University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Quantile Panel Estimation of Financial Contagion Effects
Panel Data Econometrics (15 June 2019)
Can bank-specific variables predict contagion effects?
Quantitative Finance issue 12 volume 17 page 1805-1832 (1 December 2017) Full text available
Clearing algorithms and network centrality
Proceedings The 7th International Conference on Complex Networks volume
My general research interests comprise the mathematical modelling of real-world systems and applications of quantitative and AI-based methods in particular to problems in Operations Research and Finance. Specifically, I work on optimization problems arising in statistics, as well as network-based contagion algorithms, with applications in financial stability analysis.
- Optimization: linear, nonlinear and semidefinite programming
- Statistics: conditional density estimation, panel and multilevel data, model selection and regularization
- Networks: contagion models
- Game Theory, Numerical Methods, Agent-based Models
I also work on economic questions, where my research interests include econometrics, microeconomics of banking and some aspects of monetary economics and asset pricing.
- Computational Game Theory (MSc MFOCS, CS): Tutor, TA
- Computational Mathematics (Prelims Maths): Demonstrator
- Machine Learning (MSc CS): Tutor, TA