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Dr Lajos Gergely Gyurkó

Departmental Lecturer and Research Fellow

Mathematical and Computational Finance Group
Mathematical Institute
Oxford-Man Institute of Quantitative Finance
University of Oxford

24-29 St Giles',
Oxford, OX1 3LB, UK

E-mail: gyurko[at]maths.ox.ac.uk

Research Interests

Computational finance, in particular:


  • Applications of Rough Paths theory for high order approximation of solutions to SDEs
  • Cubature on Wiener space and extensions
  • Multilevel Monte-Carlo
  • Numerical methods for optimal stopping in high dimensions
  • Software implementation of numerical methods
  • Applications of Rough Paths theory in Machine Learning

CV

Current Position


Education


Business Experience

  • JPMorgan, London, UK
    Quantitative Analyst Consultant
    July 2010 - September 2010 (part time)
  • JPMorgan, London, UK
    Quantitative Analyst
    January 2007 - July 2008 (part time)
  • Raiffeisen Bank Rt. Budapest, Hungary
    Risk Analyst
    July 2004 - September 2005 (full time)
  • Citibank Rt. Budapest, Hungary
    Statistical Analyst
    January 2003 - June 2004 (full time)

Teaching Experience (prior to current position)

  • Keble College, Oxford, UK
    Stipendiary Lecturer
    April 2010 - December 2011
  • Lady Margaret Hall, Oxford, UK
    College tutor for a variety of undergraduate courses in applied mathematics
    January 2010 - June 2010
  • Mathematical Institute, University of Oxford, UK
    Class tutor for a variety of courses related to Mathematical Finance
    April 2007 - February 2009
  • St Hugh's College, Oxford, UK
    College tutor for courses in Probability and Statistics
    October 2008 - June 2009
  • Jesus College, Oxford, UK
    College tutor for for a variety of undergraduate courses in pure mathematics
    October 2007 - December 2008
  • St Catherine's College, Oxford, UK
    College tutor for a variety of undergraduate courses in pure and applied mathematics
    October 2006 - December 2007

Full CV

Please contact me by email to request a full CV.

Teaching

Currently, I am involved in lectutring for the MSc MCF and MSc MF courses.

Supervised students - MSc MCF


2013

  • Ludovic Dannaoui
  • Wenzhen Dong
  • Matthieu Louis

2012

  • Dawei Cai : "An Optimal Liquidation Algorithm Based on Monte Carlo Method"
  • Cameron Dobbs: "Order Book Models and The Trade Execution Problem"
  • Meng Li: "Enhanced Least-Square Monte Carlo For Pricing American Derivatives"
  • Siqi Yang: "Multilevel Monte-Carlo Convergence for Multi-dimensional SDEs using the Milstein Scheme"

2011

  • Stavros Christodoulou: "Monte Carlo Based Numerical Pricing of Multiple Strike-Reset Options"
  • Alexandre Heidmann: "Risk Neutral Modelling of Carbon Emission Allowances and Pricing of Derivatives in a Two Period Framework"
  • James Newbury: "Applications of Malliavin calculus to the pricing and hedging of Bermudan options"

2010

  • Romain Benvenuto: "Risk Neutral Modelling of Carbon Emission Allowances and Pricing of Derivatives"
  • Longyun Chen: "Multilevel Monte Carlo Adapted to Bermudan Options Using Randomized Stopping Rule"
  • Rolan Nehme: "Malliavin Calculus Applied to Sensitivities in Finance"
  • Lisa Yudaken: "Numerical Pricing of Shout Options"

2009

  • Howard Thom: "Longstaff Schwartz Pricing of Bermudan Options and their Greeks"
  • Alan Whitley: "Pricing of European, Bermudan and American Options under the Exponential Variance Gamma Process"


This page was last modified on 17/06/2013. © LG Gyurkó

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