Publications and preprints:

1. An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs , 2014, with J.-F. Chassagneux and A. Jacquier, submitted.
2. Perturbation approach for Greeks, 2014, in preparation.
3. Sequential Monte Carlo Methods with Applications for Mathematical Finance, 2012, in preparation.

Talks and presentations:

1. 2015, Financial Mathematics, Snowbird, Utah, USA Mathematics Research Communities
2. 2015, Imperial College London, Imperial - ETH Workshop III A class of approximate Greek weights
3. 2014, Sydney, Australia, Quantitative Methods in Finance
4. 2014, Imperial College London, Mathematical Finance Day A class of approximate Greek weights (pdf)
5. 2014, Paris, London-Paris Bachelier Workshop, Perturbation approach for Greeks
6. 2014, South Africa, Mathematics in Finance 2014, Skukuza, Kruger National Park
7. 2014, Bordeaux, 2nd Young researchers meeting on BSDEs, Numerics and Finance (pdf)
8. 2014, Brussels, 8th World Congress of the Bachelier Finance Society
9. 2014, ETH Zurich, Imperial - ETH Workshop II
10. 2011, Imperial College London, Sequential Monte Carlo: Applications to Mathematical Finance

Other conferences and seminars attended:

1. 2015, Imperial College London, Workshop on Probabilistic numerical methods for non-linear PDEs
2. 2014, Imperial College London, Workshop on Stochastic and Quantitative Finance
3. 2014, Schroders Auditorium London, FSP Lab Conference on Quantitative Finance
4. 2014, Imperial College London, 2nd CFM-Imperial Workshop on Quantitative Finance
5. 2014, Luminy, Marseille, Stochastic analysis for risk modeling
6. 2014, Oxford-Man Institute of Quantitative Finance, New Challenges - New Methodologies Day
7. 2013, Brunel University, Workshop on Advances in Financial Mathematics
8. 2013, Imperial College London, Workshop on Large deviations and asymptotic methods in finance
9. 2013, Imperial College London, Imperial - ETH Workshop on New Directions in Mathematical Finance
10. 2012, WPI Vienna, Financial Engineering in Energy and Commodity Markets
11. 2011, Imperial College London, Numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs
12. 2010-2014, Imperial College London, Weekly seminars on Maths Finance
13. 2010-2014, Imperial College London, Weekly seminars on Stochastic Analysis

Teaching assistant:

1. 2014, Mathematical Finance MSc, Teaching/Demonstrating, Monte Carlo Simulation, M5MF4, MSc Course
2. 2013, Scientific Computation (C/C++), Coursework Marking/Moderating, Scientific Computation in C - M3/M4SC - Undergraduates
3. 2012, Teaching/Demonstrating, Scientific Computation in C - M3/M4SC

Reading groups:

1. 2014, Optimal Control in Finance