Fellow, Data Science Institute

International Fellow, CREATES, Aarhus University

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 20 7594 8541

Email:

I am a Senior Lecturer with the Mathematical Finance and Statistics sections in the Department of Mathematics at Imperial College London. Before joining Imperial, I was a Postdoctoral Research Fellow with CREATES at Aarhus University, Denmark and I remain affiliated 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 is focused on data science, stochastic processes and quantitative finance. My specific interests include:

- Statistical modelling of high-frequency financial data and market microstructure
- Volatility modelling and forecasting
- Limit theorems for stochastic processes
- Machine learning in finance
- Stochastic modelling in epidemiology

In the academic year 2021–2022, I teach the following modules at Imperial:

- MATH97231 Deep Learning (MSc in Mathematics and Finance, elective, Autumn term)
- MATH97230 Market Microstructure (MSc in Mathematics and Finance, elective, Spring term)

Unifying incidence and prevalence under a time-varying general branching process

In collaboration with
Xenia Miscouridou,
Tresnia Berah,
Swapnil Mishra,
Thomas A. Mellan
and
Samir Bhatt.January 2022, 29 pages.

» e-print: arXiv:2107.05579

Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

In collaboration with
Yuan Li and
Almut E. D. Veraart.November 2021, 35 pages.

» e-print: arXiv:2111.02366

πVAE: Encoding stochastic process priors with variational autoencoders

In collaboration with
Swapnil Mishra,
Seth Flaxman,
Tresnia Berah,
Harrison Zhu
and
Samir Bhatt.August 2021, 17 pages.

» e-print: arXiv:2002.06873

Roughness in spot variance? A GMM approach for estimation of fractional
log-normal stochastic volatility models using realized measures

In collaboration with
Anine E. Bolko,
Kim Christensen and Bezirgen Veliyev.July 2021, 42 pages.

» e-print: arXiv:2010.04610

Feasible inference for stochastic volatility in Brownian semistationary processes

In collaboration with Phillip Murray, Riccardo Passeggeri and Almut E. D. Veraart.June 2021, 21 pages.

» e-print: arXiv:2007.06357, code: CRAN

Deep hedging: Learning to remove the drift under trading frictions with minimal equivalent near-martingale measures

In collaboration with
Hans Buehler,
Phillip Murray and
Ben Wood.» e-print: arXiv:2111.07844 (extended version)

State-dependent Hawkes processes and their application to limit order book modelling

In collaboration with Maxime Morariu-Patrichi.» article: doi:10.1080/14697688.2021.1983199, e-print: arXiv:1809.08060, code: GitHub

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

In collaboration with Mikkel Bennedsen
and Asger Lunde.» article: doi:10.1093/jjfinec/nbaa049, e-print: arXiv:1610.00332

Limit theorems for trawl processes

In collaboration with Riccardo Passeggeri, Orimar Sauri and Almut E. D. Veraart.» article: doi:10.1214/21-EJP652, e-print: arXiv:2009.10698

Hybrid simulation scheme for volatility modulated moving average fields

In collaboration with Claudio Heinrich and Almut E. D. Veraart.» article: doi:10.1016/j.matcom.2019.04.006, e-print: arXiv:1709.01310

The local fractional bootstrap

In collaboration with Mikkel Bennedsen, Ulrich Hounyo
and Asger Lunde.» article: doi:10.1111/sjos.12355, e-print: arXiv:1605.00868

Hybrid marked point processes: characterisation, existence and uniqueness

In collaboration with Maxime Morariu-Patrichi.» article: doi:10.1142/S2382626619500072, e-print: arXiv:1707.06970

Pathwise large deviations for the rough Bergomi model

In collaboration with Antoine Jacquier
and Henry Stone.» article: doi:10.1017/jpr.2018.72, e-print: arXiv:1706.05291

» erratum: doi:10.1017/jpr.2020.109 (with Stefan Gerhold and Thomas Wagenhofer)

Turbocharging Monte Carlo pricing for the rough Bergomi model

In collaboration with Ryan McCrickerd.» article: doi:10.1080/14697688.2018.1459812, 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

Review of *Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization* by X. Guo, T. L. Lai, H. Shek and S. P. Wong

» article: doi:10.1080/00031305.2018.1444855

Deep hedging: Learning risk-neutral implied volatility dynamics

In collaboration with
Hans Buehler,
Phillip Murray and
Ben Wood.Technical report, July 2021, 18 pages.

» e-print: arXiv:2103.11948

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