Applied Mathematician
Current PostDocs
Current PhD students
Samuel Crew (March 2023 - ...), joint with L. Gonon, C. Salvi, Rigetti, Standard Chartered
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Fatimah Ahmadi (May 2023 - ...)​
Sofia Moliner Bobo (2024 - ..., joint with E. Neumann)
Topic: Quantum Computing in Finance
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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
Ofelia Bonesini (2022 - 2024). FIrst job: Assistant Professor, London School of Economics
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Ioannis Gasteratos (2022 - 2024). FIrst job: Research Associate, TU Berlin
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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