## 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**

**Course Director for part-time MSc in Mathematical Finance and 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**

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

**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 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.

**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.

## Dr David Proemel

**Interest(s): Mathematical Finance, Stochastic Analysis**

David Proemel is a departmental lecturer in mathematical finance at the Department of Mathematics, University of Oxford. Before coming to Oxford, he was a postdoctoral researcher at ETH Zurich. David obtained his PhD in mathematics from Humboldt University of Berlin. His main research interests are in the areas of stochastic analysis and mathematical finance. In particular, he currently works on questions arising in model-independent financial mathematics and in pricing and hedging of exotic derivatives under model uncertainty.

**Professor Christoph Reisinger**

**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.