Mathematician, Professor at Imperial College, London: Probability, Statistics, Mathematical Finance, Signal Processing, Stochastic Differential Geometry
#Interpretability in deep learning for the volatility smile-to-parameters map in the #rHeston model.
SSRN: https://t.co/o6aGvsFeP4
ArXiv: https://t.co/E7Myp468I7
Previous paper on normal Heston:
SSRN: https://t.co/EqDV8tAXZC
ArXiv: https://t.co/1PYdNibenx
New paper "Forecasting Recovery Rates on Non-Performing Loans with Machine Learning" (with Tony Bellotti, Paolo Gambetti and Frederic Vrins) https://t.co/8nIErvhQDG
Is it possible to formulate option pricing models without probability theory, but in a pure pathwise sense (robustness, model risk)? This paper is an introduction to the theme, the full technical paper will follow shortly. https://t.co/d2jYIc3LgC
Projections of SDEs onto Submanifolds. The last research paper of the year, but this is in pure mathematics, there is no finance here. Joint work with John Armstrong and Emilio Rossi Ferrucci. https://t.co/ithsZ6Vf48
Next week Dec 4-5, Conference in Jerusalem on 45 years of Black Scholes and Merton. Scholes and Merton will be there, with many others. https://t.co/MyIyTOOSaW