Past PhD Students
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Hao Liu (2018. First job: China Merchants Bank)
Thesis: Optimal liquidation strategies for large-tick stocks.
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Fangwei Shi (2018. First job: Quant, Lloyds)
Thesis: Asymptotic analysis of new stochastic volatility models.
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Sergey Badikov (2017, joint with M.H.A. Davis. First job: Associate at Citigroup)
Thesis: Infinite-dimensional linear programming and model-independent hedging of contingent claims.
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Ivo Mihaylov (2015, joint with J.F. Chassagneux. First job: Associate at Citigroup)
Thesis: Numerical schemes and Monte Carlo techniques for Greeks in stochastic volatility models.
► Patrick Roome (2015. First job: Quant, JP Morgan)
Thesis: Asymptotics of forward implied volatility.