PhD students

Here is a list of PhD students who have worked or are working with me

Jonathan Jordan (joint with Neil O'Connell): Random hierarchical systems 2002

Nicolas Victoir (joint with Terry Lyons): Cubature on Wiener space 2003

Naomi Wallner: Modelling correlated default and pricing of CDOs 2004

John Moriaty: Queues, directed percolation and directed polymers 2005

Florian Huehne: Levy processes and their chaos expansions in finance 2005

Tino Kluge (joint with Sam Howison): Modelling and pricing in electricity markets 2006

David Croydon: Random fractal dendrites 2006

Simona Svoboda: Volatility specifications in the Libor market model 2007

Daniel Miao: Markov modulated Poisson processes in credit risk modelling 2008

Liza Jones: Non-colliding particle systems and interacting diffusions 2008

Silja Kinnebrock (joint with Neil Shephard): Asymptotics for semimartingales and related processes with applications in econometrics 2008

Nikolay Aleksandrov: Multiple optimal stopping. Applications in option pricing, liquidation in bond markets and oil extraction 2009

Lei Jin: Particle systems and SPDEs with applications in portfolio credit modelling 2010

Stephen Buckley: Some problems in random walk in random environment 2011

Alice Dub: Large markets: Asymptotic arbitrage and portfolio optimization 2016

Ferhana Ahmad: A stochastic partial differential equation approach to mortgage backed securities 2012

Nic Freeman (joint with Alison Etheridge): The segregated lambda-coalescent 2012

Philippe Charmoy: On the geometric and analytic properties of some random fractals 2014

Sean Ledger: Particle systems and stochastic PDEs on the half-line 2015

James Newbury: Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models 2016

Guy Flint (joint with Terry Lyons): Discrete approximations in stochastic rough path theory 2016

Weiye Yang: Stochastic analysis and stochastic pdes on fractals 2018

Nikos Kolliopoulos: Analysis of Stochastic PDEs arising from large portfolios of stochastic volatility models 2018

Jasdeep Kalsi: Moving boundary problems for reflected SPDEs 2019

Andreas Sojmark: Contagious McKean-Vlasov systems with positive feedback 2019

Avi Mayorcas: Stochastic PDEs and weakly interacting particle systems 2020

Huining Yang: Policy gradient methods for linear quadratic problems 2022

Julian Meier

Aldair Petronilia

Philipp Jettkant

Fabrice Wunderlich

Thomas Groves