Financial Modeling & Quantitative Research

Derivative pricing and risk models from first principles: stochastic calculus, jump and stochastic-volatility dynamics, and the numerical methods that make them usable.

Focus

Stochastic and jump-diffusion models
Stochastic volatility and calibration
PDE and Monte Carlo pricing
Credit, BSDEs, and XVA

Publications & tools

Coming soon. Write-ups, notebooks, and tools from this research line will be published here.

Learn the groundwork

Mathematical Foundations of Quantitative Finance→Stochastic Volatility & Measure Change→Lévy Models in Finance→BSDE, XVA & Credit Risk→