Dr Antti Vauhkonen

BSc (Manc.), MASt (Cantab.), MSc (Oxon.), PhD (Imperial), DIC.

Status

Visiting Professor, Research Fellow, Lecturer

Visiting Lecturer and Thesis Supervisor

Research groups

Mathematical and Computational Finance

Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG

Teaching

XVA modelling as part of the Quantitative Risk Management module of the MSc courses in Mathematical and Computational Finance (full-time) and Mathematical Finance (part-time)

Research interests

Mathematical modelling of Potential Future Exposure (PFE), derivative Valuation Adjustments (XVA) and Initial Margin.

Rough Paths Theory and its application to time series analysis of financial data streams.

Further details

I am a Senior Manager in the Counterparty Credit Risk Modelling team at Lloyds Banking Group, where I am responsible for the validation of PFE, XVA and Initial Margin models.