Current group members

• Maria Olympia Tsianni, DPhil student.
• Olivia Pricilia, DPhil student. EPSRC Centre for Doctoral Training: The Mathematics of Random Systems. Supervised jointly with Alvaro Cartea. Funded by the Oxford--Man Institute.
• Filippo De Angelis, DPhil student. EPSRC Centre for Doctoral Training: The Mathematics of Random Systems. Supervised jointly with Mike Giles. Funded by HSBC.
• Aldair Alderney Frantz Mackenzie Petronilia, DPhil student. EPSRC Centre for Doctoral Training: The Mathematics of Random Systems. Supervised jointly with Ben Hambly. Funded by EPSRC.
• Michael Giegrich, DPhil student. EPSRC Centre for Doctoral Training: The Mathematics of Random Systems. Funded by Deutsche Bank.
• Jonathan Tam, DPhil student. EPSRC Centre for Doctoral Training: The Mathematics of Random Systems. Funded by EPSRC.

Past members

• Christoph Hőppke, DPhil student. EPSRC Centre for Doctoral Training: Industrially Focused Mathematical Modelling. Supervised jointly with Yuji Nakatsukasa.
• Sheng Wang, DPhil 09/2022, “Arbitrage-free neural-SDE market models of traded options”. EPSRC Centre for Doctoral Training: Industrially Focused Mathematical Modelling. Supervised jointly with Sam Cohen. Funded by CME Group.
• Wolfgang Stockinger, DPhil 04/2022, “Numerical methods for non-standard McKean--Vlasov type equations”. Funded by an Upper Austrian Government grant. Next position: Chapman Fellow, Imperial College.
• Yufei Zhang, DPhil 06/2021, “Numerical Schemes for Stochastic Hybrid Control Problems in Finance”. Next position: Assistant Professor, LSE.
• Zhenru Wang, DPhil 10/2019, “Analysis of Various Estimators for Multi-dimensional Zakai Equations”. Next position: J.P. Morgan.
• Vadim Kaushansky, DPhil 07/2019, “Numerical Methods for Structural Credit Models with Mutual Liabilities”. Supervised jointly with Marek Musiela and Alex Lipton. Funded by ESRC and Bank of America/Merrill Lynch. Next position: Assistant Adjunct Professor, UCLA.
• Athena Picarelli, 2015--2017, Nomura Research Fellow. Next position: Research Fellow, Imperial College.
• Matthieu Mariapragassam, DPhil 11/2017, “Calibration to Vanilla and Barrier Options with the Gyöngy and Brunick-Shreve Markovian Projections”. Funded by BNP Paribas. First Prize in the Graduate Paper Competition, International Conference on Computational Finance 2015, Greenwich. G-Research DPhil Prize (First Prize) 2017.
• Andrei Cozma, DPhil 07/2017, “Numerical Methods for Foreign Exchange Option Pricing under Hybrid Stochastic and Local Volatility Models”. Funded by EPSRC. EPSRC Doctoral Prize (postdoc) 04-08/2017. G-Research DPhil Prize (Second Prize) 2016.
• Julen Rotaetxe, DPhil 04/2017, “Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations”. Partially supported by the Programa de Formación de Investigadores del DEUI del Gobierno Vasco.
• Nikolay Gudkov, Visiting DPhil student from the University of New South Wales, 10/2016-02/2017.
• Alan Whitley, DPhil 02/2016, “Using Kolmogorov Equations to Investigate Hedging Errors”.
• Kees de Graaf, Visiting DPhil student from the University of Amsterdam, 09-12/2015.
• Rasmus Wissmann, DPhil 01/2015, “Expansion Methods for High-Dimensional PDEs in Finance”. Funded by EPSRC and Studienstiftung. Alan Taylor Scholar, St Catherine's College. G-Research DPhil Prize (First Prize) 2013.
• Karolina Bujok, DPhil 08/2013, “Numerical Solutions to a Class of Stochastic Partial Differential Equations Arising in Finance”. Funded by Nomura and EPSRC. Alan Taylor Scholar, St Catherine's College.
• Jan Witte, DPhil 02/2012, “Numerical Solution of Discretised HJB Equations with Applications in Finance”. Funded by EPSRC. EPSRC Doctoral Prize (postdoc) 01-06/2012.
• Alok Gupta, DPhil 01/2010, “A Bayesian Approach to Financial Model Calibration, Uncertainty Measures and Optimal Hedging”. Funded by EPSRC. EPSRC Doctoral Prize (postdoc) 01-06/2010.