Status:
+44 1865 615351
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Research interests:
Mathematical Finance, (Martingale) Optimal Transport, (Robust) Statistics, Numerical Methods
I have moved to Columbia University, where I am an Assistant Professor in the Statistics Department. Before, I was a DPhil student in the Mathematical and Computational Finance Group. My research is focused on the robust approach to Mathematical Finance, which does not start with an a priori model but rather with the information available in the markets. My project was supervised by Prof. Jan Obloj.
Teaching:
2018-2020: Tutor for Statistics
2017-2018: Tutor for Statistics, Advanced Financial Data Analysis
2016-2017: Teaching Assistant for B8.2 Continuous Martingales and Stochastic Calculus, Advanced Financial Data Analysis, Econometrics of Volatility
Prizes, awards, and scholarships:
March 2020: G-Research PhD Prize in Maths and Data Science
Major / recent publications:
D. Bartl, S. Drapeau, J. Obloj, J. Wiesel. Robust uncertainty sensitivity analysis. Available at arXiv:2006.12022.
J. Backhoff, D. Bartl, M. Beiglböck, J. Wiesel. Estimating processes in adapted Wasserstein distance. Available at arXiv:2002.07261.
S. Cohen, M. Tegner and J.Wiesel. Bounding quantiles of Wasserstein distance between true and empirical measure. Available at arXiv:1907.02006.
J. Wiesel. Continuity of the martingale optimal transport problem on the real line. Available at arXiv:1905.04574.
J. Obloj and J. Wiesel. Statistical estimation of superhedging prices. Ann. Stat. (2020+). Available at arXiv:1807.04211.
L. Carassus, J. Obloj and J. Wiesel. The robust superreplication problem: a dynamic approach, SIAM J. Financial Math. 10(4): 907–941, 2019. Available at arXiv:1812.11201.
J. Obloj and J. Wiesel. A unified framework to modelling financial markets in discrete time. Available at arXiv:1808.06430.