Doctoral students
Former doctoral students
:
(in reverse chronological order, with title of doctoral thesis)
 Ruhong JIN (Oxford, 2024) Rough analysis and stochastic partial differential equations.
 Wei XIONG (Oxford, 2024) Dynamics of marketmaking algorithms in dealer markets.
 Alain ROSSIER (Oxford, 2023) Asymptotic analysis of deep learning algorithms.
 Chao ZHANG (Oxford, 2023) Datadriven methods for simulation and forecasting of financial time series..
 Felix PRENZEL(Oxford, 2023) Statistical modeling and simulation of limit order markets.
 Purba DAS (Oxford, 2022) Roughness properties of paths and signals.
 Lifan XUAN ( Imperial College London, 2021) A general framework for modelling limit order book dynamics.
 Arman KHALEDIAN( Imperial College London, 2021) Stochastic Taylor expansions for functionals of martingales.
 Henry CHIU ( Imperial College London, 2021) Functional calculus for cadlag paths and applications to modelfree finance.
 Artur KOTLICKI (University of Oxford, 2021) Stress Testing:Mathematical Modelling, ScenarioSimulation and Policy Analysis.
 Francesco CAPPONI ( Imperial College London, 2021) Rethinking market impact: Quantitative analysis of trade execution costs.
 Anna ANANOVA ( Imperial College London, 2018) Functional calculus and integration with respect to paths of finite quadratic variation.

Eric SCHAANNING ( Imperial College London, 2017) Fire sales and systemic risk in financial networks.
 Yi LU ( Paris VI, 2017) Nonanticipative functional calculus and application to stochastic processes.

Candia RIGA ( Paris VI, 2016) Nonanticipative functional calculus and application to continuoustime finance.

Laura SILVESTRI (Universita Roma ILa Sapienza, 2015) Systemic Risk, Financial Networks and MacroPrudential Regulation.
 Ekaterina VINKOVSKAYA ( Columbia University, 2013) A point process model for the dynamics of limit order books.

Lakshithe WAGALATH (Paris VI, 2013) Mathematical modeling of endogenous risk.
 Ioana SAVESCU ( Imperial College London, 2013 ) Structural approach to credit derivatives with counterparty adjustments.
 Arseniy KUKANOV ( Columbia University, 2013 ) Stochastic models of limit order markets.
 Adrien
de LARRARD (Paris VI, 2012):
Dynamics of limit order markets: queueing models and limit theorems.
 Amel BENTATA (Paris VI, 2012): Markovian projection of stochastic processes.
 Andreea
MINCA (Paris VI, 2011) Mathematical modeling of default contagion.
 Yu Hang
KAN (Columbia University, 2011): Mathematical modeling of credit derivatives.

Amal MOUSSA ( Columbia University, 2011): Contagion and Systemic Risk in Financial
Networks.
 David FOURNIE
( Columbia University, 2010 ) Functional Ito calculus and applications.
 Romain DEGUEST
( Columbia University, 2009 ) Model Uncertainty in Finance: Risk Measures and Inverse Problems.
 Emily
TANIMURA ( EHESS, 2008 ) Structure and dynamics of complex networks.
 Julien HOK (Ecole Polytechnique, 2006) Information and volatility in
financial markets.
 Moeiz ROUIS ( Ecole Polytechnique, 2007 ) Inverse problems for partial differential equations
in finance.
 Ekaterina
VOLTCHKOVA ( Ecole Polytechhnique, 2005 ) Partial integrodifferential equations:
numerical methods and applications in finance.
 Peter
TANKOV (Ecole Polytechhnique, 2004) Levy processes in finance: inverse problems and
multivariate dependence.