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This is my academic homepage.

I am assistant professor in Quantitative Finance at the Erasmus School of Economics at the Erasmus University Rotterdam.

Before my current position, I completed two post-doctoral positions. During 2015-2016, I was a Finance post-doc at the the VU University Amsterdam, where I worked with Andre Lucas on time-series econometrics and  GAS models to filter unobserved components.  During 2013-2015, I worked on similar topics with Professor Harvey in Cambridge, where they are known as DCS models.

I completed my PhD in Operations Research at the Cambridge Judge Business School in 2012. Before that, I completed a Master’s degree (Part III) at the Department of Applied Mathematics and Theoretical Physics (DAMTP) at the University of Cambridge. My research interests stretch from the more pure to the more applied:

  • Financial time series, time-varying volatility, DCS models, heavy tails
  • Continuous-time finance (Brownian motion, stochastic calculus, American option valuation, Bayesian updating, real options, multidimensional optimal stopping, parallel investment in alternatives)
  • Theoretical physics/applied mathematics (path integrals with boundary conditions, Feynman-Kac functionals, the Laplacian of the indicator, potential theory, distribution theory)
  • Energy policy (how to determine optimally receding subsidies for renewable energy / optimal path of carbon emissions over the next century)

My academic affiliations are as follows:

If you would like to get in touch, then please contact me through the form below, and I will get back to you asap.

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