Dr Lajos Gergely Gyurko
Alan Tayler Visiting Lecturer in Mathematical and Computational Finance
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Currently, I am a visiting lecturer at the Mathematical and Computational Finance Group contributing to the MCF MSc.
Before joinging the financial industry, I was a Departmental Lecturer at the Mathematical and Computational Finance Group and member of the Oxford-Man Institute of Quantitative Finance. I obtained a DPhil in Mathematics from the University of Oxford.
My research focused on applications of Rough Paths Theory for high order approximation of solutions to stochastic differential equations, extensions of the Cubature on Wiener space framework, applications of the Multi-Level Monte Carlo methods for the numerical solution of optimal stopping problems in high dimensions and the software implementation of numerical methods.
For more details, please see my webpage.