1. Numerical schemes for the Stochastic Differential Equations (e.g. Multilevel Monte Carlo);
2. Inverse problems for reconstructing basket options; (MSC project with the best MSC thesis prize awarded by Natixis and still some work can be extended either on stable inverse numerical schemes for the two-dimensional case or even higher dimensional case)- This project was under supervised by Dr. Peter Austing and Professor Damiano Brigo
Personal interests: 1. Machine learning 2. Algorithmic trading 3. Alpha strategy
A Chinese student loves math and data.
Dr Lukasz Szpruch
MSC in Math and Finance Imperial College (2014)
BSC in Pure and Applied Math Shandong University (2013)