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.

I do research primarily in the intersection of data science, stochastic processes and quantitative finance. My recent 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
- Machine learning in finance

I am on sabbatical in the academic year 2020–2021, but I still taught the following module at Imperial:

- MATH97231 Deep Learning (MSc in Mathematics and Finance, elective, Autumn term)

Unifying the effective reproduction number, incidence, and prevalence under a stochastic age-dependent branching process

In collaboration with
Tresnia Berah,
Thomas A. Mellan,
Xenia Miscouridou,
Swapnil Mishra,
Kris V. Parag
and
Samir Bhatt.July 2021, 72 pages.

» e-print: arXiv:2107.05579, code: GitHub

Deep hedging: Learning risk-neutral implied volatility dynamics

In collaboration with
Hans Buehler,
Phillip Murray and
Ben Wood.March 2021 (updated: July 2021), 18 pages.

» e-print: arXiv:2103.11948

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.October 2020 (updated: 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.July 2020 (updated: June 2021), 21 pages.

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

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

In collaboration with Maxime Morariu-Patrichi.September 2018 (updated: October 2018), 30 pages.

» e-print: arXiv:1809.08060, code: GitHub

Limit theorems for trawl processes

In collaboration with Riccardo Passeggeri, Orimar Sauri and Almut E. D. Veraart.» e-print: arXiv:2009.10698

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

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

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

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