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

• Mathematical Institute, University of Oxford, UK
  Departmental Lecturer
  February 2009 - present
• Oxford-Man Institute of Quantitative Finance, University of Oxford, UK
  Research Fellow
  September 2012 - present
• Mathematical Institute, University of Oxford, UK
  Course Director of the MSc in Mathematical and Computational Finance course
  September 2009 - present

Education

• University of Oxford, Oxford, UK
  MSc in Software Engineering (part-time)
  January 2012 - present
• University of Oxford, Oxford, UK
  DPhil in Mathematics
  October 2005 - March 2009
• Eötvös Loránd University, Budapest, Hungary
  MSc in Applied Mathematics
  1999-2005
• Budapest University of Economic Sciences and Public Administration , Budapest, Hungary
  MSc in Business Administration
  1997-2002

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"