MrAitor Muguruza Gonzalez
Casual - Academic Professional
Department of Mathematics - Faculty of Natural Sciences
- Casual - Academic ProfessionalDepartment of Mathematics - Faculty of Natural Sciences
- Weeks Building, South Kensington Campus, United Kingdom
BIO
I am a PhD student in Mathematical Finance under the supervision of Dr. Antoine Jacquier. My research focuses on rough volatility models and processes related to fractional Brownian motion. In particular, I am interested in convergence results for numerical implementation and pricing.
Awards:
The Natixis Foundation for Quantitative Research 2017 prize for best Master's thesis (across EU and UK)
EPSRC Centre for Doctoral Training on Financial Computing and Financial Analytics Postgraduate Scholarship
Research papers:
On VIX Futures in the rough Bergomi model (with A. Jacquier and C. Martini). to appear in Quantitative Finance
Teaching:
Practical sessions in M5MF38 Statistical Methods in Finance (MSc in Mathematics and Finance, Imperial College)
Awards:
The Natixis Foundation for Quantitative Research 2017 prize for best Master's thesis (across EU and UK)
EPSRC Centre for Doctoral Training on Financial Computing and Financial Analytics Postgraduate Scholarship
Research papers:
On VIX Futures in the rough Bergomi model (with A. Jacquier and C. Martini). to appear in Quantitative Finance
Teaching:
Practical sessions in M5MF38 Statistical Methods in Finance (MSc in Mathematics and Finance, Imperial College)
FACULTY
- Faculty of Natural Sciences
POSITION NAME
- Casual - Academic Professional