Dr Lajos Gergely Gyurko

MSc, DPhil

Status

Visiting Professor, Research Fellow, Lecturer

Alan Tayler Visiting Lecturer in Mathematical and Computational Finance

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 (19 Dec 2011) http://arxiv.org/abs/1112.4351v1

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