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LGGy

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
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.
 

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London Mathematical Society Good Practice Scheme Athena SWAN Silver Award (ECU Gender Charter) Stonewall Silver Employer 2022

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