Doctoral students

Former doctoral students : (in reverse chronological order, with title of doctoral thesis)


1. Ruhong JIN (Oxford, 2024) Rough analysis and stochastic partial differential equations.
   


2. Wei XIONG (Oxford, 2024) Dynamics of market-making algorithms in dealer markets.
   


3. Deborah MIORI (Oxford, 2024) Network analysis and data science for finance: from traditional markets to decentralised exchanges.
   


4. Alain ROSSIER (Oxford, 2023) Asymptotic analysis of deep learning algorithms.
   
   
5. Chao ZHANG (Oxford, 2023) Data-driven methods for simulation and forecasting of financial time series..
   
   
6. Felix PRENZEL(Oxford, 2023) Statistical modeling and simulation of limit order markets.
   
   
7. Purba DAS (Oxford, 2022) Roughness properties of paths and signals.
   
   
8. Lifan XUAN ( Imperial College London, 2021) A general framework for modelling limit order book dynamics.
   
   
9. Arman KHALEDIAN( Imperial College London, 2021) Stochastic Taylor expansions for functionals of martingales.
   
   
10. Henry CHIU ( Imperial College London, 2021) Functional calculus for cadlag paths and applications to model-free finance.
    
    
11. Artur KOTLICKI (University of Oxford, 2021) Stress Testing:Mathematical Modelling, ScenarioSimulation and Policy Analysis.
    
    
12. Francesco CAPPONI ( Imperial College London, 2021) Rethinking market impact: Quantitative analysis of trade execution costs.
    
    
13. Anna ANANOVA ( Imperial College London, 2018) Functional calculus and integration with respect to paths of finite quadratic variation.
    
    
14. Eric SCHAANNING ( Imperial College London, 2017) Fire sales and systemic risk in financial networks.
    
    
15. Yi LU ( Paris VI, 2017) Non-anticipative functional calculus and application to stochastic processes.
    
    
16. Candia RIGA ( Paris VI, 2016) Non-anticipative functional calculus and application to continuous-time finance.
    
    
17. Laura SILVESTRI (Universita Roma I-La Sapienza, 2015) Systemic Risk, Financial Networks and Macro-Prudential Regulation.
    
    
18. Ekaterina VINKOVSKAYA ( Columbia University, 2013) A point process model for the dynamics of limit order books.
    
    
19. Lakshithe WAGALATH (Paris VI, 2013) Mathematical modeling of endogenous risk.
    
    
20. Ioana SAVESCU ( Imperial College London, 2013 ) Structural approach to credit derivatives with counterparty adjustments.
    
    
21. Arseniy KUKANOV ( Columbia University, 2013 ) Stochastic models of limit order markets.
    
    
22. Adrien de LARRARD (Paris VI, 2012): Dynamics of limit order markets: queueing models and limit theorems.
    
    
23. Amel BENTATA (Paris VI, 2012): Markovian projection of stochastic processes.
    
    
24. Andreea MINCA (Paris VI, 2011) Mathematical modeling of default contagion.
    
    
25. Yu Hang KAN (Columbia University, 2011): Mathematical modeling of credit derivatives.
    
    
26. Amal MOUSSA ( Columbia University, 2011): Contagion and Systemic Risk in Financial Networks.
    
    
27. David FOURNIE ( Columbia University, 2010 ) Functional Ito calculus and applications.
    
    
28. Romain DEGUEST ( Columbia University, 2009 ) Model Uncertainty in Finance: Risk Measures and Inverse Problems.
    
    
29. Emily TANIMURA ( EHESS, 2008 ) Structure and dynamics of complex networks.
    
    
30. Julien HOK (Ecole Polytechnique, 2006) Information and volatility in financial markets.
    
    
31. Moeiz ROUIS ( Ecole Polytechnique, 2007 ) Inverse problems for partial differential equations in finance.
    
    
32. Ekaterina VOLTCHKOVA ( Ecole Polytechhnique, 2005 ) Partial integrodifferential equations: numerical methods and applications in finance.
    
    
33. Peter TANKOV (Ecole Polytechhnique, 2004) Levy processes in finance: inverse problems and multivariate dependence.