Summary
I am a PhD student in Mathematical Finance under the supervision of Dr. Antoine Jacquier. My research focuses on rough volatility models and processes related to fractional Brownian motion. In particular, I am interested in convergence results for numerical implementation and pricing.
Awards:
- The Natixis Foundation for Quantitative Research 2017 prize for best Master’s thesis (across EU and UK)
- EPSRC Centre for Doctoral Training on Financial Computing and Financial Analytics Postgraduate Scholarship
Research papers:
- On VIX Futures in the rough Bergomi model (with A. Jacquier and C. Martini). https://arxiv.org/pdf/1701.04260.pdf to appear in Quantitative Finance
Teaching:
- Practical sessions in M5MF38 Statistical Methods in Finance (MSc in Mathematics and Finance, Imperial College)