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Dr Lajos Gergely Gyurko

MSc, DPhil
Status
Visiting Professor, Research Fellow, Lecturer

Alan Tayler Visiting Lecturer in Mathematical and Computational Finance

Contact form
Research groups
  • Mathematical and Computational Finance

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

Highlighted publications
Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Gyurko, L Hambly, B Witte, J MATHEMATICAL METHODS OF OPERATIONS RESEARCH volume 81 issue 1 109-135 (Feb 2015) http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000349392500006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=4fd6f7d59a501f9b8bac2be37914c43e
Efficient and Practical Implementations of Cubature on Wiener Space
Gyurko, L Lyons, T Stochastic Analysis 2010 (29 Nov 2010)
Rough Paths based Numerical Algorithms in Computational Finance
Gyurko, L Lyons, T MATHEMATICS IN FINANCE volume 515 17-46 (2010) http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000281134200002&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=4fd6f7d59a501f9b8bac2be37914c43e
Differential Equations driven by \Pi-rough paths
Gyurko, L http://arxiv.org/abs/1205.1832
Research interests

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.

Recent publications
Optimal Oil Production and the World Supply of Oil
Gyurko, L Aleksandrov, N Espinoza, R
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