Applied Mathematician
Hello,
I am an applied Mathematician at Imperial College London focusing on Quantitative Finance, Probability, Statistics, Data Analysis and Quantum Computing. My research is partially funded by
- UKRI New Horizon grant (Quantum algorithms)
- EPSRC Distributed Quantum Computing
- Innovate UK (Quantum Computing and signatures)
- Qube-RT (Market microstructure)
NEWS (past few months)
In-sample and out-of-sample Sharpe ratios for linear predictive models (with J. Muhle-Karbe, J. Mulligan)
Rough volatility, path-dependent PDEs and weak rates of convergence [v2] (with O. Bonesini, A. Pannier)
Rough differential equations for volatility (with O. Bonesini, E. Ferrucci, I. Gasteratos)
[BOOK] Quantum ML and Optimisation in Finance, 2nd Edition (with A. Kondratyev)
Deep interpretability for rough volatility (with D. Brigo, N. Pede, B. Yuan)
Operator deep smoothing for implied volatility (with L. Gonon, R. Wiedemann)
Risk premium and rough volatility (with O. Bonesini, A. Muguruza)
Unsupervised Random Quantum Networks for PDEs (with J. Dees, S. Laizet)
[BOOK] Rough volatility (with C. Bayer, P. Friz, M. Fukasawa, J. Gatheral, M. Rosenbaum)
Quantum Computing for Financial Mathematics (with O. Kondratyev, G. Lee, M. Oumgari)
Transportation-cost inequalities for non-linear Gaussian functionals (with I. Gasteratos)
Propagation of carbon tax in credit portfolio (with G. Bouveret, J.-F. Chassagneux, S. Ibbou, L. Sopgoui)
Universal Approximation Theorem for quantum reservoir computing (with L. Gonon)
Director of the MSc in Mathematics and Finance, Imperial College London
Member of the Distributed Quantum Computing & Applications Group
Management Board Member, Imperial Centre for Quantum Engineering, Science and Technology
Member of the RISK Rising star in Quant Finance Committee
Member of the RISK Rising star in Quant Finance Committee
Member of the Data Science Institute, Imperial College London
Founding Member of the UK FinTech Academic Network
Visiting Researcher, The Alan Turing Institute
Senior Scientific Consultant, Lloyds Banking Group
ST Engineering Distinguished Professor
Quantum ML Instructional Designer, SandboxAQ
