyan, OCIAM, Mathematical Finance Group. October 2009  September 2013. ``Optimisation Methods in Operational Risk Management''.
 Denis Zuev, Oxford Centre for Industrial and Applied Mathematics, jointly supervised with William Shaw (OCIAM). ``Robust Portfolio Optimisation with Structured Uncertainty''. October 2004  Jan 2009.
 Nachiketa Gupta, Oxford University Computing Laboratory, jointly supevised with Neil Johnson (Physics Department). ``Constrained Kalman Filtering and Complex Systems''. October 2004  February 2008.
 Daniel Goodman, Oxford University Computing Laboratory, jointly supervised with Andrew Martin (OUCL). ``A Service Oriented Architecture and Language for Abstracted Distributed Algorithms''. October 2003  September 2007.
 Jelena Nedic, Oxford University Computing Laboratory. ``On the Dynamics of Unconstrained Optimisation Methods''. October 2001  September 2004.
Current and former MSc Students:
 Islam Hassouna, MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2014. ``Flight Survey Path Optimization''. Industrial project sponsored by Arkex Ltd.
 Bruno Rosetto, MSc in Mathematical and Computational Finance, June 2014. ``Multiperiod Minimum EntropyConditional Portfolio Updating and Allocation''.
 Fangyuan Cao, MSc in Mathematical Modelling and Scientific Computing. ``Optimal Toothbrush Design''. Sept 2013. Industrial Project sponsored by Philips.
 Kevin Ngan, MSc in Mathematical and Computational Finance, Jun 2013. ``LCS and Data Cleaning in High Frequency Trading.''
 Naveed Ausaf, MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2013. ``Optimal Sequence Alignment by Distributional Information''.
 (CoSupervisor of) Benjamin Timmerman, MSc in Mathematical Finance, University of Oxford, Dec 2012. ``Pricing CMS Spread Options under different Copulas''.
 Andrew Taylor, MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2012. ``Dynamic Lap Time Simulation of Circuit Racing Cars''.
 Kishan Patel, MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2012. ``Imaging with XRay Emitter Arrays''. Graduated with Distinction. Industrial project sponsored by Radius Diagnostics Ltd. Winner of the 2014 Hansjoerg Wacker Memorial Prize.
 Kirat Dhillon, MSc in Mathematical Modellling and Scientific Computing, University of Oxford, Sept 2012. ``Knapsack Problems''. Industrial project sponsored by NAG Ltd.
 Ben Wang, MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2012. ``MultiObjective Optimization''.
 Ekta Golchha, MSc in Mathematical and Computational Finance, Jun 2012. ``Portfolio Optimization with Drawdown Constraints''.
 Marcello Mezzedimi, MSc in Mathematical Finance, May 2011. ``Alpha Return on Portfolios Hedged with Short ETFs''.
 Bo Guan, MSc in Mathematical and Computational Finance, Jun 2011. ``Parameter Shrinkage in Covariance Estimation''.
 Yijun Liu, MSc in Mathematical and Computational Finance, Jun 2011. ``Optimal Trade Execution''.
 Sally Hutchings, Mathematics and Foundations of Computer Science, Sept 2011. ``The Behaviour of ModularityOptimizing Community Detection Algorithms''.
 Andree Heseler, MSc in Mathematical Finance, Sept 2011. ``Asset Allocation under a Conditional Diversification Measure''.
 Nga Hoang, MSc in Mathematical Modelling and Scientific Computing, University of Oxford. ``Parallel Line Search Methods'', 2010. Industrial project sponsored by NAG Ltd.
 James Wood, MSc in Mathematical Modelling and Scientific Computing, University of Oxford. ``Maximum Likelihood Estimation in Phylogenic Trees'', 2010.
 Sha Duans, MSc in Mathematical and Computational Finance, University of Oxford. ``Variable Gearing in Asset Management'', 2010.
 Samuel Clarke, MSc in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Robust Staff Level Optimisation in Call Centres'', September 2007.
 Delany Adom, MSc in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Robust Deviation Optimisation in Portfolio Theory'', September 2007.
 Ivan Weber, MSc in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Robust Pricing in Revenue Management'', September 2005.
 Kanika Dhyani, MSc in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Computational Study of a New Polynomial Time Algorithm for Linear Programming'', September 2004.
 Christian Schroeder, MSc in Applied and Computational Mathematics, OUCL and OCIAM. ``Semidefinite Programming Bounds in Bayesian Statistics'', September 2004.
 Quentin Decouvlaere, M.Sc.in Mathematical Modelling and Scientific Computing, OUCL and OCIAM, Oxford. ``Upper Bounds for the LCS Problem'', September 2003.
 Berthold Heymann, part time M.Sc. in Mathematical Finance, OCIAM, Oxford.``Optimisation Approach for Asset Liability Management/Capital Allocation''. September 2004.
 Nadine Gottschalk, part time M.Sc. in Mathematical Finance, OCIAM, Oxford. ``Robust Portfolio Management''. September 2003.
 Roman Pausch, part time M.Sc. in Mathematical Finance, OCIAM, Oxford. ``Shortfall Risk Approach to Managing the Portfolio of a Pension Fund''. November 2002.
 Ka Victoria Mak, M.Sc. in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``A Heuristic for Portfolio Rebalancing with Transaction Costs'', September 2002.
 Gauthier Lambert, M.Sc. in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Valuing Gas Storage'', industrial project, September 2002.
 Juergen Stein, part time M.Sc. in Mathematical Finance, OCIAM, Oxford. ``Portfolio Theory and Market Fluctuation'', August 2002.
Current and former Undergraduate Theses Supervisees:
 Fabian Ying, Mathematical Institute. ``Integrality Constraints in Portfolio Optimization'', Summer 2014.
 Marta Kaczan, Mathematical Institute. ``Portfolio Optimization'', HT 2014.
 Karyn Cooke, Mathematical Institute. ``Quadratic Integer Programming and the CrossDocking Problem'', HT 2013.
 Maulik Pipalia, Mathematical Institute. ``Optimal Trade Execution'', HT 2012.
 Nicholas Balz, undergraduate in Maths, Mathematical Insitute. ``Newton's Method and Newton Fractals'', HT 2010.
 Chris Lormoor, Oxford University Computing Laboratory. ``Large Scale Linear Programming'', TT 2006.
Teaching:
 Integer Programming (B22a)
 Optimization in Finance (MSc in Mathematical Finance)
 Optimization Models in Finance (Part Time MSc in Mathematical Finance)
 Tutorials in Nonphysical Applied Mathematics (Pembroke College)
Prizes, Awards, and Scholarships:
 Oxford University Teaching Award, 2007.
 2005 SIAM Activity Group on Optimization Prize for the paper, ''The NesterovTodd Direction and Its Relation to Weighted Analytic Center'' (Foundations of Computational Mathematics, 140, 2004).
 2000 SIAM Student Paper Prize for the paper "Target Directions for PrimalDual InteriorPoint Methods for SelfScaled Conic Programming''.
Major / Recent Publications:
