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 6 months)
Risk premium and rough volatility (with O. Bonesini, A. Muguruza)
Interest rate convexity in a Gaussian framework (with M. Oumgari)
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)
NLP for Financial Regulation (with I. Achitouv, D. Gorduza)
Quantum Computing for Financial Mathematics (with O. Kondratyev, G. Lee, M. Oumgari)
Transportation-cost inequalities for non-linear Gaussian functionals (with I. Gasteratos)
XPDE for X in {BS, FBS, P}: a rough volatility context (with O. Bonesini)
Interest rate convexity in a Gaussian framework (with M. Oumgari)
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)
Random neural networks for rough volatility (with Z. Zuric)
Recession prediction via Signature Kernels enhanced with Quantum features
Rough volatility, path-dependent PDEs, weak rates of convergence (with O. Bonesini, A. Pannier)
Director of the MSc in Mathematics and Finance, Imperial College London
Member of the Distributed Quantum Computing & Applications Group
Member of the RISK Rising star in Quant Finance Committee
Member of the Imperial Centre for Quantum Engineering, Science and Technology
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
Quantitative Consultant in Quantitative Finance and Quantum Computing
