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Current PostDocs
Current PhD students

Ruben Wiedemann  (2023 - ..., joint with L. Gonon)

Topic: Machine Learning in Finance

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Josh Dees (2022 - ..., joint with S. Laizet)

Topic: Quantum Computing for PDEs

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Joseph Mulligan (2021 - ..., joint with J. Muhle-Karbe and Qube-RT)

Topic: Market microstructure

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Lionel Sopgoui (2021 - ..., joint with J.-F. Chassagneux and BPCE)

Topic: Climate transition risk

Past PostDocs

Ixandra Achitouv (2022 - 2023, First job: Research Scientist, Institut des Systemes Complexes, Paris)

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Alexandre Pannier (2021 - 2022, First job: Assistant Professor, Université Paris Cité)

Past PhD students

Zan Zuric (PhD 2023. First job: Quant, Kaiju Capital Management)

Topic: Neural SDEs and large deviations

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Alexandre Pannier (PhD 2021. First job: Research Fellow, Imperial College)
Thesis:
Limit theorems for non-Markovian and fractional processes

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Aitor Muguruza (PhD 2020. First job: Kaiju Capital Management)
Thesis:
Rough volatility: pushing the boundaries of quantitative modelling

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Henry Stone (PhD 2020, joint with Mikko Pakkanen. First job: Goldman Sachs)
Thesis: Rough volatility models: small-time asymptotics and calibration

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Chloe Lacombe (PhD 2020. First job: Morgan Stanley)
Thesis: Large deviations for rough and path-dependent stochastic volatility models

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Hao Liu (2018. First job: China Merchants Bank)
Thesis: Optimal liquidation strategies for large-tick stocks

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Fangwei Shi (2018. First job: Lloyds Banking)
Thesis: Asymptotic analysis of new stochastic volatility models

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Sergey Badikov (2017, joint with M.H.A. Davis. First job: Citigroup)
Thesis: Infinite-dimensional linear programming and model-independent hedging of contingent claims

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Ivo Mihaylov (2015, joint with J.F. Chassagneux. First job: Citigroup)
Thesis: Numerical schemes and Monte Carlo techniques for Greeks in stochastic volatility models

Patrick Roome (2015. First job: JP Morgan)
Thesis: Asymptotics of forward implied volatility

Co-authors
(past and present)
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