Leader, Imperial Network of Excellence in Probabilistic Methods and Modelling

International Fellow, CREATES

Address:

Department of Mathematics

Imperial College London

South Kensington Campus

London SW7 2AZ

United Kingdom

Imperial College London

South Kensington Campus

London SW7 2AZ

United Kingdom

Office:

801 Weeks Building (16–18 Princes Gardens)

Phone:

+44 (0)20 7594 8541

Email:

I am a Lecturer in Mathematical Finance and Statistics in the Department of Mathematics at Imperial College London. Before joining Imperial, I was a Postdoctoral Research Fellow with CREATES at Aarhus University, Denmark. I maintain ties with CREATES as an International Fellow. I received my PhD in Applied Mathematics and MSc in Mathematics from the University of Helsinki, Finland. To see my curriculum vitae, please click here.

My current research interests include:

- Statistical modelling of high-frequency financial data and market microstructure
- Volatility modelling and forecasting
- Monte Carlo methods in finance
- Limit theorems for stochastic processes

During the academic year 2017–2018, I taught the following modules at Imperial:

- M5MF10 Quantitative Risk Management (MSc in Mathematics and Finance, core, Autumn term)
- M5MS13 Pricing and Hedging in Financial Markets (MSc in Statistics, elective, Spring term)
- M5MS12 Financial Econometrics (MSc in Statistics, elective, Spring term)

Hybrid simulation scheme for volatility modulated moving average fields

In collaboration with Claudio Heinrich and Almut E. D. Veraart.September 2017, 33 pages.

» e-print: arXiv:1709.01310

Hybrid marked point processes: characterisation, existence and uniqueness

In collaboration with Maxime Morariu-Patrichi.January 2018, 40 pages (revised version).

» e-print: arXiv:1707.06970

Pathwise large deviations for the rough Bergomi model

In collaboration with Antoine Jacquier
and Henry Stone.June 2017, 12 pages.

» e-print: arXiv:1706.05291

Decoupling the short- and long-term behavior of stochastic volatility

In collaboration with Mikkel Bennedsen
and Asger Lunde.July 2017, 46 pages (revised version).

» e-print: arXiv:1610.00332

The local fractional bootstrap

In collaboration with Mikkel Bennedsen, Ulrich Hounyo,
and Asger Lunde.October 2017, 32 pages (revised version).

» e-print: arXiv:1605.00868

Turbocharging Monte Carlo pricing for the rough Bergomi model

In collaboration with Ryan McCrickerd.» e-print: arXiv:1708.02563, code: GitHub

Hybrid scheme for Brownian semistationary processes

In collaboration with Mikkel Bennedsen
and Asger Lunde.» article: doi:10.1007/s00780-017-0335-5, e-print: arXiv:1507.03004

Arbitrage without borrowing or short selling?

In collaboration with Jani Lukkarinen.» article: doi:10.1007/s11579-016-0180-x, e-print: arXiv:1604.07690

On the conditional small ball property of multivariate Lévy-driven moving average processes

In collaboration with Tommi Sottinen
and Adil Yazigi.» article: doi:10.1016/j.spa.2016.06.025, e-print: arXiv:1601.03698

Functional limit theorems for generalized variations of the fractional Brownian sheet

In collaboration with Anthony Réveillac.» article: doi:10.3150/15-BEJ707, e-print: arXiv:1404.2822

Sticky continuous processes have consistent price systems

In collaboration with Christian Bender
and Hasanjan Sayit.» article: doi:10.1239/jap/1437658617, e-print: arXiv:1310.7857

Assessing relative volatility/intermittency/energy dissipation

In collaboration with Ole E. Barndorff-Nielsen
and Jürgen Schmiegel.» article: doi:10.1214/14-EJS942, e-print: arXiv:1304.6683

Limit theorems for power variations of ambit fields driven by white noise

» article: doi:10.1016/j.spa.2014.01.005, e-print: arXiv:1301.2107

On the existence of consistent price systems

In collaboration with Erhan Bayraktar and Hasanjan Sayit.» article: doi:10.1080/07362994.2014.858535, e-print: arXiv:0911.3789

Asymptotic theory for Brownian semi-stationary processes with application to turbulence

In collaboration with José Manuel Corcuera,
Emil Hedevang,
and Mark Podolskij.» article: doi:10.1016/j.spa.2013.03.011, e-print: arXiv:1211.4221

On the positivity of Riemann-Stieltjes integrals

In collaboration with Jani Lukkarinen.» article: doi:10.1017/S0004972712000639, e-print: arXiv:1203.5276

» erratum: doi:10.1017/S0004972713000713 (included in the arXiv version)

Brownian semistationary processes and conditional full support

» article: doi:10.1142/S0219024911006747, e-print: arXiv:1002.4774

Stochastic integrals and conditional full support

» article: doi:10.1239/jap/1285335401, e-print: arXiv:0811.1847

Microfoundations for diffusion price processes

» article: doi:10.1007/s11579-010-0029-7, e-print: PDF

An approximative method of simulating a duel

In collaboration with Esa Lappi and Bernt Åkesson.» article: doi:10.1109/WSC.2012.6465044

Discretization of Lévy semistationary processes with application to estimation

In collaboration with Mikkel Bennedsen
and Asger Lunde.Technical report, July 2014, 28 pages.

» e-print: arXiv:1407.2754

Mathematical aspects of financial markets with frictions

PhD dissertation in Applied Mathematics, under the supervision of Tommi Sottinen and Esa Nummelin.Department of Mathematics and Statistics, University of Helsinki, October 2010.

» introduction available from: E-thesis

Jatkuvat semimartingaalit ja filtraation alkulaajennus

MSc thesis in Mathematics, under the supervision of Tommi Sottinen.

Department of Mathematics and Statistics, University of Helsinki, October 2006.

» full text available from: E-thesis